IGF Options History — January 2020

In January 2020, IGF traded between $47.55 and $49.09. ATM implied volatility averaged 29.3%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 22.8% (HV 20d: 6.5%). Max pain ranged from $48.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2020-01-13: Highest Volume — 5 contracts
2020-01-13: Largest IV spike — 137.3% change
2020-01-14: Highest IV Rank — 95.5%
2020-01-03: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.43	$47.55	$49.09	$47.77	$48.42
Max Pain	$48.00	$48.00	$48.00	$48.00	$48.00
ATM IV	29.3%	20.9%	66.4%	30.0%	30.0%
Expected Move	6.7%	4.4%	9.5%	8.6%	8.6%
HV 20d	6.5%	5.7%	8.4%	6.3%	8.4%
HV 60d	6.6%	6.2%	7.2%	6.9%	7.1%
IV Rank	35.3%	21.7%	95.5%	36.4%	36.4%
IV Percentile	78.8%	63.9%	99.6%	89.7%	88.1%
Term Structure	-0.4%	-12.6%	41.8%	-11.7%	-8.8%
Skew 25d	3.8%	-24.6%	19.7%	-24.6%	10.7%
Skew 10d	3.7%	-20.4%	23.5%	-20.4%	2.1%
Call IV 25d	15.2%	6.6%	35.6%	34.0%	10.4%
Put IV 25d	19.1%	7.5%	28.9%	9.4%	21.2%
Bid-Ask Spread %	194.68	174.62	200.00	174.62	197.33
Gamma HHI	0.88	0.77	1.00	1.00	0.77
Net GEX	2.6K	1.3K	11.2K	2.8K	1.4K
Net DEX	-26.2K	-46.5K	-19.6K	-26.4K	-19.7K
Net VEX	-68	-81	-60	-81	-61
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	0.286	0	5	0	0
Total OI	9.429	7	12	11	7

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	Spread %	Call Vol	Call OI
2020-01-02	$47.77	$48.00	30.0%	8.6%	6.3%	36.4%	0.0%	-24.6%	-11.7%	2.8K	-26.4K	-81	174.62	0	11
2020-01-03	$47.58	$48.00	33.1%	9.5%	6.3%	41.4%	0.0%	-24.6%	-12.6%	2.6K	-25.3K	-80	181.66	0	11
2020-01-06	$47.66	$0.00	36.5%	5.8%	6.3%	47.0%	0.0%	14.1%	-3.7%	2.8K	-25.6K	-77	199.59	0	11
2020-01-07	$47.55	$0.00	24.7%	5.9%	6.2%	27.8%	0.0%	14.1%	-4.2%	3.0K	-24.7K	-76	199.20	0	11
2020-01-08	$47.84	$0.00	22.8%	4.4%	6.4%	24.8%	0.0%	15.4%	4.9%	3.5K	-26.5K	-75	200.00	0	11
2020-01-09	$47.83	$0.00	25.1%	5.8%	6.4%	28.5%	0.0%	15.5%	-3.6%	3.4K	-26.4K	-74	200.00	0	11
2020-01-10	$47.97	$0.00	24.6%	4.4%	5.9%	27.6%	0.0%	4.0%	7.0%	11.2K	-27.1K	-73	192.00	0	11
2020-01-13	$48.25	$0.00	58.3%	6.2%	6.2%	82.4%	0.0%	17.0%	-4.2%	2.9K	-29.4K	-68	199.58	5	11
2020-01-14	$48.42	$0.00	66.4%	6.4%	6.1%	95.5%	0.0%	-9.6%	-6.1%	2.7K	-30.4K	-67	198.43	1	11
2020-01-15	$48.70	$0.00	20.9%	6.0%	5.7%	21.7%	0.0%	1.4%	-4.6%	2.9K	-35.4K	-73	196.43	0	12
2020-01-16	$49.00	$0.00	21.2%	6.1%	5.9%	22.1%	0.0%	6.1%	-4.5%	3.0K	-37.7K	-69	194.26	0	12
2020-01-17	$49.09	$0.00	21.2%	6.1%	5.9%	22.2%	0.0%	16.4%	-5.0%	1.4K	-46.5K	-64	194.38	0	12
2020-01-21	$48.86	$0.00	22.6%	6.5%	6.3%	24.4%	0.0%	13.2%	41.8%	1.4K	-21.1K	-64	195.15	0	7
2020-01-22	$48.93	$0.00	22.8%	6.5%	6.0%	24.7%	0.0%	0.8%	41.6%	1.3K	-21.3K	-63	194.36	0	7
2020-01-23	$49.07	$0.00	22.9%	6.6%	5.9%	24.9%	0.0%	19.7%	-3.9%	1.4K	-21.8K	-62	194.47	0	7
2020-01-24	$48.93	$0.00	24.5%	7.0%	6.0%	27.5%	0.0%	-1.4%	-5.1%	1.3K	-21.3K	-63	194.49	0	7
2020-01-27	$48.41	$0.00	28.5%	8.2%	7.3%	34.0%	0.0%	9.4%	-7.4%	1.3K	-19.6K	-62	196.64	0	7
2020-01-28	$48.88	$0.00	26.0%	7.4%	7.9%	29.9%	0.0%	2.4%	-5.9%	1.4K	-21.2K	-61	195.48	0	7
2020-01-29	$48.90	$0.00	26.5%	7.6%	7.5%	30.8%	0.0%	-9.8%	-6.9%	1.3K	-21.2K	-61	194.96	0	7
2020-01-30	$48.91	$0.00	26.6%	7.6%	7.5%	30.9%	0.0%	-10.1%	-5.7%	1.4K	-21.3K	-60	195.25	0	7
2020-01-31	$48.42	$0.00	30.0%	8.6%	8.4%	36.4%	0.0%	10.7%	-8.8%	1.4K	-19.7K	-61	197.33	0	7