IGF Options History — March 2020

In March 2020, IGF traded between $28.42 and $46.70. ATM implied volatility averaged 67.5%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 2.3% (HV 20d: 65.2%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2020-03-25: Highest Volume — 70 contracts
2020-03-12: Largest IV spike — 79.2% change
2020-03-10: Highest IV Rank — 100.0%
2020-03-12: Largest Expected Move — 32.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.57	$28.42	$46.70	$45.23	$34.09
Max Pain	$42.00	$42.00	$42.00	$42.00	$42.00
ATM IV	67.5%	34.5%	111.9%	37.5%	55.4%
Expected Move	18.3%	7.9%	32.1%	10.8%	15.9%
HV 20d	65.2%	25.3%	98.8%	25.4%	96.9%
HV 60d	39.8%	15.9%	58.0%	15.9%	58.0%
IV Rank	66.8%	40.6%	100.0%	48.8%	45.9%
IV Percentile	96.9%	90.1%	100.0%	94.0%	92.9%
Term Structure	-16.0%	-60.5%	-2.5%	-6.0%	-9.5%
VWIV	40.2%	19.8%	73.0%	31.8%	47.9%
Skew 25d	-0.6%	-69.1%	13.0%	13.0%	9.3%
Skew 10d	-6.3%	-81.8%	24.9%	-4.6%	14.1%
Call IV 25d	67.0%	28.7%	157.9%	34.0%	44.5%
Put IV 25d	66.4%	32.6%	105.6%	47.0%	53.7%
Bid-Ask Spread %	153.85	117.17	175.27	174.36	117.17
Gamma HHI	0.60	0.49	0.94	0.78	0.94
Net GEX	-1.1K	-6.3K	1.0K	-6.3K	-513
Net DEX	74.2K	3.8K	130.8K	32.3K	130.8K
Net VEX	-190	-464	-13	-220	-13
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	6.909	0	70	0	3
Total OI	100.364	47	119	47	119

Daily Data (22 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	Put OI
2020-03-02	$45.23	$0.00	37.5%	10.8%	25.4%	48.8%	0.0%	13.0%	-6.0%	-6.3K	32.3K	-220	174.36	0	8	39
2020-03-03	$45.43	$0.00	38.8%	11.1%	25.3%	50.9%	0.0%	2.6%	-12.2%	-3.7K	21.9K	-215	171.63	0	8	39
2020-03-04	$46.70	$0.00	34.5%	9.9%	27.4%	43.9%	0.0%	11.0%	-10.5%	-2.2K	3.8K	-177	175.27	0	8	39
2020-03-05	$45.56	$42.00	41.2%	7.9%	28.3%	54.7%	0.0%	3.9%	-2.5%	-3.6K	21.2K	-211	168.51	0	8	39
2020-03-06	$44.67	$42.00	43.5%	8.3%	28.8%	58.6%	31.8%	2.8%	-3.4%	-4.3K	35.2K	-242	166.81	25	8	39
2020-03-09	$40.91	$42.00	61.6%	10.4%	41.2%	87.9%	19.8%	-1.0%	-6.5%	-3.2K	75.1K	-287	159.48	44	33	39
2020-03-10	$40.89	$42.00	75.0%	13.2%	41.2%	100.0%	20.1%	1.8%	-8.7%	976	32.5K	-464	170.72	3	77	39
2020-03-11	$39.06	$42.00	62.4%	17.9%	42.7%	81.4%	73.0%	-3.2%	-10.0%	1.0K	39.6K	-447	170.86	6	80	39
2020-03-12	$34.11	$42.00	111.9%	32.1%	60.9%	100.0%	0.0%	-69.1%	-60.5%	849	33.2K	-406	162.85	0	80	39
2020-03-13	$35.55	$42.00	56.8%	16.3%	64.3%	47.2%	0.0%	10.2%	-11.3%	-352	94.1K	-228	148.18	0	80	39
2020-03-16	$31.60	$42.00	100.0%	28.7%	72.9%	88.7%	0.0%	-9.8%	-24.1%	328	72.1K	-237	157.75	0	80	39
2020-03-17	$32.88	$42.00	83.0%	23.8%	75.8%	72.4%	0.0%	2.9%	-19.5%	108	84.6K	-212	156.48	0	80	39
2020-03-18	$30.19	$42.00	91.1%	26.1%	78.7%	80.1%	0.0%	-3.9%	-25.4%	9	90.4K	-150	146.14	0	80	39
2020-03-19	$30.70	$42.00	68.1%	19.5%	79.7%	58.1%	0.0%	1.6%	-17.5%	-338	109.1K	-64	142.62	0	80	39
2020-03-20	$30.28	$42.00	106.5%	30.5%	79.3%	94.9%	0.0%	-12.0%	-30.1%	156	81.7K	-168	160.15	0	80	39
2020-03-23	$28.42	$42.00	87.8%	25.2%	80.5%	77.0%	0.0%	-16.9%	-20.1%	-159	100.2K	-62	143.37	0	80	39
2020-03-24	$31.55	$42.00	78.1%	22.4%	93.0%	67.6%	0.0%	10.8%	-19.1%	-276	103.4K	-99	155.54	0	80	39
2020-03-25	$33.50	$42.00	83.0%	23.8%	97.2%	72.4%	48.6%	9.0%	-20.3%	-148	94.3K	-156	161.78	70	80	39
2020-03-26	$34.74	$42.00	49.8%	14.3%	98.8%	40.6%	0.0%	4.7%	-11.9%	-1.1K	123.5K	-58	136.28	1	80	39
2020-03-27	$34.29	$42.00	62.9%	18.0%	98.4%	53.1%	0.0%	11.3%	-18.0%	-1.1K	127.4K	-34	119.08	0	80	39
2020-03-30	$34.30	$42.00	55.1%	15.8%	97.1%	45.7%	0.0%	8.3%	-5.7%	-895	125.4K	-40	119.73	0	80	39
2020-03-31	$34.09	$42.00	55.4%	15.9%	96.9%	45.9%	47.9%	9.3%	-9.5%	-513	130.8K	-13	117.17	3	80	39