IGF Options History — June 2020

In June 2020, IGF traded between $37.50 and $42.66. ATM implied volatility averaged 48.1%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 15.7% (HV 20d: 32.4%). Max pain ranged from $29.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2020-06-02: Highest Volume — 150 contracts
  • 2020-06-22: Largest IV spike — 206.9% change
  • 2020-06-22: Highest IV Rank — 95.9%
  • 2020-06-22: Largest Expected Move — 30.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.64$37.50$42.66$39.79$38.22
Max Pain$37.86$29.00$40.00$39.00$40.00
ATM IV48.1%24.4%107.6%39.5%33.1%
Expected Move14.6%6.5%30.9%11.3%9.5%
HV 20d32.4%27.7%38.6%27.7%31.5%
HV 60d47.2%33.8%64.7%64.7%33.8%
IV Rank39.0%16.3%95.9%30.7%24.6%
IV Percentile74.9%42.5%99.6%76.6%60.7%
Term Structure-7.0%-34.6%45.2%-22.4%7.9%
VWIV31.0%25.7%41.3%25.7%31.7%
Skew 25d10.8%-22.7%61.3%2.6%7.4%
Skew 10d14.6%-17.3%62.7%7.8%49.9%
Call IV 25d39.2%18.4%66.6%43.6%28.8%
Put IV 25d50.0%18.5%92.3%46.2%36.1%
Bid-Ask Spread %143.14127.07164.24158.13134.31
Gamma HHI0.510.290.760.710.36
Net GEX14.4K3.4K48.6K6.6K9.0K
Net DEX-189.8K-802.4K189.4K-231.1K78.0K
Net VEX-1.6K-2.2K-788-859-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume22.045015000
Total OI317.1369938999382

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$39.79$39.0039.5%11.3%27.7%30.7%0.0%2.6%-22.4%6.6K-231.1K-8590.00158.1300981
2020-06-02$40.35$39.0024.4%7.0%27.8%16.3%0.0%3.0%-7.0%12.8K-264.3K-7880.00155.551500981
2020-06-03$41.61$39.0039.8%11.4%29.2%31.0%0.0%5.7%-2.9%41.9K-697.1K-1.6K0.00151.97002481
2020-06-04$40.85$29.0025.1%15.1%29.0%17.0%25.7%2.2%-34.3%45.5K-617.8K-1.5K0.00129.591302421
2020-06-05$41.77$29.0033.2%14.8%29.5%24.7%0.0%44.2%-13.3%25.2K-679.4K-1.5K0.00140.94002481
2020-06-08$42.66$29.0032.0%6.5%29.7%23.6%0.0%-7.2%-6.2%36.3K-802.4K-1.1K0.00130.28102421
2020-06-09$41.86$29.0029.1%15.0%31.2%20.8%25.7%-22.7%-34.6%48.6K-751.8K-1.3K0.00127.5601452431
2020-06-10$41.40$40.0053.2%15.3%31.0%43.8%0.0%8.5%-31.0%8.1K-445.0K-2.2K0.00140.57450243146
2020-06-11$38.89$40.0059.2%17.0%38.6%49.6%0.0%4.8%-19.9%4.5K-244-1.8K0.00134.9600198146
2020-06-12$39.09$40.0061.9%17.7%38.6%52.2%0.0%1.7%-15.7%3.4K26.5K-1.7K0.00154.8000198146
2020-06-15$39.15$40.0042.9%12.3%38.4%34.0%0.0%15.1%-2.6%3.7K-49.2K-1.8K0.00151.3100198146
2020-06-16$39.41$40.0073.6%21.1%34.4%63.4%35.0%-22.6%-19.1%3.8K-65.6K-1.8K0.00160.88290198146
2020-06-17$39.33$40.0038.3%11.0%33.8%29.6%41.3%26.3%-11.8%7.4K-87.0K-1.9K0.00127.0750222146
2020-06-18$39.19$40.0031.6%9.1%33.8%23.1%27.7%12.7%45.2%8.5K-27.1K-1.8K0.00130.4460227146
2020-06-19$39.02$40.0035.1%10.1%33.7%26.5%30.3%-3.3%35.9%7.9K-41.5K-1.9K0.00133.4360232146
2020-06-22$39.00$40.00107.6%30.9%33.7%95.9%30.4%2.8%-26.3%9.1K-34.3K-1.8K0.00131.1680233146
2020-06-23$39.00$40.0027.9%8.0%31.6%19.6%31.7%15.1%3.5%9.4K-13.8K-1.8K0.00131.82760235146
2020-06-24$38.12$40.0083.2%23.9%32.4%72.6%0.0%61.3%-4.0%6.3K105.6K-1.6K0.00164.2400235146
2020-06-25$37.99$40.0065.7%18.8%32.2%55.8%0.0%39.0%-3.5%6.8K136.1K-1.5K0.00150.7100235146
2020-06-26$37.50$40.0085.3%24.5%32.4%74.6%0.0%38.6%-5.5%5.8K189.4K-1.4K0.00164.0601235146
2020-06-29$37.81$40.0036.4%10.5%31.7%27.8%0.0%1.4%13.9%7.4K97.0K-1.5K0.00145.2800235147
2020-06-30$38.22$40.0033.1%9.5%31.5%24.6%0.0%7.4%7.9%9.0K78.0K-1.5K0.00134.3100235147