IGF Options History — October 2020

In October 2020, IGF traded between $38.16 and $40.70. ATM implied volatility averaged 51.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 36.0% (HV 20d: 15.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.15.

Notable Days

2020-10-13: Highest Volume — 101 contracts
2020-10-30: Largest IV spike — 93.9% change
2020-10-09: Highest IV Rank — 48.1%
2020-10-02: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.77	$38.16	$40.70	$38.71	$38.16
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	51.4%	21.8%	95.9%	52.5%	51.5%
Expected Move	11.8%	6.2%	20.8%	15.1%	14.8%
HV 20d	15.4%	11.9%	18.1%	17.2%	18.0%
HV 60d	15.3%	14.8%	16.4%	16.1%	16.4%
IV Rank	23.9%	7.8%	48.1%	24.5%	24.0%
IV Percentile	64.8%	2.8%	97.2%	81.7%	77.0%
Term Structure	-10.1%	-24.0%	-0.1%	-17.9%	-13.0%
VWIV	38.3%	20.3%	47.3%	20.3%	33.4%
Skew 25d	6.7%	-31.3%	29.3%	-3.0%	6.9%
Skew 10d	18.3%	-17.8%	40.7%	28.1%	13.2%
Call IV 25d	39.9%	17.5%	93.2%	63.0%	52.6%
Put IV 25d	46.6%	24.0%	62.9%	60.0%	59.5%
Bid-Ask Spread %	175.02	143.39	188.57	143.39	168.69
Gamma HHI	0.49	0.21	0.70	0.33	0.59
Net GEX	13.2K	4.8K	22.7K	5.4K	12.7K
Net DEX	-150.3K	-256.9K	-72.3K	-72.3K	-116.2K
Net VEX	-589	-961	-158	-213	-681
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	1.33	1.33	0.00
Total Volume	5.864	0	101	0	2
Total OI	106.727	53	167	53	134

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
2020-10-01	$38.71	$35.00	52.5%	15.1%	17.2%	24.5%	0.0%	-3.0%	-17.9%	5.4K	-72.3K	-213	0.00	143.39	0	0	52	1
2020-10-02	$39.01	$35.00	72.4%	20.8%	16.8%	35.3%	0.0%	-31.3%	-24.0%	4.8K	-79.8K	-227	0.00	153.09	0	0	52	1
2020-10-05	$39.49	$0.00	58.3%	10.7%	17.4%	27.7%	0.0%	26.6%	-6.4%	6.0K	-85.5K	-212	0.00	187.30	0	0	52	1
2020-10-06	$39.41	$0.00	38.4%	10.7%	16.9%	16.9%	0.0%	25.5%	-7.7%	6.8K	-101.7K	-158	1.33	186.17	3	4	52	1
2020-10-07	$39.75	$0.00	61.5%	10.5%	16.4%	29.4%	0.0%	5.9%	-6.8%	6.1K	-97.5K	-214	0.00	188.28	0	0	55	5
2020-10-08	$40.29	$0.00	61.1%	10.2%	15.8%	29.2%	0.0%	7.1%	-14.0%	6.4K	-107.5K	-210	0.00	186.11	5	0	55	5
2020-10-09	$40.32	$0.00	95.9%	13.9%	15.8%	48.1%	0.0%	10.1%	-10.2%	6.3K	-115.5K	-263	0.00	188.57	0	0	60	5
2020-10-12	$40.60	$0.00	84.9%	10.1%	15.4%	42.1%	0.0%	6.8%	-7.0%	7.2K	-126.8K	-231	0.00	186.00	1	0	60	5
2020-10-13	$40.12	$0.00	95.7%	10.6%	16.0%	48.0%	20.3%	2.5%	-7.9%	7.4K	-115.6K	-225	0.00	180.95	101	0	61	5
2020-10-14	$40.33	$35.00	36.8%	10.5%	16.1%	15.9%	0.0%	3.6%	-7.8%	22.0K	-256.9K	-961	0.00	180.62	1	0	161	5
2020-10-15	$40.04	$35.00	35.7%	10.2%	16.2%	15.4%	0.0%	-8.2%	-13.4%	22.7K	-234.4K	-900	0.00	179.17	0	0	162	5
2020-10-16	$39.99	$35.00	37.0%	10.6%	15.4%	16.1%	0.0%	21.5%	-4.7%	18.1K	-254.2K	-880	0.00	179.97	0	0	162	5
2020-10-19	$39.93	$35.00	42.6%	12.2%	12.3%	19.1%	47.3%	29.3%	-13.7%	13.4K	-191.1K	-924	0.00	176.82	1	0	127	0
2020-10-20	$40.52	$35.00	39.0%	11.2%	13.0%	17.2%	46.4%	5.4%	-5.9%	21.4K	-178.7K	-890	0.00	175.55	5	0	128	0
2020-10-21	$40.12	$35.00	41.5%	11.9%	11.9%	18.5%	0.0%	3.6%	-7.8%	19.4K	-176.5K	-886	0.00	180.43	0	0	133	0
2020-10-22	$40.64	$35.00	21.8%	6.2%	12.4%	7.8%	0.0%	4.8%	-0.1%	20.7K	-194.5K	-891	0.00	151.63	0	0	133	0
2020-10-23	$40.70	$35.00	40.4%	11.6%	12.4%	17.9%	0.0%	4.1%	-8.2%	21.5K	-206.4K	-925	0.00	178.94	0	0	133	0
2020-10-26	$40.04	$35.00	43.6%	12.5%	13.9%	19.7%	0.0%	-7.1%	-9.3%	18.1K	-180.6K	-863	0.00	178.65	0	0	133	0
2020-10-27	$39.75	$35.00	46.6%	13.4%	14.3%	21.3%	0.0%	20.0%	-12.0%	17.3K	-166.9K	-818	0.00	179.18	0	0	133	0
2020-10-28	$38.57	$35.00	47.9%	13.7%	18.1%	22.0%	0.0%	11.2%	-20.4%	13.5K	-123.1K	-693	0.00	175.81	0	0	133	0
2020-10-29	$38.50	$35.00	26.6%	7.6%	18.0%	10.4%	44.1%	2.3%	-3.6%	12.5K	-124.2K	-694	0.00	145.03	6	0	133	0
2020-10-30	$38.16	$35.00	51.5%	14.8%	18.0%	24.0%	33.4%	6.9%	-13.0%	12.7K	-116.2K	-681	0.00	168.69	2	0	134	0