IGF Options History — February 2020 In February 2020, IGF traded between $43.77 and $49.86. ATM implied volatility averaged 27.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 16.9% (HV 20d: 10.8%). Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2020-02-26 : Highest Volume — 39 contracts2020-02-06 : Largest IV spike — 332.1% change2020-02-28 : Highest IV Rank — 51.3%2020-02-28 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $48.57 $43.77 $49.86 $48.75 $43.77 ATM IV 27.7% 7.4% 39.1% 29.7% 39.1% Expected Move 7.2% 2.1% 11.2% 8.5% 11.2% HV 20d 10.8% 8.5% 21.5% 8.5% 21.5% HV 60d 8.3% 7.0% 14.4% 7.1% 14.4% IV Rank 32.9% 0.0% 51.3% 35.9% 51.3% IV Percentile 74.6% 0.0% 95.6% 86.5% 95.6% Term Structure -5.2% -10.6% 1.7% -9.3% -10.6% Skew 25d 3.3% -17.8% 18.1% 0.4% -4.5% Skew 10d 4.9% -15.8% 19.8% 2.6% -13.0% Call IV 25d 17.5% 6.9% 41.8% 10.0% 41.8% Put IV 25d 20.8% 8.1% 37.3% 10.4% 37.3% Bid-Ask Spread % 188.14 125.66 200.00 195.79 178.00 Gamma HHI 0.77 0.66 0.83 0.77 0.75 Net GEX 905 -4.8K 2.8K 1.4K -4.8K Net DEX -16.4K -27.0K 47.4K -20.7K 47.4K Net VEX -74 -271 -43 -59 -271 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 2.105 0 39 0 0 Total OI 11.368 7 47 7 47
Daily Data (19 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 2020-02-03 $48.75 $0.00 29.7% 8.5% 8.5% 35.9% 0.0% 0.4% -9.3% 1.4K -20.7K -59 0.00 195.79 0 0 7 0 2020-02-04 $49.00 $0.00 29.0% 8.3% 8.6% 34.9% 0.0% -17.8% -8.3% 1.3K -21.5K -57 0.00 192.97 0 0 7 0 2020-02-05 $49.31 $0.00 7.4% 2.1% 8.6% 0.0% 0.0% 1.2% 1.7% 2.8K -27.0K -43 0.00 125.66 0 0 7 0 2020-02-06 $49.27 $0.00 32.0% 6.2% 8.5% 39.9% 0.0% -1.1% -2.9% 1.4K -22.6K -56 0.00 175.58 0 0 7 0 2020-02-07 $49.02 $0.00 31.3% 6.1% 8.8% 38.8% 0.0% 0.4% -2.7% 1.4K -21.7K -56 0.00 199.15 0 0 7 0 2020-02-10 $49.02 $0.00 35.0% 6.3% 8.8% 44.7% 0.0% -0.1% -3.3% 1.4K -21.6K -55 0.00 200.00 0 0 7 0 2020-02-11 $49.39 $0.00 38.0% 6.6% 9.0% 49.5% 0.0% 3.5% -4.6% 1.4K -22.9K -53 0.00 197.69 0 0 7 0 2020-02-12 $49.41 $0.00 23.2% 6.6% 8.9% 25.5% 0.0% 15.1% -5.4% 1.4K -22.9K -53 0.00 197.69 0 0 7 0 2020-02-13 $49.34 $0.00 22.3% 6.4% 8.8% 24.1% 0.0% 11.9% -3.6% 1.4K -22.9K -52 0.00 198.02 0 0 7 0 2020-02-14 $49.72 $0.00 21.9% 6.3% 8.9% 23.5% 0.0% 9.8% -3.8% 1.4K -24.2K -50 0.00 196.17 0 0 7 0 2020-02-18 $49.81 $0.00 22.6% 6.5% 8.9% 24.6% 0.0% 2.0% -4.5% 1.5K -24.8K -48 0.00 195.56 0 0 7 0 2020-02-19 $49.86 $0.00 23.2% 6.7% 8.7% 25.6% 0.0% 13.3% -4.5% 1.5K -25.1K -47 0.00 195.63 0 0 7 0 2020-02-20 $49.66 $0.00 23.6% 6.8% 8.9% 26.3% 0.0% 18.1% -4.6% 1.4K -24.0K -49 0.00 196.36 0 0 7 0 2020-02-21 $49.66 $0.00 24.0% 6.9% 8.8% 27.0% 0.0% 11.7% -4.6% 1.4K -23.9K -49 0.00 188.96 1 0 7 0 2020-02-24 $48.35 $0.00 28.5% 8.2% 13.1% 34.2% 0.0% 12.0% -5.8% 1.6K -21.9K -62 0.00 196.86 0 0 8 0 2020-02-25 $47.15 $0.00 31.4% 9.0% 15.4% 38.9% 0.0% -2.0% -7.4% 1.6K -17.4K -61 0.00 186.85 0 0 8 0 2020-02-26 $46.85 $0.00 30.1% 8.6% 14.9% 36.7% 0.0% -6.2% -7.6% 1.5K -16.4K -60 0.00 184.47 0 39 8 0 2020-02-27 $45.47 $0.00 34.3% 9.8% 17.8% 43.6% 0.0% -4.5% -7.8% -3.6K 21.7K -226 0.00 173.16 0 0 8 39 2020-02-28 $43.77 $0.00 39.1% 11.2% 21.5% 51.3% 0.0% -4.5% -10.6% -4.8K 47.4K -271 0.00 178.00 0 0 8 39
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