IGF Options History — October 2019 In October 2019, IGF traded between $45.63 and $47.13. ATM implied volatility averaged 27.1%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 17.6% (HV 20d: 9.5%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2019-10-25 : Highest Volume — 6 contracts2019-10-23 : Largest IV spike — 153.7% change2019-10-31 : Highest IV Rank — 63.4%2019-10-31 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $46.57 $45.63 $47.13 $46.28 $47.01 Max Pain $42.00 $42.00 $42.00 $42.00 $42.00 ATM IV 27.1% 10.5% 40.0% 16.6% 31.9% Expected Move 7.1% 3.0% 9.1% 4.8% 9.1% HV 20d 9.5% 7.5% 10.5% 7.5% 7.9% HV 60d 10.9% 9.9% 11.2% 10.3% 9.9% IV Rank 25.8% 2.7% 63.4% 8.1% 63.4% IV Percentile 87.4% 4.4% 99.2% 53.6% 96.4% Term Structure -2.3% -13.8% 60.0% 60.0% -10.0% Skew 25d 6.8% -6.4% 20.5% -6.4% 8.3% Skew 10d 3.6% -17.2% 21.0% -6.8% 13.1% Call IV 25d 21.2% 8.2% 33.1% 18.0% 33.1% Put IV 25d 28.0% 9.5% 41.4% 11.6% 41.4% Bid-Ask Spread % 189.98 130.37 200.00 149.60 194.84 Gamma HHI 0.90 0.50 1.00 1.00 0.50 Net GEX 19.9K 879 182.9K 29.8K 1.9K Net DEX -77.4K -145.7K -8.7K -108.7K -20.8K Net VEX -148 -273 -35 -271 -108 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 0.565 0 6 1 0 Total OI 44.348 4 69 68 10
Daily Data (23 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 2019-10-01 $46.28 $42.00 16.6% 4.8% 7.5% 8.1% 0.0% -6.4% 60.0% 29.8K -108.7K -271 0.00 149.60 1 0 66 2 2019-10-02 $45.63 $42.00 19.5% 5.6% 8.3% 10.7% 0.0% -4.6% -1.2% 22.6K -78.1K -232 0.00 156.12 0 0 67 2 2019-10-03 $45.76 $0.00 34.3% 6.7% 8.4% 24.0% 0.0% 17.1% -4.1% 16.0K -111.3K -270 0.00 200.00 0 0 67 2 2019-10-04 $46.33 $0.00 35.6% 6.7% 9.6% 25.1% 0.0% 18.6% -4.9% 20.3K -128.6K -273 0.00 197.98 0 0 67 2 2019-10-07 $46.16 $0.00 38.7% 7.0% 9.5% 27.9% 0.0% 18.9% -5.3% 17.8K -124.7K -247 0.00 198.79 0 0 67 2 2019-10-08 $45.76 $0.00 40.0% 7.0% 9.9% 29.0% 0.0% 17.2% -5.1% 15.2K -113.2K -227 0.00 200.00 0 0 67 2 2019-10-09 $46.20 $0.00 25.2% 7.2% 10.5% 15.8% 0.0% 19.7% -6.2% 16.8K -127.9K -228 0.00 198.02 0 0 67 2 2019-10-10 $46.37 $0.00 25.0% 7.2% 10.5% 15.6% 0.0% 20.5% -6.1% 18.8K -132.1K -218 0.00 198.06 0 0 67 2 2019-10-11 $46.69 $0.00 23.7% 6.8% 10.5% 14.5% 0.0% -3.5% -13.0% 19.8K -145.7K -213 0.00 196.17 0 0 67 2 2019-10-14 $46.41 $0.00 26.0% 7.5% 10.2% 16.5% 0.0% 4.7% -6.6% 19.7K -132.4K -169 0.00 197.69 0 0 67 2 2019-10-15 $46.55 $0.00 24.5% 7.0% 9.9% 15.2% 0.0% -6.0% -11.6% 20.3K -138.3K -157 0.00 197.09 2 0 67 2 2019-10-16 $46.53 $0.00 25.2% 7.2% 9.8% 15.8% 0.0% 5.2% -12.9% 19.8K -133.3K -128 0.00 197.33 0 0 65 2 2019-10-17 $46.76 $0.00 24.9% 7.1% 9.9% 15.5% 0.0% -3.7% -13.8% 22.7K -141.9K -104 0.00 195.93 0 0 65 2 2019-10-18 $46.84 $0.00 24.8% 7.1% 9.9% 15.4% 0.0% -0.8% -13.0% 182.9K -35.8K -50 0.00 195.56 0 0 65 2 2019-10-21 $46.89 $0.00 26.0% 7.4% 9.9% 16.5% 0.0% 13.5% 43.2% 1.7K -10.4K -44 0.00 195.63 4 0 5 0 2019-10-22 $46.99 $0.00 10.5% 3.0% 9.9% 2.7% 0.0% 1.3% 0.7% 1.5K -8.7K -35 0.00 130.37 0 0 4 0 2019-10-23 $47.08 $0.00 26.8% 7.7% 9.8% 17.2% 0.0% 5.1% -5.8% 1.5K -8.9K -35 0.00 194.56 0 0 4 0 2019-10-24 $47.13 $0.00 27.6% 7.9% 9.7% 18.0% 0.0% 6.1% -6.3% 879 -9.3K -35 0.00 194.46 0 0 4 0 2019-10-25 $47.01 $0.00 28.1% 8.0% 9.7% 53.5% 0.0% 2.3% -6.7% 925 -9.0K -35 0.00 194.58 6 0 4 0 2019-10-28 $46.91 $0.00 29.1% 8.3% 9.7% 56.2% 0.0% 7.7% -7.5% 1.9K -20.3K -108 0.00 195.41 0 0 10 0 2019-10-29 $46.78 $0.00 30.0% 8.6% 9.6% 58.5% 0.0% 7.2% -8.6% 1.9K -19.8K -107 0.00 196.17 0 0 10 0 2019-10-30 $46.95 $0.00 29.9% 8.6% 8.0% 58.3% 0.0% 7.5% -8.9% 1.9K -20.5K -108 0.00 195.17 0 0 10 0 2019-10-31 $47.01 $0.00 31.9% 9.1% 7.9% 63.4% 0.0% 8.3% -10.0% 1.9K -20.8K -108 0.00 194.84 0 0 10 0
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