IGF Options History — May 2020 In May 2020, IGF traded between $35.12 and $39.02. ATM implied volatility averaged 43.2%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 11.2% (HV 20d: 32.0%). Max pain ranged from $30.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-05-15 : Highest Volume — 10 contracts2020-05-13 : Largest IV drop — 50.0% change2020-05-12 : Highest IV Rank — 59.0%2020-05-19 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $36.58 $35.12 $39.02 $35.83 $39.02 Max Pain $38.55 $30.00 $39.00 $30.00 $39.00 ATM IV 43.2% 27.8% 69.1% 39.4% 38.2% Expected Move 10.1% 8.0% 11.6% 11.3% 11.0% HV 20d 32.0% 25.7% 42.5% 42.5% 29.9% HV 60d 64.9% 64.3% 65.7% 64.3% 64.7% IV Rank 34.3% 19.5% 59.0% 30.6% 29.5% IV Percentile 78.5% 55.6% 96.0% 80.2% 75.0% Term Structure -2.1% -9.4% 6.0% -8.0% -0.3% Skew 25d 3.7% -3.5% 10.0% 2.0% 2.6% Skew 10d 12.9% 1.9% 27.6% 4.8% 27.6% Call IV 25d 33.5% 26.1% 43.0% 43.0% 41.2% Put IV 25d 37.3% 30.2% 44.9% 44.9% 43.8% Bid-Ask Spread % 154.19 129.79 163.08 129.79 160.15 Gamma HHI 0.67 0.53 0.84 0.57 0.69 Net GEX 9.3K 5.5K 28.0K 8.5K 6.6K Net DEX -162.1K -213.5K -130.9K -158.4K -213.5K Net VEX -853 -910 -762 -910 -867 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 0.55 0 10 0 0 Total OI 105.05 99 110 110 99
Daily Data (20 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 2020-05-01 $35.83 $30.00 39.4% 11.3% 42.5% 30.6% 0.0% 2.0% -8.0% 8.5K -158.4K -910 0.00 129.79 0 0 108 2 2020-05-04 $36.21 $39.00 55.9% 9.9% 40.6% 46.5% 0.0% 5.8% -2.7% 8.2K -155.1K -870 0.00 150.07 0 0 108 2 2020-05-05 $36.23 $39.00 56.1% 10.5% 35.9% 46.6% 0.0% 7.1% 0.8% 8.1K -166.7K -898 0.00 154.58 0 0 108 2 2020-05-06 $35.51 $39.00 51.7% 9.8% 36.7% 42.4% 0.0% -1.5% -0.8% 8.1K -147.8K -854 0.00 154.02 0 0 108 2 2020-05-07 $35.76 $39.00 51.2% 10.0% 36.3% 41.9% 0.0% 3.7% -3.6% 8.4K -153.3K -873 0.00 155.16 1 0 108 2 2020-05-08 $36.31 $39.00 57.3% 9.9% 31.8% 47.7% 0.0% 6.8% -2.2% 9.1K -162.1K -879 0.00 156.00 0 0 108 2 2020-05-11 $36.35 $39.00 61.8% 9.7% 31.2% 52.1% 0.0% 4.4% -3.2% 9.5K -164.7K -863 0.00 153.38 0 0 108 2 2020-05-12 $35.86 $39.00 69.1% 10.1% 30.2% 59.0% 0.0% 5.4% -1.7% 9.4K -151.4K -831 0.00 156.03 0 0 108 2 2020-05-13 $35.12 $39.00 34.5% 9.9% 28.8% 26.0% 0.0% 5.4% 1.7% 9.0K -130.9K -781 0.00 140.76 0 0 108 2 2020-05-14 $35.35 $39.00 37.1% 10.6% 28.7% 28.4% 0.0% 10.0% -3.7% 8.5K -143.7K -803 0.00 152.65 0 0 108 2 2020-05-15 $35.14 $39.00 39.6% 11.4% 25.7% 30.9% 0.0% 2.7% -2.9% 28.0K -140.7K -762 0.00 153.07 10 0 108 2 2020-05-18 $36.99 $39.00 37.9% 10.9% 30.9% 29.2% 0.0% 3.4% 6.0% 5.7K -171.4K -875 0.00 160.62 0 0 98 1 2020-05-19 $36.45 $39.00 40.4% 11.6% 30.0% 31.6% 0.0% 2.0% 3.2% 5.5K -160.6K -853 0.00 163.08 0 0 98 1 2020-05-20 $36.85 $39.00 31.8% 9.1% 29.3% 23.4% 0.0% 4.7% -4.5% 9.1K -145.2K -849 0.00 158.71 0 0 98 1 2020-05-21 $36.59 $39.00 30.1% 8.6% 29.4% 21.7% 0.0% 2.7% -1.7% 8.8K -139.6K -826 0.00 142.37 0 0 98 1 2020-05-22 $36.74 $39.00 37.7% 10.8% 29.2% 29.0% 0.0% -3.5% -9.4% 7.5K -152.5K -846 0.00 158.16 0 0 98 1 2020-05-26 $38.02 $39.00 29.5% 8.5% 31.2% 21.1% 0.0% 4.9% -4.6% 10.6K -179.2K -865 0.00 162.64 0 0 98 1 2020-05-27 $38.51 $39.00 27.8% 8.0% 31.2% 19.5% 0.0% 4.1% -4.0% 11.2K -195.0K -872 0.00 159.44 0 0 98 1 2020-05-28 $38.86 $39.00 37.3% 10.7% 30.7% 28.7% 0.0% 2.1% -0.1% 6.7K -209.6K -873 0.00 163.04 0 0 98 1 2020-05-29 $39.02 $39.00 38.2% 11.0% 29.9% 29.5% 0.0% 2.6% -0.3% 6.6K -213.5K -867 0.00 160.15 0 0 98 1
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