IGF Options History — December 2020

In December 2020, IGF traded between $42.78 and $44.07. ATM implied volatility averaged 39.3%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 21.6% (HV 20d: 17.7%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2020-12-11: Highest Volume — 9 contracts
2020-12-21: Largest IV spike — 108.5% change
2020-12-08: Highest IV Rank — 25.6%
2020-12-21: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.61	$42.78	$44.07	$43.66	$43.65
Max Pain	$40.27	$40.00	$43.00	$43.00	$40.00
ATM IV	39.3%	16.6%	54.6%	44.2%	45.1%
Expected Move	10.4%	4.7%	15.4%	12.7%	12.9%
HV 20d	17.7%	13.3%	25.4%	25.4%	14.3%
HV 60d	20.2%	19.7%	20.9%	20.9%	20.1%
IV Rank	17.3%	5.0%	25.6%	20.0%	20.5%
IV Percentile	47.6%	0.4%	80.6%	66.7%	66.3%
Term Structure	-7.0%	-14.3%	43.7%	-10.9%	-14.0%
VWIV	32.8%	11.6%	50.9%	11.6%	50.9%
Skew 25d	0.1%	-25.8%	29.0%	0.2%	27.7%
Skew 10d	10.3%	-20.9%	45.1%	11.4%	45.1%
Call IV 25d	33.6%	18.9%	53.7%	53.7%	22.6%
Put IV 25d	33.7%	14.0%	57.4%	53.9%	50.4%
Bid-Ask Spread %	156.21	139.99	175.93	170.52	161.10
Gamma HHI	0.65	0.56	0.77	0.62	0.58
Net GEX	36.3K	21.4K	57.0K	27.7K	36.5K
Net DEX	-425.0K	-489.2K	-326.9K	-412.1K	-445.9K
Net VEX	-666	-879	-473	-854	-480
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	1.136	0	9	0	0
Total OI	153.273	149	159	153	150

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	Spread %	Call Vol	Put Vol	Call OI	Put OI
2020-12-01	$43.66	$43.00	44.2%	12.7%	25.4%	20.0%	0.0%	0.2%	-10.9%	27.7K	-412.1K	-854	170.52	0	0	153	0
2020-12-02	$43.94	$43.00	36.3%	10.4%	24.0%	15.7%	0.0%	-23.2%	3.9%	22.7K	-415.3K	-879	161.42	6	0	153	0
2020-12-03	$43.98	$40.00	45.6%	9.1%	24.0%	20.8%	0.0%	-23.2%	-8.0%	31.0K	-461.0K	-830	147.59	0	0	159	0
2020-12-04	$44.07	$40.00	46.5%	9.2%	23.7%	21.2%	0.0%	-23.5%	-7.2%	36.5K	-489.2K	-755	147.27	0	0	159	0
2020-12-07	$43.88	$40.00	51.2%	9.8%	23.8%	23.8%	0.0%	-25.8%	-9.4%	32.1K	-456.3K	-789	146.75	0	0	159	0
2020-12-08	$43.93	$40.00	54.6%	9.7%	17.2%	25.6%	0.0%	-25.7%	-9.4%	32.2K	-461.3K	-777	148.13	0	0	159	0
2020-12-09	$43.76	$40.00	24.4%	7.0%	15.4%	9.2%	0.0%	-4.6%	-7.0%	32.8K	-485.3K	-716	142.51	0	0	159	0
2020-12-10	$44.03	$40.00	33.7%	9.7%	15.5%	14.3%	0.0%	-25.6%	-8.6%	32.5K	-470.4K	-751	148.32	0	0	159	0
2020-12-11	$43.83	$40.00	38.1%	10.9%	13.3%	16.7%	11.6%	-7.8%	-9.3%	21.4K	-429.4K	-823	146.84	9	0	159	0
2020-12-14	$42.90	$40.00	34.9%	10.0%	14.8%	15.0%	0.0%	0.7%	-11.2%	47.8K	-361.8K	-678	157.92	0	0	150	0
2020-12-15	$43.63	$40.00	34.7%	9.9%	15.5%	14.8%	0.0%	15.6%	-10.2%	57.0K	-469.0K	-505	158.09	0	0	150	1
2020-12-16	$43.53	$40.00	16.6%	4.7%	15.5%	5.0%	0.0%	-4.5%	-0.7%	56.2K	-454.2K	-517	139.99	0	0	150	1
2020-12-17	$44.07	$40.00	30.0%	8.6%	15.8%	12.3%	22.0%	5.4%	43.7%	38.0K	-461.4K	-584	152.69	5	0	150	1
2020-12-18	$43.46	$40.00	25.8%	7.4%	16.7%	10.0%	46.8%	14.0%	-8.4%	42.5K	-416.7K	-627	154.19	4	0	150	1
2020-12-21	$42.83	$40.00	53.7%	15.4%	17.4%	25.2%	50.9%	11.4%	-14.2%	39.9K	-340.6K	-648	175.93	0	1	148	1
2020-12-22	$42.78	$40.00	39.8%	11.4%	17.4%	17.6%	0.0%	7.3%	-10.4%	37.0K	-326.9K	-650	164.73	0	0	148	2
2020-12-23	$43.19	$40.00	40.5%	11.6%	16.6%	18.0%	0.0%	9.2%	-11.0%	27.3K	-349.2K	-668	163.90	0	0	148	2
2020-12-24	$43.30	$40.00	40.7%	11.7%	16.6%	18.1%	0.0%	16.3%	-11.3%	29.5K	-360.1K	-644	165.07	0	0	148	2
2020-12-28	$43.50	$40.00	43.7%	12.5%	16.6%	19.7%	0.0%	11.1%	-14.3%	41.1K	-403.6K	-521	161.88	0	0	148	2
2020-12-29	$43.67	$40.00	41.4%	11.9%	15.3%	18.5%	0.0%	18.2%	-13.2%	41.6K	-423.7K	-487	160.61	0	0	148	2
2020-12-30	$43.76	$40.00	43.0%	12.3%	14.5%	19.3%	0.0%	29.0%	-13.9%	35.8K	-457.2K	-473	161.24	0	0	148	2
2020-12-31	$43.65	$40.00	45.1%	12.9%	14.3%	20.5%	0.0%	27.7%	-14.0%	36.5K	-445.9K	-480	161.10	0	0	148	2