IGF Options History — December 2018 In December 2018, IGF traded between $38.23 and $41.62. ATM implied volatility averaged 18.4%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.1% (HV 20d: 12.2%). Max pain ranged from $41.00 to $41.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 13 of 20 days.
Notable Days 2018-12-24 : Highest Volume — 3 contracts2018-12-19 : Largest IV spike — 61.6% change2018-12-06 : Highest IV Rank — 9.6%2018-12-19 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $40.33 $38.23 $41.62 $41.55 $39.33 Max Pain $41.00 $41.00 $41.00 $41.00 $41.00 ATM IV 18.4% 14.8% 23.9% 18.5% 18.6% Expected Move 4.9% 4.2% 6.8% 5.3% 5.3% HV 20d 12.2% 8.7% 16.7% 12.0% 16.7% HV 60d 12.4% 11.4% 14.3% 11.5% 14.2% IV Rank 6.1% 3.9% 9.6% 6.2% 6.3% IV Percentile 70.8% 46.8% 92.5% 75.4% 75.4% Term Structure 16.9% -9.7% 72.6% -6.4% 72.4% Skew 25d 1.1% -6.3% 6.8% -4.0% 2.5% Skew 10d 0.6% -9.8% 10.9% -2.1% 2.8% Call IV 25d 17.2% 15.1% 28.5% 15.5% 19.6% Put IV 25d 18.4% 11.5% 22.1% 11.5% 22.1% Bid-Ask Spread % 139.59 125.56 168.31 151.28 140.61 Gamma HHI 0.45 0.22 0.72 0.39 0.25 Net GEX -1.5K -8.5K 2.2K 2.1K 582 Net DEX 4.2K -14.7K 28.8K -14.7K 4.9K Net VEX -76 -104 -57 -59 -71 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.55 0 3 0 0 Total OI 21.75 9 34 9 14
Daily Data (20 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 2018-12-03 $41.55 $0.00 18.5% 5.3% 12.0% 6.2% 0.0% -4.0% -6.4% 2.1K -14.7K -59 0.00 151.28 0 0 9 0 2018-12-04 $41.20 $0.00 18.4% 5.3% 11.7% 6.2% 0.0% 2.9% -9.7% 2.2K -13.5K -57 0.00 148.22 0 0 9 0 2018-12-05 $41.16 $0.00 16.3% 4.7% 11.7% 4.9% 0.0% 6.8% -1.9% 2.2K -13.6K -58 0.00 147.47 0 0 9 0 2018-12-06 $41.28 $41.00 23.9% 4.6% 10.3% 9.6% 0.0% 2.5% -0.7% 1.9K -12.1K -57 0.00 129.88 0 0 9 0 2018-12-07 $41.30 $41.00 19.8% 4.5% 9.5% 7.1% 0.0% 2.0% -0.4% 2.0K -13.5K -58 0.00 142.32 0 0 9 0 2018-12-10 $41.01 $41.00 23.7% 4.3% 9.8% 9.5% 0.0% 1.5% 1.4% -3.8K 10.6K -98 0.00 130.82 0 0 9 22 2018-12-11 $41.13 $41.00 21.7% 4.3% 8.7% 8.2% 0.0% 2.1% 1.7% -2.8K 12.9K -104 0.00 140.75 0 0 9 22 2018-12-12 $41.49 $41.00 15.3% 4.4% 9.2% 4.2% 0.0% 2.2% 0.8% -2.7K 895 -90 0.00 145.47 0 0 9 22 2018-12-13 $41.62 $41.00 15.1% 4.3% 9.2% 4.1% 0.0% 2.3% 0.5% -2.3K -205 -89 0.00 145.62 0 0 9 22 2018-12-14 $41.25 $41.00 15.5% 4.4% 9.7% 4.4% 0.0% 2.3% 1.0% -2.4K 12.0K -96 0.00 145.52 0 2 9 22 2018-12-17 $40.50 $41.00 15.8% 4.5% 11.2% 4.5% 0.0% 1.2% 1.1% -6.3K 19.6K -97 0.00 134.91 0 0 9 24 2018-12-18 $39.76 $41.00 14.8% 4.2% 12.8% 3.9% 0.0% 2.2% 3.7% -7.4K 17.6K -88 0.00 136.24 0 0 9 24 2018-12-19 $39.69 $41.00 23.8% 6.8% 12.5% 9.6% 0.0% -6.3% -5.5% -4.9K 28.8K -83 0.00 168.31 0 0 9 24 2018-12-20 $39.59 $41.00 15.4% 4.4% 12.5% 4.3% 0.0% 2.4% 2.1% -8.5K 22.7K -74 0.00 133.88 0 1 9 24 2018-12-21 $39.24 $41.00 17.4% 5.0% 12.7% 5.6% 0.0% -1.3% -2.6% -1.0K -1.3K -65 0.00 130.63 0 2 9 25 2018-12-24 $38.23 $41.00 19.0% 5.4% 14.6% 6.5% 0.0% -2.5% 68.5% 506 3.7K -65 0.00 126.33 0 3 9 4 2018-12-26 $39.02 $41.00 17.6% 5.1% 16.7% 5.7% 0.0% 2.2% 70.5% 284 7.2K -67 0.00 125.56 0 1 9 5 2018-12-27 $39.04 $41.00 18.2% 5.2% 16.4% 6.0% 0.0% 1.6% 72.6% 352 6.9K -66 0.00 128.64 0 1 9 5 2018-12-28 $39.27 $41.00 18.3% 5.2% 16.7% 6.1% 0.0% 0.4% 68.8% 606 4.3K -75 0.00 139.31 0 1 9 5 2018-12-31 $39.33 $41.00 18.6% 5.3% 16.7% 6.3% 0.0% 2.5% 72.4% 582 4.9K -71 0.00 140.61 0 0 9 5
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