IGF Options History — July 2020

In July 2020, IGF traded between $37.76 and $39.84. ATM implied volatility averaged 59.6%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 39.8% (HV 20d: 19.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2020-07-06: Highest Volume — 77 contracts
2020-07-07: Largest IV spike — 523.0% change
2020-07-07: Highest IV Rank — 100.0%
2020-07-07: Largest Expected Move — 26.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.93	$37.76	$39.84	$38.55	$39.03
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	59.6%	30.7%	191.4%	34.6%	45.6%
Expected Move	13.7%	7.8%	26.5%	9.9%	13.1%
HV 20d	19.8%	15.5%	29.2%	29.2%	16.7%
HV 60d	28.3%	25.9%	31.9%	31.9%	25.9%
IV Rank	30.6%	18.2%	100.0%	26.0%	20.8%
IV Percentile	80.9%	54.4%	100.0%	63.1%	79.8%
Term Structure	-8.0%	-36.1%	-1.4%	-6.0%	-9.5%
VWIV	29.3%	21.0%	42.9%	24.1%	21.0%
Skew 25d	1.6%	-29.0%	55.6%	8.8%	-26.0%
Skew 10d	-4.1%	-28.1%	35.0%	-7.0%	-2.2%
Call IV 25d	45.0%	20.5%	108.4%	27.7%	47.7%
Put IV 25d	46.6%	21.7%	118.0%	36.5%	21.7%
Bid-Ask Spread %	182.67	153.16	198.46	176.56	182.06
Gamma HHI	0.39	0.31	0.46	0.35	0.46
Net GEX	7.3K	5.3K	10.7K	10.0K	6.4K
Net DEX	4.0K	-156.2K	425.8K	115.2K	-141.0K
Net VEX	-852	-1.5K	-557	-1.4K	-559
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.01	0.01	0.00
Total Volume	7	0	77	0	0
Total OI	242.818	76	382	382	77

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	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-07-01	$38.55	$40.00	34.6%	9.9%	29.2%	26.0%	0.0%	8.8%	-6.0%	10.0K	115.2K	-1.4K	0.00	176.56	0	0	235	147
2020-07-02	$38.92	$40.00	78.0%	22.4%	29.1%	67.6%	0.0%	55.6%	-6.2%	7.9K	49.7K	-1.5K	0.00	155.87	0	0	235	147
2020-07-06	$38.85	$40.00	30.7%	7.8%	27.6%	22.3%	24.1%	40.2%	-3.0%	10.7K	101.2K	-1.3K	0.01	157.16	76	1	235	147
2020-07-07	$38.53	$40.00	191.4%	26.5%	26.0%	100.0%	0.0%	9.7%	-36.1%	7.3K	153.3K	-1.2K	0.00	198.28	0	0	235	147
2020-07-08	$38.62	$40.00	102.0%	26.0%	25.6%	51.4%	0.0%	18.7%	-26.6%	7.5K	144.3K	-1.2K	0.00	198.46	0	0	235	147
2020-07-09	$37.76	$40.00	71.5%	13.4%	26.3%	34.8%	0.0%	26.6%	-4.9%	6.9K	93.7K	-1.2K	0.00	187.85	0	0	235	147
2020-07-10	$38.12	$40.00	42.1%	9.1%	15.5%	18.9%	0.0%	7.6%	-1.4%	9.1K	135.8K	-1.1K	0.00	153.16	2	0	235	147
2020-07-13	$37.76	$40.00	93.1%	12.7%	15.6%	46.6%	0.0%	35.0%	-4.9%	7.3K	77.1K	-977	0.00	188.25	0	0	234	147
2020-07-14	$38.20	$40.00	104.2%	12.7%	16.3%	52.6%	0.0%	4.7%	-4.5%	7.9K	38.9K	-950	0.00	188.26	0	0	234	147
2020-07-15	$39.02	$40.00	43.5%	12.5%	18.0%	19.6%	42.9%	9.5%	-5.1%	9.9K	156.9K	-860	0.01	189.43	70	1	234	147
2020-07-16	$38.99	$40.00	44.1%	12.7%	17.9%	20.0%	21.0%	10.1%	-4.1%	9.3K	69.1K	-796	0.00	188.13	1	0	234	147
2020-07-17	$39.35	$40.00	44.0%	12.6%	18.2%	19.9%	0.0%	11.8%	-3.9%	5.3K	425.8K	-585	0.00	188.66	2	0	235	147
2020-07-20	$39.18	$40.00	44.5%	12.8%	18.2%	20.1%	0.0%	-5.2%	-4.8%	5.4K	-144.5K	-596	0.00	188.42	0	0	75	1
2020-07-21	$39.53	$40.00	42.2%	12.1%	18.5%	18.9%	0.0%	-21.2%	-4.6%	5.6K	-151.0K	-598	0.00	187.69	0	0	75	1
2020-07-22	$39.77	$40.00	42.3%	12.1%	18.6%	18.9%	0.0%	-24.1%	-5.1%	5.8K	-155.0K	-591	0.00	186.72	0	0	75	1
2020-07-23	$39.34	$40.00	40.9%	11.7%	17.0%	18.2%	0.0%	-23.9%	-6.1%	6.4K	-145.6K	-572	0.00	184.00	0	0	75	1
2020-07-24	$39.16	$40.00	41.7%	12.0%	17.0%	18.7%	0.0%	-14.3%	-6.5%	6.3K	-142.6K	-574	0.00	184.34	0	0	75	1
2020-07-27	$39.20	$40.00	43.5%	12.5%	16.1%	19.6%	0.0%	-13.0%	-7.5%	6.3K	-143.3K	-565	0.00	185.05	0	0	75	1
2020-07-28	$39.33	$40.00	43.7%	12.5%	16.0%	19.7%	0.0%	-26.6%	-7.8%	6.4K	-146.0K	-557	0.00	184.10	0	0	75	1
2020-07-29	$39.84	$40.00	41.9%	12.0%	16.1%	18.8%	0.0%	-20.6%	-8.4%	6.7K	-156.2K	-565	0.00	183.02	1	0	75	1
2020-07-30	$39.42	$40.00	45.6%	13.1%	16.5%	20.7%	0.0%	-29.0%	-8.8%	6.5K	-149.0K	-567	0.00	183.22	0	0	76	1
2020-07-31	$39.03	$40.00	45.6%	13.1%	16.7%	20.8%	0.0%	-26.0%	-9.5%	6.4K	-141.0K	-559	0.00	182.06	0	0	76	1