IGF Options History — December 2019 In December 2019, IGF traded between $46.38 and $48.10. ATM implied volatility averaged 28.5%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 21.9% (HV 20d: 6.6%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2019-12-11 : Largest IV drop — 45.9% change2019-12-10 : Highest IV Rank — 54.9%2019-12-04 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $47.38 $46.38 $48.10 $46.40 $47.90 Max Pain $47.33 $47.00 $48.00 $47.00 $48.00 ATM IV 28.5% 22.4% 41.4% 32.8% 29.1% Expected Move 7.3% 6.4% 10.1% 9.4% 8.3% HV 20d 6.6% 6.0% 7.1% 6.2% 6.1% HV 60d 7.7% 6.9% 8.0% 8.0% 6.9% IV Rank 33.9% 24.1% 54.9% 40.9% 34.9% IV Percentile 84.0% 73.8% 98.0% 94.0% 87.7% Term Structure -4.5% -26.1% 40.8% -12.4% -9.5% Skew 25d -6.9% -30.7% 15.1% -4.1% -20.9% Skew 10d -8.1% -33.3% 18.5% -18.5% -17.6% Call IV 25d 24.5% 10.3% 40.1% 21.4% 31.1% Put IV 25d 17.6% 6.9% 27.7% 17.3% 10.2% Bid-Ask Spread % 184.30 173.03 194.84 187.35 178.81 Gamma HHI 0.69 0.53 1.00 0.60 1.00 Net GEX 3.4K 2.7K 4.9K 3.5K 2.7K Net DEX -28.1K -36.1K -21.2K -21.2K -27.3K Net VEX -105 -117 -83 -106 -83 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 13.857 11 15 15 11
Daily Data (21 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 2019-12-02 $46.40 $0.00 32.8% 9.4% 6.2% 40.9% 0.0% -4.1% -12.4% 3.5K -21.2K -106 0.00 187.35 0 0 15 0 2019-12-03 $46.38 $0.00 33.7% 9.7% 6.1% 42.5% 0.0% -17.3% -14.1% 3.2K -23.4K -113 0.00 186.75 0 0 15 0 2019-12-04 $46.66 $0.00 35.2% 10.1% 6.2% 44.9% 0.0% -30.7% -26.1% 3.4K -25.3K -117 0.00 194.84 0 0 15 0 2019-12-05 $46.69 $47.00 36.4% 6.5% 6.2% 46.8% 0.0% 3.0% -5.4% 3.3K -25.9K -116 0.00 188.33 0 0 15 0 2019-12-06 $46.93 $47.00 36.0% 6.4% 6.0% 46.2% 0.0% -9.3% -5.8% 4.9K -23.7K -110 0.00 173.03 0 0 15 0 2019-12-09 $46.83 $47.00 39.8% 6.5% 6.1% 52.3% 0.0% 1.6% -6.5% 3.4K -26.7K -114 0.00 188.95 0 0 15 0 2019-12-10 $47.00 $47.00 41.4% 6.5% 6.2% 54.9% 0.0% 9.7% -6.4% 3.4K -28.2K -114 0.00 188.81 0 0 15 0 2019-12-11 $47.36 $47.00 22.4% 6.4% 6.7% 24.1% 0.0% 15.1% -6.3% 3.6K -31.2K -116 0.00 187.80 0 0 15 0 2019-12-12 $47.46 $47.00 22.7% 6.5% 6.6% 24.6% 0.0% 9.0% -6.3% 3.7K -31.9K -116 0.00 188.26 0 0 15 0 2019-12-13 $47.69 $47.00 23.6% 6.8% 6.7% 26.0% 0.0% 5.3% -7.2% 3.9K -33.9K -116 0.00 184.91 0 0 15 0 2019-12-16 $47.40 $47.00 22.9% 6.6% 6.7% 25.0% 0.0% -1.1% -8.0% 3.6K -31.5K -112 0.00 187.38 0 0 15 0 2019-12-17 $47.58 $47.00 23.2% 6.6% 6.8% 25.4% 0.0% -0.4% -8.6% 3.6K -33.0K -112 0.00 186.00 0 0 15 0 2019-12-18 $47.65 $47.00 23.1% 6.6% 6.8% 25.3% 0.0% -11.4% -8.4% 3.9K -33.5K -111 0.00 184.17 0 0 15 0 2019-12-19 $47.65 $47.00 24.0% 6.9% 6.7% 26.7% 0.0% -0.5% -9.2% 3.7K -33.6K -110 0.00 183.66 0 0 15 0 2019-12-20 $47.94 $47.00 23.1% 6.6% 6.8% 25.2% 0.0% 0.3% -8.9% 3.8K -36.1K -110 0.00 182.97 0 0 15 0 2019-12-23 $47.80 $48.00 24.1% 6.9% 7.0% 26.8% 0.0% -22.6% 40.8% 2.7K -23.8K -87 0.00 178.87 0 0 11 0 2019-12-24 $47.78 $48.00 24.5% 7.0% 7.0% 27.5% 0.0% -22.0% 40.8% 2.8K -23.6K -86 0.00 182.48 0 0 11 0 2019-12-26 $47.95 $48.00 25.2% 7.2% 7.0% 28.6% 0.0% -4.3% -8.2% 2.9K -24.7K -85 0.00 179.26 0 0 11 0 2019-12-27 $48.10 $48.00 26.4% 7.6% 7.1% 30.5% 0.0% -24.0% -9.3% 3.0K -25.6K -85 0.00 179.83 0 0 11 0 2019-12-30 $47.80 $48.00 28.2% 8.1% 7.0% 33.6% 0.0% -20.5% -9.1% 2.9K -26.6K -84 0.00 177.91 0 0 11 0 2019-12-31 $47.90 $48.00 29.1% 8.3% 6.1% 34.9% 0.0% -20.9% -9.5% 2.7K -27.3K -83 0.00 178.81 0 0 11 0
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