IGF Options History — August 2020 In August 2020, IGF traded between $39.31 and $40.85. ATM implied volatility averaged 44.0%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 30.9% (HV 20d: 13.0%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-08-28 : Highest Volume — 5 contracts2020-08-19 : Largest IV spike — 67.9% change2020-08-11 : Highest IV Rank — 28.0%2020-08-03 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $40.07 $39.31 $40.85 $39.31 $39.88 Max Pain $39.75 $39.00 $40.00 $40.00 $39.00 ATM IV 44.0% 23.8% 58.9% 50.4% 47.4% Expected Move 11.6% 6.8% 14.5% 14.5% 13.6% HV 20d 13.0% 11.1% 17.0% 16.8% 11.1% HV 60d 23.1% 19.7% 25.9% 25.9% 19.7% IV Rank 19.9% 8.9% 28.0% 23.4% 21.7% IV Percentile 70.3% 21.8% 86.9% 82.1% 78.6% Term Structure -7.1% -12.5% -1.8% -12.2% -7.1% VWIV 20.2% 20.2% 20.2% 20.2% 20.2% Skew 25d -1.9% -34.4% 29.8% -34.4% -13.4% Skew 10d 3.1% -34.0% 34.8% -15.5% -30.1% Call IV 25d 38.8% 16.7% 57.9% 56.5% 36.4% Put IV 25d 36.9% 19.9% 55.2% 22.1% 23.0% Bid-Ask Spread % 185.57 163.69 191.69 184.03 179.59 Gamma HHI 0.43 0.32 0.50 0.45 0.36 Net GEX 7.5K 5.3K 9.4K 6.4K 6.6K Net DEX -162.4K -179.5K -147.1K -147.1K -152.1K Net VEX -494 -556 -441 -549 -450 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 0.333 0 5 0 2 Total OI 76.667 75 80 77 80
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 2020-08-03 $39.31 $40.00 50.4% 14.5% 16.8% 23.4% 0.0% -34.4% -12.2% 6.4K -147.1K -549 0.00 184.03 0 0 76 1 2020-08-04 $39.81 $40.00 48.0% 13.8% 17.0% 22.1% 0.0% -24.5% -11.6% 6.7K -157.3K -556 0.00 180.99 0 0 76 1 2020-08-05 $39.81 $40.00 48.8% 14.0% 17.0% 22.5% 0.0% -24.0% -12.5% 6.9K -157.8K -543 0.00 180.93 0 0 76 1 2020-08-06 $39.97 $0.00 49.5% 10.2% 14.5% 22.9% 0.0% -12.6% -5.9% 8.3K -163.8K -520 0.00 187.49 0 0 76 1 2020-08-07 $39.98 $0.00 52.1% 10.5% 14.3% 24.3% 0.0% 7.1% -4.6% 7.8K -162.9K -521 0.00 191.62 0 0 76 1 2020-08-10 $40.32 $0.00 57.5% 11.0% 13.7% 27.2% 0.0% 7.8% -4.5% 7.8K -170.1K -519 0.00 191.69 0 0 76 1 2020-08-11 $40.31 $0.00 58.9% 10.7% 13.4% 28.0% 0.0% 6.1% -4.0% 9.0K -174.0K -470 0.00 187.95 0 0 76 1 2020-08-12 $40.85 $0.00 37.1% 10.6% 12.2% 16.1% 0.0% 6.6% -4.5% 7.2K -179.5K -526 0.00 187.50 0 0 76 1 2020-08-13 $40.50 $0.00 38.7% 11.1% 12.7% 17.0% 0.0% 27.4% -5.3% 7.2K -171.4K -512 0.00 188.30 0 0 76 1 2020-08-14 $40.38 $0.00 38.8% 11.1% 12.6% 17.1% 0.0% 29.8% -4.5% 7.4K -169.3K -508 0.00 188.65 0 0 76 1 2020-08-17 $40.30 $0.00 31.8% 9.1% 12.4% 13.3% 0.0% 3.7% -5.2% 7.5K -166.7K -496 0.00 181.81 0 0 76 1 2020-08-18 $40.31 $0.00 23.8% 6.8% 12.1% 8.9% 0.0% 1.9% -1.8% 9.4K -173.7K -441 0.00 163.69 0 0 76 1 2020-08-19 $40.07 $0.00 39.9% 11.4% 12.2% 17.7% 0.0% 17.7% -6.8% 7.5K -161.1K -489 0.00 188.89 0 0 76 1 2020-08-20 $39.89 $0.00 40.7% 11.7% 11.6% 18.1% 0.0% -8.4% -6.6% 7.4K -156.1K -482 0.00 188.55 0 0 76 1 2020-08-21 $39.84 $0.00 42.0% 12.0% 11.5% 18.8% 0.0% 16.8% -7.4% 5.3K -152.0K -476 0.00 188.31 0 0 76 1 2020-08-24 $40.28 $0.00 43.0% 12.3% 12.0% 19.3% 0.0% -12.8% -8.4% 7.7K -166.3K -466 0.00 188.34 0 0 75 0 2020-08-25 $40.11 $0.00 42.1% 12.1% 12.2% 18.9% 0.0% -20.7% -8.5% 7.8K -162.4K -466 0.00 187.52 0 0 75 0 2020-08-26 $39.68 $0.00 43.2% 12.4% 12.0% 19.5% 0.0% 1.5% -9.2% 7.5K -152.2K -459 0.00 189.74 0 0 75 0 2020-08-27 $39.70 $0.00 44.2% 12.7% 11.4% 20.0% 0.0% 2.9% -8.9% 7.5K -153.0K -455 0.00 188.98 0 0 75 0 2020-08-28 $40.07 $0.00 45.1% 12.9% 11.1% 20.5% 20.2% -18.0% -9.6% 7.5K -161.2K -460 0.00 182.46 0 5 75 0 2020-08-31 $39.88 $39.00 47.4% 13.6% 11.1% 21.7% 0.0% -13.4% -7.1% 6.6K -152.1K -450 0.00 179.59 2 0 75 5
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