IGF Options History — November 2019 In November 2019, IGF traded between $46.55 and $47.54. ATM implied volatility averaged 30.7%, placing in the 45.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 23.8% (HV 20d: 6.9%). Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-11-13 : Highest Volume — 10 contracts2019-11-06 : Largest IV spike — 246.5% change2019-11-08 : Highest IV Rank — 100.0%2019-11-29 : Largest Expected Move — 8.5%Monthly Statistics Metric Avg Min Max Open Close Price $46.93 $46.55 $47.54 $47.54 $46.78 ATM IV 30.7% 9.3% 69.1% 25.9% 29.6% Expected Move 6.6% 2.7% 8.5% 7.4% 8.5% HV 20d 6.9% 6.3% 7.8% 7.7% 7.1% HV 60d 8.7% 7.7% 10.0% 10.0% 7.8% IV Rank 45.9% 2.8% 100.0% 48.0% 35.8% IV Percentile 78.5% 2.8% 100.0% 89.3% 91.7% Term Structure -4.1% -9.0% 9.6% 3.8% -9.0% Skew 25d -1.2% -19.7% 23.8% 23.8% -19.7% Skew 10d 2.8% -22.1% 33.0% 33.0% -22.1% Call IV 25d 20.2% 7.9% 30.7% 17.4% 30.7% Put IV 25d 19.1% 9.4% 41.2% 41.2% 11.1% Bid-Ask Spread % 185.94 113.64 198.09 189.73 185.51 Gamma HHI 0.55 0.50 0.60 0.50 0.56 Net GEX 1.2K -3.0K 5.8K 2.0K 3.4K Net DEX -6.6K -29.2K 24.1K -23.2K -26.5K Net VEX -120 -142 -100 -110 -122 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 0.8 0 10 0 0 Total OI 16.6 10 21 10 15
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 2019-11-01 $47.54 $0.00 25.9% 7.4% 7.7% 48.0% 0.0% 23.8% 3.8% 2.0K -23.2K -110 0.00 189.73 0 0 10 0 2019-11-04 $47.31 $0.00 37.0% 6.1% 7.8% 77.0% 0.0% 13.5% -3.9% -1.2K 7.8K -142 0.00 197.69 0 0 10 11 2019-11-05 $47.03 $0.00 11.0% 3.5% 7.4% 9.0% 0.0% 2.9% -1.3% -3.0K 24.1K -125 0.00 149.12 0 0 10 11 2019-11-06 $46.88 $0.00 38.2% 6.3% 6.9% 80.0% 0.0% 10.9% -3.9% -1.4K 13.7K -133 0.00 197.33 0 1 10 11 2019-11-07 $46.60 $0.00 42.8% 6.6% 7.2% 92.1% 0.0% 6.5% -4.7% -569 11.8K -127 0.00 195.79 0 0 10 10 2019-11-08 $46.59 $0.00 46.3% 6.6% 6.8% 100.0% 0.0% 2.8% -4.0% -488 11.5K -125 0.00 195.70 0 0 10 10 2019-11-11 $46.55 $0.00 60.5% 6.9% 6.4% 100.0% 0.0% -8.7% -5.2% -897 13.9K -117 0.00 187.28 0 0 10 10 2019-11-12 $46.55 $0.00 69.1% 6.8% 6.3% 100.0% 0.0% -8.7% -5.0% -1.2K 15.3K -113 0.00 186.91 0 0 10 10 2019-11-13 $46.75 $0.00 24.1% 6.9% 6.5% 26.8% 0.0% -6.3% -4.6% -1.3K 13.1K -112 0.00 190.10 0 10 10 10 2019-11-14 $46.69 $0.00 24.6% 7.1% 6.3% 27.7% 0.0% -8.7% -5.0% 227 1.8K -106 0.00 188.74 0 0 10 7 2019-11-15 $47.05 $0.00 24.2% 6.9% 6.8% 26.9% 0.0% 14.9% -5.7% 2.1K 12.4K -101 0.00 198.09 0 0 10 7 2019-11-18 $47.14 $0.00 24.6% 7.0% 6.9% 27.6% 0.0% -10.6% -6.0% 2.2K -21.0K -100 0.00 188.74 0 0 10 0 2019-11-19 $47.17 $0.00 9.3% 2.7% 6.8% 2.8% 0.0% -10.0% 9.6% 2.2K -21.6K -100 0.00 186.19 5 0 10 0 2019-11-20 $47.06 $0.00 25.6% 7.3% 6.9% 29.3% 0.0% -8.2% -6.8% 3.3K -29.2K -133 0.00 193.69 0 0 15 0 2019-11-21 $46.92 $0.00 26.5% 7.6% 6.9% 30.8% 0.0% -3.2% -6.7% 3.4K -27.7K -130 0.00 190.31 0 0 15 0 2019-11-22 $46.92 $0.00 26.3% 7.5% 6.9% 30.3% 0.0% 10.1% -6.2% 3.4K -27.7K -129 0.00 196.63 0 0 15 0 2019-11-25 $46.95 $0.00 12.2% 3.5% 6.8% 7.5% 0.0% 2.6% -1.3% 5.8K -22.0K -114 0.00 113.64 0 0 15 0 2019-11-26 $47.06 $0.00 27.6% 7.9% 6.8% 32.5% 0.0% -17.6% -8.0% 3.4K -28.9K -128 0.00 190.19 0 0 15 0 2019-11-27 $47.09 $0.00 28.7% 8.2% 6.7% 34.3% 0.0% -9.3% -8.5% 3.5K -29.0K -127 0.00 197.33 0 0 15 0 2019-11-29 $46.78 $0.00 29.6% 8.5% 7.1% 35.8% 0.0% -19.7% -9.0% 3.4K -26.5K -122 0.00 185.51 0 0 15 0
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