IGF Options History — September 2020 In September 2020, IGF traded between $37.89 and $40.68. ATM implied volatility averaged 43.9%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 26.8% (HV 20d: 17.2%). Max pain ranged from $35.00 to $39.00. 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 2020-09-11 : Highest Volume — 45 contracts2020-09-30 : Largest IV spike — 103.9% change2020-09-08 : Highest IV Rank — 30.5%2020-09-30 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $39.24 $37.89 $40.68 $39.66 $38.58 Max Pain $37.24 $35.00 $39.00 $39.00 $35.00 ATM IV 43.9% 24.9% 63.6% 48.8% 50.9% Expected Move 11.9% 7.2% 14.6% 14.0% 14.6% HV 20d 17.2% 10.3% 19.8% 10.3% 19.8% HV 60d 16.3% 14.9% 19.7% 19.1% 16.1% IV Rank 19.9% 9.5% 30.5% 22.5% 23.6% IV Percentile 66.2% 17.9% 90.1% 79.4% 79.8% Term Structure -9.8% -16.2% -3.3% -12.6% -16.2% VWIV 34.6% 22.8% 46.4% 46.4% 22.8% Skew 25d -8.4% -37.7% 13.0% -30.9% -0.3% Skew 10d -0.8% -39.5% 53.4% -20.3% 53.4% Call IV 25d 43.5% 25.5% 61.3% 49.3% 61.3% Put IV 25d 35.1% 18.4% 61.1% 18.4% 61.1% Bid-Ask Spread % 148.00 133.37 185.02 179.30 142.24 Gamma HHI 0.35 0.25 0.48 0.36 0.33 Net GEX 5.4K -4.1K 7.4K 5.8K 5.3K Net DEX -103.5K -174.1K -60.9K -152.8K -70.3K Net VEX -324 -475 -204 -475 -215 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 2.524 0 45 5 0 Total OI 64.905 52 82 82 53
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 2020-09-01 $39.66 $39.00 48.8% 14.0% 10.3% 22.5% 0.0% -30.9% -12.6% 5.8K -152.8K -475 0.00 179.30 5 0 77 5 2020-09-02 $40.68 $39.00 47.2% 13.5% 13.7% 21.6% 0.0% -17.8% -13.2% 7.4K -174.1K -464 0.00 185.02 1 0 77 5 2020-09-03 $40.02 $38.00 52.6% 10.6% 15.0% 24.6% 0.0% 5.7% -8.4% 7.3K -155.9K -468 0.00 144.32 0 0 77 5 2020-09-04 $39.95 $38.00 52.9% 10.8% 15.0% 24.7% 0.0% 12.8% -7.3% 7.2K -153.9K -462 0.00 146.10 0 0 77 5 2020-09-08 $39.47 $38.00 63.6% 11.6% 15.3% 30.5% 0.0% 6.2% -9.1% 7.0K -141.8K -438 0.00 146.68 0 0 77 5 2020-09-09 $40.04 $38.00 38.9% 11.2% 16.2% 17.1% 0.0% 13.0% -8.5% 7.0K -157.9K -443 0.00 147.99 0 0 77 5 2020-09-10 $39.36 $38.00 39.2% 11.2% 16.4% 17.3% 0.0% 3.3% -9.3% 7.3K -138.4K -422 0.00 145.81 0 0 77 5 2020-09-11 $39.32 $38.00 37.2% 10.7% 16.2% 16.2% 46.4% 2.0% -7.9% 7.0K -137.2K -416 0.00 145.96 45 0 77 5 2020-09-14 $39.82 $38.00 38.8% 11.1% 17.0% 17.0% 0.0% 2.6% -10.5% 4.8K -84.1K -296 0.00 148.00 0 0 52 5 2020-09-15 $39.78 $38.00 37.8% 10.8% 16.9% 16.5% 0.0% 1.7% -10.5% 4.8K -83.8K -293 0.00 146.36 0 0 52 5 2020-09-16 $39.93 $38.00 37.8% 10.8% 17.0% 16.5% 0.0% 2.3% -10.6% 5.0K -85.9K -286 0.00 146.13 0 0 52 5 2020-09-17 $39.73 $38.00 39.1% 11.2% 17.0% 17.2% 0.0% 2.0% -7.6% 4.3K -86.0K -293 0.00 147.77 0 0 52 5 2020-09-18 $39.19 $38.00 40.0% 11.5% 17.6% 17.7% 0.0% -18.3% -7.3% -4.1K -79.8K -266 0.00 146.73 0 0 52 5 2020-09-21 $38.27 $38.00 44.0% 12.6% 19.4% 19.9% 0.0% -20.8% -8.5% 5.2K -66.4K -229 0.00 145.80 1 0 52 0 2020-09-22 $38.52 $38.00 44.1% 12.6% 19.0% 19.9% 22.8% -9.0% -10.0% 5.4K -70.1K -233 0.00 143.39 0 1 52 0 2020-09-23 $37.89 $35.00 44.8% 12.8% 19.7% 20.3% 0.0% -32.7% -11.2% 5.0K -60.9K -225 0.00 139.97 0 0 52 1 2020-09-24 $38.06 $35.00 45.0% 12.9% 19.6% 20.5% 0.0% -27.4% -10.5% 5.1K -62.6K -222 0.00 142.79 0 0 52 1 2020-09-25 $38.31 $35.00 46.6% 13.3% 19.8% 21.3% 0.0% -27.4% -9.6% 5.2K -66.4K -223 0.00 140.77 0 0 52 1 2020-09-28 $38.67 $35.00 48.7% 14.0% 19.8% 22.4% 0.0% -37.7% -12.7% 5.3K -73.1K -225 0.00 143.50 0 0 52 1 2020-09-29 $38.73 $35.00 24.9% 7.2% 19.8% 9.5% 0.0% -5.4% -3.3% 6.8K -72.1K -204 0.00 133.37 0 0 52 1 2020-09-30 $38.58 $35.00 50.9% 14.6% 19.8% 23.6% 0.0% -0.3% -16.2% 5.3K -70.3K -215 0.00 142.24 0 0 52 1
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