IGF Options History — September 2018

In September 2018, IGF traded between $41.96 and $42.91. ATM implied volatility averaged 15.0%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 6.0% (HV 20d: 9.0%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.66.

Notable Days

2018-09-25: Highest Volume — 263 contracts
2018-09-12: Largest IV drop — 27.7% change
2018-09-11: Highest IV Rank — 6.4%
2018-09-04: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.45	$41.96	$42.91	$42.40	$42.18
Max Pain	$42.82	$42.00	$43.00	$43.00	$42.00
ATM IV	15.0%	12.1%	18.7%	18.3%	14.7%
Expected Move	4.1%	3.5%	5.3%	5.3%	4.2%
HV 20d	9.0%	8.3%	9.5%	8.6%	9.1%
HV 60d	9.4%	9.0%	9.9%	9.7%	9.0%
IV Rank	3.9%	2.2%	6.4%	5.3%	3.9%
IV Percentile	54.0%	19.0%	81.7%	81.3%	56.7%
Term Structure	-2.1%	-4.9%	2.0%	-4.9%	-2.9%
VWIV	13.2%	10.0%	14.7%	13.0%	14.7%
Skew 25d	2.2%	-1.5%	5.1%	2.1%	0.7%
Skew 10d	1.7%	-1.7%	6.4%	2.4%	-1.7%
Call IV 25d	14.4%	12.2%	17.0%	17.0%	14.9%
Put IV 25d	16.6%	14.8%	19.4%	19.1%	15.6%
Bid-Ask Spread %	147.65	136.65	159.42	159.42	143.05
Gamma HHI	0.66	0.62	0.77	0.64	0.77
Net GEX	10.0K	-9.0K	113.4K	-6.4K	113.4K
Net DEX	-42.8K	-439.1K	42.4K	28.0K	-425.9K
Net VEX	-356	-1.1K	-185	-259	-1.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.12	2.07	2.07	0.12
Total Volume	89.316	43	263	43	263
Total OI	77.737	43	263	43	263

Daily Data (19 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
2018-09-04	$42.40	$0.00	18.3%	5.3%	8.6%	5.3%	0.0%	2.1%	-4.9%	-6.4K	28.0K	-259	2.07	159.42	14	29	14	29
2018-09-05	$42.59	$0.00	16.0%	4.6%	8.7%	4.0%	0.0%	1.9%	-0.1%	-6.6K	31.0K	-252	2.07	153.75	14	29	14	29
2018-09-06	$42.61	$43.00	16.4%	3.9%	8.7%	4.3%	13.0%	3.1%	-2.6%	-6.4K	25.0K	-253	2.07	146.62	14	29	14	29
2018-09-07	$42.12	$43.00	17.5%	4.1%	9.4%	4.8%	14.0%	4.6%	-0.2%	-5.7K	38.9K	-248	2.07	146.95	14	29	14	29
2018-09-10	$42.37	$43.00	18.6%	4.0%	9.0%	5.4%	14.1%	5.0%	0.2%	-6.6K	32.7K	-237	2.07	152.74	14	29	14	29
2018-09-11	$42.37	$43.00	18.7%	3.9%	9.0%	6.4%	13.4%	5.1%	0.2%	-6.8K	38.0K	-231	2.07	145.23	14	29	14	29
2018-09-12	$42.53	$43.00	13.5%	3.9%	9.1%	3.1%	13.6%	1.4%	-1.9%	-7.2K	30.2K	-232	2.07	155.47	14	29	14	29
2018-09-13	$42.67	$43.00	12.7%	3.6%	8.3%	2.6%	12.5%	2.3%	-3.2%	-7.8K	25.2K	-231	2.07	151.32	14	29	14	29
2018-09-14	$42.43	$43.00	14.4%	4.1%	8.5%	3.7%	13.2%	1.2%	-1.4%	-7.3K	30.7K	-228	2.07	147.60	14	29	14	29
2018-09-17	$42.67	$43.00	13.7%	3.9%	8.5%	3.3%	13.2%	4.3%	-3.7%	-7.7K	20.6K	-219	2.07	147.87	14	29	14	29
2018-09-18	$42.91	$43.00	12.8%	3.7%	8.7%	2.7%	12.7%	2.8%	-2.0%	-9.0K	18.5K	-209	2.07	153.34	14	29	14	29
2018-09-19	$42.48	$43.00	15.3%	4.4%	9.3%	4.3%	12.8%	2.4%	-3.1%	-8.1K	25.2K	-214	2.07	141.77	14	29	14	29
2018-09-20	$42.66	$43.00	14.2%	4.1%	9.4%	3.6%	13.7%	1.7%	-4.2%	-8.3K	27.9K	-208	2.07	145.49	14	29	14	29
2018-09-21	$42.77	$43.00	13.6%	3.9%	9.2%	3.1%	12.9%	2.3%	-3.8%	-8.7K	24.3K	-201	2.07	141.68	14	29	14	29
2018-09-24	$42.45	$43.00	14.2%	4.1%	9.5%	3.6%	12.7%	0.9%	-2.5%	-7.2K	30.2K	-197	2.07	150.61	14	29	14	29
2018-09-25	$42.22	$43.00	12.1%	3.5%	9.4%	2.2%	10.0%	-1.5%	2.0%	-7.9K	42.4K	-185	0.12	147.23	234	29	14	29
2018-09-26	$42.09	$42.00	14.5%	4.2%	9.3%	3.7%	14.5%	0.3%	-3.4%	93.9K	-439.1K	-1.1K	0.12	138.50	234	29	234	29
2018-09-27	$41.96	$42.00	13.9%	4.0%	9.1%	3.4%	14.1%	1.7%	-2.8%	100.5K	-416.4K	-1.1K	0.12	136.65	234	29	234	29
2018-09-28	$42.18	$42.00	14.7%	4.2%	9.1%	3.9%	14.7%	0.7%	-2.9%	113.4K	-425.9K	-1.0K	0.12	143.05	234	29	234	29