IGF Options History — September 2019 In September 2019, IGF traded between $45.49 and $46.47. ATM implied volatility averaged 16.8%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 6.8% (HV 20d: 10.0%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-09-10 : Highest Volume — 3 contracts2019-09-09 : Largest IV spike — 78.3% change2019-09-09 : Highest IV Rank — 21.3%2019-09-09 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $46.11 $45.49 $46.47 $45.76 $46.47 Max Pain $41.56 $41.00 $42.00 $42.00 $42.00 ATM IV 16.8% 11.8% 31.4% 11.8% 17.5% Expected Move 4.4% 3.4% 5.9% 3.4% 5.0% HV 20d 10.0% 7.4% 12.9% 12.5% 7.5% HV 60d 10.9% 10.3% 11.7% 11.4% 10.3% IV Rank 8.3% 3.8% 21.3% 3.8% 8.9% IV Percentile 47.8% 5.2% 97.2% 5.2% 63.5% Term Structure 12.9% -3.5% 58.5% 0.4% 56.3% VWIV 31.5% 29.9% 33.1% 33.1% 29.9% Skew 25d -0.5% -8.1% 3.5% -0.2% 1.5% Skew 10d 2.4% -9.4% 8.9% 2.7% 6.0% Call IV 25d 16.3% 9.2% 22.7% 11.4% 18.0% Put IV 25d 15.9% 11.0% 21.9% 11.2% 19.5% Bid-Ask Spread % 158.01 116.08 180.32 120.37 154.47 Gamma HHI 0.99 0.97 1.00 1.00 1.00 Net GEX 24.5K 15.4K 44.9K 21.9K 28.3K Net DEX -115.1K -136.2K -80.0K -80.0K -124.7K Net VEX -360 -432 -287 -364 -295 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.3 0 3 0 0 Total OI 69.2 68 71 68 68
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 2019-09-03 $45.76 $0.00 11.8% 3.4% 12.5% 3.8% 0.0% -0.2% 0.4% 21.9K -80.0K -364 0.00 120.37 0 0 66 2 2019-09-04 $46.23 $0.00 16.8% 4.8% 12.9% 8.3% 0.0% -6.0% -3.2% 22.9K -121.9K -432 0.00 164.32 0 0 66 2 2019-09-05 $46.22 $42.00 17.0% 3.7% 12.7% 8.5% 0.0% 1.4% -2.1% 23.3K -120.7K -428 0.00 156.74 0 0 66 2 2019-09-06 $46.26 $42.00 17.6% 3.7% 12.5% 9.0% 0.0% 1.5% 0.4% 23.8K -121.1K -421 0.00 157.97 0 0 66 2 2019-09-09 $46.03 $42.00 31.4% 5.9% 12.7% 21.3% 0.0% -8.1% -2.4% 15.4K -125.1K -419 0.00 180.32 0 0 66 2 2019-09-10 $45.89 $42.00 24.7% 4.6% 12.3% 15.3% 33.1% 1.5% -1.5% 18.2K -111.9K -402 0.00 170.41 3 0 66 2 2019-09-11 $45.95 $41.00 16.7% 4.8% 12.3% 8.2% 0.0% 1.1% -2.4% 18.5K -127.9K -400 0.00 171.47 0 0 69 2 2019-09-12 $46.16 $41.00 16.4% 4.7% 9.2% 7.9% 0.0% 2.1% -1.7% 19.4K -136.2K -396 0.00 172.29 0 0 69 2 2019-09-13 $45.90 $41.00 15.8% 4.5% 9.6% 7.4% 0.0% -5.4% -1.8% 19.6K -122.3K -377 0.00 170.40 0 0 69 2 2019-09-16 $45.49 $41.00 18.8% 5.4% 9.8% 10.1% 0.0% -7.4% -3.5% 18.1K -103.7K -347 0.00 173.57 0 0 69 2 2019-09-17 $45.84 $41.00 17.1% 4.9% 9.6% 8.5% 0.0% 1.4% -2.8% 19.1K -119.9K -357 0.00 170.55 0 0 69 2 2019-09-18 $46.05 $41.00 13.0% 3.7% 9.6% 4.9% 29.9% 1.4% -1.1% 25.5K -116.2K -348 0.00 157.69 3 0 69 2 2019-09-19 $46.18 $41.00 13.7% 3.9% 9.4% 5.5% 0.0% 0.8% -1.7% 25.8K -124.5K -343 0.00 159.38 0 0 69 2 2019-09-20 $46.27 $41.00 13.9% 4.0% 9.2% 5.7% 0.0% 0.9% -1.6% 26.4K -129.4K -349 0.00 158.71 0 0 69 2 2019-09-23 $46.25 $42.00 14.5% 4.1% 7.9% 6.2% 0.0% 3.5% 56.9% 28.3K -110.3K -321 0.00 153.71 0 0 66 2 2019-09-24 $46.33 $42.00 15.3% 4.4% 7.8% 6.9% 0.0% 3.5% 55.3% 44.9K -87.2K -293 0.00 145.76 0 0 66 2 2019-09-25 $46.22 $42.00 12.0% 3.4% 7.7% 4.0% 0.0% 1.8% 0.4% 34.0K -86.2K -287 0.00 116.08 0 0 66 2 2019-09-26 $46.41 $42.00 16.7% 4.8% 7.8% 8.2% 0.0% 1.4% 55.0% 26.9K -123.0K -322 0.00 153.21 0 0 66 2 2019-09-27 $46.28 $42.00 15.2% 4.4% 7.4% 6.8% 0.0% -5.7% 58.5% 29.3K -110.0K -297 0.00 152.65 0 0 66 2 2019-09-30 $46.47 $42.00 17.5% 5.0% 7.5% 8.9% 0.0% 1.5% 56.3% 28.3K -124.7K -295 0.00 154.47 0 0 66 2
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