IGF Options History — August 2018

In August 2018, IGF traded between $42.58 and $43.72. ATM implied volatility averaged 15.3%, placing in the 3.8% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 7.1% (HV 20d: 8.2%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 2.07.

Notable Days

  • 2018-08-01: Highest Volume — 43 contracts
  • 2018-08-15: Largest IV drop — 47.7% change
  • 2018-08-14: Highest IV Rank — 9.8%
  • 2018-08-30: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.13$42.58$43.72$43.22$42.58
Max Pain$41.00$41.00$41.00$41.00$41.00
ATM IV15.3%12.3%26.4%14.7%13.0%
Expected Move3.7%2.5%4.5%4.2%3.7%
HV 20d8.2%6.0%9.9%9.9%8.5%
HV 60d10.0%9.4%10.4%10.4%9.7%
IV Rank3.8%2.2%9.8%3.5%2.4%
IV Percentile53.5%26.2%93.3%58.7%32.5%
Term Structure-1.4%-3.2%2.6%-1.3%0.5%
VWIV22.5%19.7%25.6%22.3%25.6%
Skew 25d2.0%0.1%3.6%1.8%1.9%
Skew 10d-1.2%-7.0%5.1%-4.2%-2.0%
Call IV 25d13.0%10.5%15.8%15.1%14.2%
Put IV 25d15.0%12.5%18.1%16.9%16.1%
Bid-Ask Spread %147.84138.50156.15152.38156.15
Gamma HHI0.650.610.690.640.64
Net GEX-6.3K-7.7K-5.3K-5.3K-6.9K
Net DEX8.8K-10.5K23.6K7.0K22.8K
Net VEX-273-296-255-294-267
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.072.072.072.072.07
Total Volume4343434343
Total OI4343434343

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$43.22$41.0014.7%4.2%9.9%3.5%22.3%1.8%-1.3%-5.3K7.0K-2942.07152.3814291429
2018-08-02$43.34$41.0013.4%3.8%9.7%2.8%19.7%1.8%-0.4%-5.8K6.3K-2852.07148.0014291429
2018-08-03$43.57$41.0013.7%3.9%8.7%2.9%25.6%2.3%-1.1%-6.2K-365-2732.07149.4614291429
2018-08-06$43.60$0.0015.4%3.4%7.7%3.9%0.0%2.5%-1.4%-6.0K-2.2K-2692.07144.9614291429
2018-08-07$43.72$0.0015.4%2.5%7.5%3.9%0.0%2.5%1.6%-5.4K-10.5K-2552.07149.6314291429
2018-08-08$43.59$0.0016.1%2.8%6.6%4.2%0.0%2.8%2.6%-6.1K-1.6K-2662.07142.7114291429
2018-08-09$43.63$0.0016.7%3.2%6.0%4.5%0.0%2.6%-0.6%-6.4K-2.9K-2632.07147.3314291429
2018-08-10$43.12$0.0020.1%3.6%7.3%6.4%0.0%1.7%0.1%-5.4K4.9K-2732.07148.4314291429
2018-08-13$43.00$0.0023.6%3.9%7.3%8.2%0.0%0.5%-2.0%-7.1K3.7K-2632.07138.5014291429
2018-08-14$43.05$0.0026.4%3.8%7.3%9.8%0.0%3.6%-2.4%-5.7K8.5K-2692.07150.3314291429
2018-08-15$42.58$0.0013.8%4.0%8.2%3.0%0.0%3.4%-2.2%-5.6K18.4K-2722.07145.6514291429
2018-08-16$42.64$0.0013.2%3.8%8.1%2.7%0.0%3.1%-2.0%-6.0K23.6K-2662.07144.0514291429
2018-08-17$42.89$0.0013.1%3.8%8.4%2.6%0.0%3.2%-2.4%-7.0K11.7K-2592.07141.2914291429
2018-08-20$42.97$0.0012.3%3.5%8.3%2.2%0.0%3.6%-2.3%-6.4K17.7K-2962.07151.6414291429
2018-08-21$43.16$0.0014.1%4.0%8.5%3.2%0.0%0.1%-2.6%-5.9K10.8K-2892.07151.7814291429
2018-08-22$43.15$0.0013.2%3.8%8.3%2.7%0.0%0.5%-2.0%-6.3K9.2K-2862.07155.8414291429
2018-08-23$42.88$0.0013.0%3.7%8.5%2.5%0.0%1.4%-2.9%-5.8K14.5K-2872.07149.8414291429
2018-08-24$43.01$0.0013.5%3.9%8.6%2.8%0.0%1.5%-0.7%-7.0K14.8K-2812.07153.9514291429
2018-08-27$43.24$0.0013.7%3.9%8.9%2.9%0.0%1.1%-2.3%-6.6K10.9K-2762.07146.6714291429
2018-08-28$43.01$0.0013.1%3.7%8.9%2.6%0.0%1.1%-2.4%-6.6K9.3K-2692.07145.8014291429
2018-08-29$43.20$0.0014.5%4.2%8.2%3.3%0.0%1.7%-2.9%-7.5K13.5K-2662.07139.3014291429
2018-08-30$42.91$0.0015.6%4.5%8.4%3.8%0.0%0.9%-3.2%-7.7K11.5K-2632.07146.6014291429
2018-08-31$42.58$0.0013.0%3.7%8.5%2.4%0.0%1.9%0.5%-6.9K22.8K-2672.07156.1514291429