IGF Options History — July 2018

In July 2018, IGF traded between $42.78 and $43.94. ATM implied volatility averaged 32.6%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 21.5% (HV 20d: 11.1%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.88.

Notable Days

2018-07-02: Highest Volume — 102 contracts
2018-07-11: Largest IV spike — 578.2% change
2018-07-18: Highest IV Rank — 51.1%
2018-07-18: Largest Expected Move — 29.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.49	$42.78	$43.94	$42.78	$43.70
Max Pain	$41.19	$41.00	$43.00	$43.00	$41.00
ATM IV	32.6%	9.0%	103.7%	14.8%	12.8%
Expected Move	11.5%	2.6%	29.7%	4.2%	3.7%
HV 20d	11.1%	9.3%	12.9%	10.3%	9.3%
HV 60d	10.2%	9.8%	10.5%	9.8%	10.2%
IV Rank	13.1%	0.4%	51.1%	3.5%	2.5%
IV Percentile	62.0%	2.4%	97.6%	60.3%	33.7%
Term Structure	-22.5%	-91.4%	75.9%	75.9%	0.7%
VWIV	52.2%	15.0%	93.9%	16.2%	23.2%
Skew 25d	-21.6%	-98.4%	14.6%	2.9%	2.0%
Skew 10d	-23.7%	-98.4%	14.6%	11.5%	2.3%
Call IV 25d	62.3%	12.6%	110.3%	16.1%	14.8%
Put IV 25d	40.8%	9.7%	116.6%	18.9%	16.8%
Bid-Ask Spread %	173.90	135.98	196.84	139.16	150.23
Gamma HHI	0.49	0.27	0.73	0.39	0.68
Net GEX	5.7K	-6.7K	21.6K	5.4K	-5.6K
Net DEX	-25.6K	-89.7K	12.6K	12.6K	-8.4K
Net VEX	-410	-583	-268	-577	-273
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.88	1.49	2.07	1.49	2.07
Total Volume	78.048	43	102	102	43
Total OI	108.524	43	142	140	43

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-07-02	$42.78	$43.00	14.8%	4.2%	10.3%	3.5%	16.2%	2.9%	75.9%	5.4K	12.6K	-577	1.49	139.16	41	61	89	51
2018-07-03	$43.11	$43.00	15.6%	4.5%	10.6%	4.0%	15.0%	3.6%	29.6%	8.2K	-10.1K	-577	1.49	135.98	41	61	89	51
2018-07-05	$43.36	$41.00	15.9%	25.1%	10.7%	4.1%	76.3%	-69.5%	-71.3%	12.8K	-35.4K	-583	1.52	196.84	40	61	89	51
2018-07-06	$43.94	$41.00	14.2%	8.5%	11.5%	3.2%	54.4%	4.5%	-17.7%	21.6K	-89.7K	-541	1.91	190.70	32	61	88	51
2018-07-09	$43.45	$41.00	17.6%	25.8%	12.2%	5.1%	79.7%	-82.0%	-74.3%	11.4K	-66.0K	-583	1.85	195.10	33	61	90	51
2018-07-10	$43.67	$41.00	13.7%	3.9%	12.1%	3.0%	26.2%	-77.7%	-1.6%	11.5K	-41.1K	-408	1.85	171.95	33	61	91	51
2018-07-11	$43.24	$41.00	93.2%	26.7%	12.6%	45.5%	84.8%	5.5%	-80.2%	10.6K	-17.2K	-494	1.85	196.27	33	61	91	51
2018-07-12	$43.60	$41.00	79.7%	22.8%	12.9%	38.3%	83.3%	-64.9%	-68.3%	17.5K	-51.6K	-501	1.85	195.97	33	61	91	51
2018-07-13	$43.60	$41.00	94.3%	27.0%	12.9%	46.1%	81.6%	14.6%	-83.3%	16.3K	-47.5K	-470	1.85	196.27	33	61	91	51
2018-07-16	$43.54	$41.00	26.7%	7.6%	12.9%	9.9%	54.4%	-24.8%	-14.3%	14.9K	-41.3K	-423	1.85	191.61	33	61	91	51
2018-07-17	$43.49	$41.00	73.7%	21.1%	12.9%	35.1%	92.9%	-98.4%	-61.7%	13.8K	-33.7K	-417	1.85	196.84	33	61	91	51
2018-07-18	$43.37	$41.00	103.7%	29.7%	10.9%	51.1%	93.9%	6.3%	-91.4%	10.8K	-19.4K	-392	1.85	196.47	33	61	91	51
2018-07-19	$43.50	$41.00	17.3%	5.0%	10.9%	4.9%	31.0%	10.0%	-5.3%	13.6K	-42.1K	-355	1.85	181.88	33	61	91	51
2018-07-20	$43.60	$41.00	19.1%	5.5%	10.7%	5.8%	92.2%	-87.5%	-7.0%	-4.4K	-26.1K	-301	1.85	188.18	33	61	91	51
2018-07-23	$43.39	$41.00	13.7%	3.9%	10.3%	2.9%	0.0%	0.9%	-3.2%	-6.3K	-77	-295	2.07	156.92	14	29	14	29
2018-07-24	$43.43	$41.00	13.4%	3.8%	10.3%	2.7%	0.0%	0.7%	-2.8%	-6.7K	-207	-294	2.07	153.75	14	29	14	29
2018-07-25	$43.64	$41.00	11.8%	3.4%	10.3%	1.9%	20.5%	1.1%	1.6%	-5.7K	-1.4K	-290	2.07	155.10	14	29	14	29
2018-07-26	$43.66	$41.00	11.8%	3.4%	10.0%	1.9%	20.7%	1.8%	1.7%	-6.5K	-3.4K	-288	2.07	156.98	14	29	14	29
2018-07-27	$43.59	$41.00	9.0%	2.6%	10.0%	0.4%	22.0%	-2.9%	0.9%	-6.0K	-11.3K	-268	2.07	145.76	14	29	14	29
2018-07-30	$43.53	$41.00	12.7%	3.6%	9.5%	2.4%	24.5%	0.9%	0.5%	-6.4K	-3.4K	-278	2.07	159.95	14	29	14	29
2018-07-31	$43.70	$41.00	12.8%	3.7%	9.3%	2.5%	23.2%	2.0%	0.7%	-5.6K	-8.4K	-273	2.07	150.23	14	29	14	29