IGF Options History — April 2020 In April 2020, IGF traded between $32.04 and $37.55. ATM implied volatility averaged 44.9%, placing in the 35.9% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded below realized volatility by 26.6% (HV 20d: 71.5%). Max pain ranged from $30.00 to $42.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-04-01 : Highest Volume — 10 contracts2020-04-08 : Largest IV drop — 32.0% change2020-04-01 : Highest IV Rank — 54.5%2020-04-01 : Largest Expected Move — 18.4%Monthly Statistics Metric Avg Min Max Open Close Price $35.41 $32.04 $37.55 $32.06 $36.94 Max Pain $32.24 $30.00 $42.00 $42.00 $30.00 ATM IV 44.9% 32.5% 64.3% 64.3% 40.5% Expected Move 12.4% 9.3% 18.4% 18.4% 11.6% HV 20d 71.5% 41.3% 98.5% 96.9% 41.3% HV 60d 62.5% 59.1% 64.1% 59.1% 64.1% IV Rank 35.9% 24.0% 54.5% 54.5% 31.6% IV Percentile 87.6% 75.0% 95.2% 95.2% 82.5% Term Structure -6.9% -21.0% -0.8% -21.0% -7.4% VWIV 49.3% 46.4% 52.2% 46.4% 52.2% Skew 25d 4.9% -16.8% 18.1% 6.6% 1.1% Skew 10d 9.6% -13.8% 18.8% 4.0% 3.2% Call IV 25d 41.3% 32.2% 64.6% 64.6% 38.2% Put IV 25d 46.2% 30.4% 71.2% 71.2% 39.4% Bid-Ask Spread % 136.25 119.74 148.67 127.59 142.34 Gamma HHI 0.58 0.39 0.78 0.45 0.61 Net GEX 5.3K -264 8.8K -264 8.8K Net DEX -59.9K -206.4K 116.4K 116.4K -185.2K Net VEX -735 -1.0K -36 -36 -947 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 1.238 0 10 10 0 Total OI 152.476 106 227 122 110
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 2020-04-01 $32.06 $42.00 64.3% 18.4% 96.9% 54.5% 0.0% 6.6% -21.0% -264 116.4K -36 0.00 127.59 10 0 83 39 2020-04-02 $33.01 $35.00 51.6% 13.6% 98.4% 42.3% 0.0% 9.2% -7.6% 799 111.6K -59 0.00 119.74 0 0 93 39 2020-04-03 $32.04 $35.00 52.3% 12.5% 98.5% 43.0% 0.0% 7.7% -1.8% 734 110.8K -52 0.00 125.61 0 0 93 39 2020-04-06 $33.91 $35.00 46.2% 10.7% 98.0% 37.2% 0.0% 5.9% -3.7% 1.3K 113.6K -55 0.00 131.44 1 0 93 39 2020-04-07 $34.32 $35.00 59.8% 13.0% 98.2% 50.1% 46.4% 6.9% -6.0% 1.4K 111.5K -60 0.00 133.91 2 0 94 39 2020-04-08 $34.87 $35.00 40.6% 11.6% 97.6% 31.8% 0.0% 5.4% -3.8% 5.5K -17.7K -941 0.00 138.45 0 0 186 39 2020-04-09 $36.70 $35.00 40.7% 11.7% 86.5% 31.8% 0.0% 8.1% -3.0% 4.6K -54.6K -1.0K 0.00 135.09 4 0 186 39 2020-04-13 $36.11 $35.00 41.4% 11.9% 85.6% 32.6% 0.0% -3.4% -8.6% 5.8K -43.5K -988 0.00 141.28 0 2 186 39 2020-04-14 $37.00 $30.00 39.9% 11.4% 73.5% 31.1% 0.0% 6.5% -2.0% 5.0K -63.7K -1.0K 0.00 141.10 0 0 186 41 2020-04-15 $35.79 $30.00 41.2% 11.8% 73.9% 32.4% 0.0% -6.3% -11.0% 6.2K -33.6K -951 0.00 144.27 0 0 186 41 2020-04-16 $35.45 $30.00 41.0% 11.8% 66.2% 32.2% 0.0% 6.5% -5.1% 7.6K -17.4K -911 0.00 127.26 0 0 186 41 2020-04-17 $36.68 $30.00 32.5% 9.3% 66.8% 24.0% 0.0% 4.5% -0.8% 8.0K -44.0K -959 0.00 130.52 0 1 186 41 2020-04-20 $35.88 $30.00 39.6% 11.4% 67.2% 30.8% 0.0% 18.1% -3.7% 7.6K -156.9K -930 0.00 122.68 0 0 104 2 2020-04-21 $35.01 $30.00 49.4% 14.2% 63.0% 40.2% 0.0% 3.6% -16.9% 5.8K -148.1K -900 0.00 142.07 0 0 104 2 2020-04-22 $35.75 $30.00 46.0% 13.2% 52.6% 36.9% 0.0% 8.4% -7.3% 6.1K -165.0K -927 0.00 148.67 0 0 104 2 2020-04-23 $35.52 $30.00 44.2% 12.7% 48.7% 35.2% 0.0% 6.3% -5.6% 6.3K -157.0K -915 0.00 144.53 0 0 104 2 2020-04-24 $35.88 $30.00 42.9% 12.3% 47.2% 34.0% 0.0% 8.9% -3.8% 6.6K -163.8K -917 0.00 144.01 0 0 104 2 2020-04-27 $36.39 $30.00 44.8% 12.8% 47.0% 35.8% 0.0% 10.4% -8.0% 7.3K -173.3K -930 0.00 141.44 5 0 104 2 2020-04-28 $36.81 $30.00 43.3% 12.4% 47.1% 34.3% 0.0% -16.8% -9.4% 7.8K -190.8K -957 0.00 140.33 0 0 109 2 2020-04-29 $37.55 $30.00 41.5% 11.9% 47.3% 32.6% 52.2% 6.2% -8.1% 8.6K -206.4K -975 0.00 138.93 1 0 109 2 2020-04-30 $36.94 $30.00 40.5% 11.6% 41.3% 31.6% 0.0% 1.1% -7.4% 8.8K -185.2K -947 0.00 142.34 0 0 108 2
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