IGF Options History — October 2018

In October 2018, IGF traded between $40.14 and $42.32. ATM implied volatility averaged 21.0%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 10.1% (HV 20d: 10.9%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.07.

Notable Days

  • 2018-10-03: Highest Volume — 1,229 contracts
  • 2018-10-24: Largest IV spike — 641.3% change
  • 2018-10-24: Highest IV Rank — 69.0%
  • 2018-10-24: Largest Expected Move — 34.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.31$40.14$42.32$42.25$40.65
Max Pain$42.87$42.00$43.00$42.00$43.00
ATM IV21.0%12.6%119.1%13.1%17.1%
Expected Move5.9%3.6%34.2%3.8%4.9%
HV 20d10.9%8.3%13.6%8.8%13.6%
HV 60d9.3%8.1%10.4%8.5%10.4%
IV Rank7.8%2.5%69.0%2.9%5.4%
IV Percentile67.2%21.8%98.8%32.1%73.0%
Term Structure-3.2%-37.4%2.0%0.3%1.0%
VWIV10.2%7.1%14.3%12.3%10.8%
Skew 25d4.1%-3.4%13.7%-0.1%8.4%
Skew 10d2.7%-7.7%13.3%-1.9%12.8%
Call IV 25d19.1%9.7%136.2%15.9%13.4%
Put IV 25d23.2%13.7%132.8%15.8%21.8%
Bid-Ask Spread %146.77125.91195.34139.37149.30
Gamma HHI0.760.530.990.780.97
Net GEX259.5K58.1K474.4K131.3K114.0K
Net DEX-823.9K-1.9M-188.2K-454.5K-188.2K
Net VEX-2.9K-5.2K-802-921-829
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.120.120.00
Total Volume304.13121,22926312
Total OI987.6962631,202263943

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$42.25$42.0013.1%3.8%8.8%2.9%12.3%-0.1%0.3%131.3K-454.5K-9210.12139.372342923429
2018-10-02$42.32$42.0012.6%3.6%8.7%2.5%12.3%-1.4%-0.2%193.0K-493.4K-8020.12144.822342923429
2018-10-03$42.12$42.0013.0%3.7%8.7%2.8%13.2%-0.5%0.2%138.9K-424.3K-8800.02143.971,2002923429
2018-10-04$41.71$43.0014.9%3.8%9.3%4.0%10.6%5.3%-2.1%418.1K-1.4M-5.1K0.02144.341,200291,17029
2018-10-05$41.90$43.0015.5%3.9%8.6%4.3%10.8%2.4%-1.8%433.3K-1.4M-5.2K0.02144.711,200291,17029
2018-10-08$41.96$43.0015.4%4.1%8.3%4.3%11.2%3.0%-2.8%474.4K-1.4M-5.0K0.12144.84238291,17029
2018-10-09$42.03$43.0016.0%3.8%8.3%4.6%11.2%3.6%-1.8%428.6K-1.5M-5.0K0.12145.48238291,16829
2018-10-10$41.47$43.0016.4%4.7%9.4%4.9%10.7%4.1%-3.7%407.3K-1.3M-4.8K0.12132.76238291,16829
2018-10-11$40.87$43.0017.5%5.0%10.3%5.6%14.3%-1.7%-6.2%272.7K-774.6K-3.4K0.12140.91238291,16829
2018-10-12$40.83$43.0022.2%6.4%10.2%8.5%8.0%13.7%-4.2%240.1K-994.8K-3.8K0.12171.94238291,16829
2018-10-15$40.99$43.0015.4%4.4%10.1%4.3%8.1%8.2%-3.4%277.9K-607.1K-2.9K0.12143.19238291,16829
2018-10-16$41.63$43.0014.8%4.2%11.6%3.9%8.0%7.1%-2.6%398.5K-1.1M-3.6K0.12154.21242291,16829
2018-10-17$41.29$43.0016.9%4.8%11.4%5.2%8.5%7.3%-1.2%352.0K-990.6K-3.6K0.12153.49242291,17229
2018-10-18$41.04$43.0014.7%4.2%11.3%3.8%7.1%7.3%0.7%342.6K-781.9K-3.0K0.12141.39242291,17329
2018-10-19$41.63$43.0014.3%4.1%12.6%3.6%8.7%6.8%-1.0%255.8K-712.9K-3.1K0.12152.79242291,17329
2018-10-22$41.31$43.0017.1%4.9%12.6%5.4%8.0%9.0%2.0%262.5K-850.6K-3.0K0.00150.201209430
2018-10-23$41.14$43.0016.1%4.6%12.6%4.7%9.1%1.4%0.3%174.7K-349.6K-1.6K0.00141.631209430
2018-10-24$40.98$43.00119.1%34.2%12.6%69.0%8.6%-3.4%-37.4%58.1K-1.9M-3.9K0.00195.341209430
2018-10-25$40.87$43.0019.2%5.5%12.6%6.6%10.7%3.0%-3.0%182.7K-457.7K-1.9K0.00149.921209430
2018-10-26$40.47$43.0020.9%6.0%12.7%7.7%9.9%4.8%0.1%148.6K-395.2K-1.7K0.00125.911209430
2018-10-29$40.14$43.0020.3%5.8%12.8%7.4%10.4%2.7%-1.8%141.1K-320.1K-1.2K0.00129.411209430
2018-10-30$40.56$43.0020.2%5.8%13.5%7.3%11.4%4.3%-5.2%123.1K-270.4K-1.1K0.00135.751209430
2018-10-31$40.65$43.0017.1%4.9%13.6%5.4%10.8%8.4%1.0%114.0K-188.2K-8290.00149.301209430