IGF Options History — November 2020 In November 2020, IGF traded between $38.63 and $44.24. ATM implied volatility averaged 33.9%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 8.4% (HV 20d: 25.5%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-11-09 : Highest Volume — 17 contracts2020-11-09 : Largest IV spike — 185.5% change2020-11-09 : Highest IV Rank — 25.9%2020-11-02 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $42.51 $38.63 $44.24 $38.63 $43.05 Max Pain $41.50 $35.00 $43.00 $35.00 $43.00 ATM IV 33.9% 18.3% 55.1% 49.3% 26.9% Expected Move 9.5% 5.3% 14.1% 14.1% 7.7% HV 20d 25.5% 18.0% 28.7% 18.0% 25.3% HV 60d 20.1% 16.6% 21.3% 16.6% 20.8% IV Rank 14.4% 5.9% 25.9% 22.8% 10.6% IV Percentile 33.9% 0.4% 80.2% 74.2% 18.3% Term Structure -7.2% -22.7% 11.9% -22.7% -8.5% VWIV 37.7% 34.2% 41.2% 41.2% 34.2% Skew 25d 2.7% -10.3% 26.9% 1.2% -4.6% Skew 10d 8.6% -13.5% 34.5% -13.5% -0.6% Call IV 25d 37.0% 16.1% 51.5% 48.7% 22.4% Put IV 25d 39.7% 17.8% 57.6% 49.9% 17.8% Bid-Ask Spread % 167.99 142.84 182.00 168.53 142.84 Gamma HHI 0.58 0.50 0.67 0.59 0.64 Net GEX 30.6K 14.1K 42.1K 14.1K 36.4K Net DEX -374.2K -498.9K -128.8K -128.8K -375.6K Net VEX -886 -1.0K -640 -676 -846 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 3.65 0 17 5 1 Total OI 154.9 135 169 135 152
Daily Data (20 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 2020-11-02 $38.63 $35.00 49.3% 14.1% 18.0% 22.8% 41.2% 1.2% -22.7% 14.1K -128.8K -676 0.00 168.53 5 0 135 0 2020-11-03 $39.74 $35.00 24.1% 6.9% 20.8% 9.1% 0.0% 6.1% 7.0% 16.9K -184.5K -824 0.00 170.90 8 0 135 0 2020-11-04 $39.90 $35.00 20.5% 5.9% 20.6% 7.1% 0.0% 3.1% 11.9% 23.0K -188.3K -862 0.00 169.96 0 0 149 0 2020-11-05 $40.51 $0.00 49.2% 10.0% 20.8% 22.7% 0.0% 2.7% -6.6% 25.6K -225.8K -934 0.00 181.11 3 0 149 0 2020-11-06 $40.43 $0.00 19.3% 10.6% 20.8% 6.5% 0.0% 26.9% -6.1% 26.3K -219.7K -910 0.00 182.00 7 0 151 0 2020-11-09 $42.43 $0.00 55.1% 10.3% 26.9% 25.9% 0.0% 6.0% -19.0% 29.0K -359.6K -1.0K 0.00 174.82 17 0 151 0 2020-11-10 $43.40 $0.00 26.1% 8.4% 27.3% 10.2% 34.2% 5.7% -21.0% 31.0K -445.8K -967 0.00 151.55 14 0 157 0 2020-11-11 $43.47 $43.00 36.0% 10.3% 27.3% 15.5% 0.0% 4.8% -6.8% 34.6K -454.7K -945 0.00 172.15 3 0 159 0 2020-11-12 $42.55 $43.00 34.9% 10.0% 28.5% 14.9% 0.0% 1.7% -6.3% 32.6K -374.5K -1.0K 0.00 169.46 2 0 162 0 2020-11-13 $43.15 $43.00 35.8% 10.3% 28.7% 15.4% 0.0% 2.6% -6.1% 35.0K -431.5K -985 0.00 172.94 0 0 164 0 2020-11-16 $43.64 $43.00 36.6% 10.5% 28.7% 15.9% 0.0% 2.1% -7.7% 36.9K -479.6K -874 0.00 171.76 0 0 163 0 2020-11-17 $43.61 $43.00 38.3% 11.0% 28.5% 16.8% 0.0% -10.3% -15.2% 31.8K -458.1K -923 0.00 152.93 2 0 163 0 2020-11-18 $43.26 $43.00 37.0% 10.6% 28.4% 16.1% 0.0% 0.3% -7.8% 31.4K -430.4K -945 0.00 169.54 0 0 163 0 2020-11-19 $43.29 $43.00 37.1% 10.6% 28.2% 16.1% 0.0% 0.9% -8.3% 31.8K -434.2K -931 0.00 171.21 6 0 163 0 2020-11-20 $43.40 $43.00 37.2% 10.7% 28.2% 16.2% 0.0% 1.1% -7.0% 31.3K -447.6K -942 0.00 171.76 0 0 169 0 2020-11-23 $43.51 $43.00 38.7% 11.1% 27.3% 17.0% 0.0% 0.7% -6.8% 31.5K -413.7K -894 0.00 171.21 3 0 153 0 2020-11-24 $44.24 $43.00 38.8% 11.1% 27.3% 17.0% 0.0% 2.6% -5.3% 28.0K -468.7K -882 0.00 170.26 2 0 156 0 2020-11-25 $44.10 $43.00 19.1% 5.5% 24.1% 6.3% 0.0% 0.9% -2.4% 42.1K -498.9K -640 0.00 159.28 0 0 152 0 2020-11-27 $43.83 $43.00 18.3% 5.3% 24.3% 5.9% 0.0% 0.0% -0.0% 41.7K -463.3K -718 0.00 165.61 0 0 152 0 2020-11-30 $43.05 $43.00 26.9% 7.7% 25.3% 10.6% 0.0% -4.6% -8.5% 36.4K -375.6K -846 0.00 142.84 1 0 152 0
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