IGF Options History — March 2021

In March 2021, IGF traded between $43.28 and $45.48. ATM implied volatility averaged 20.5%, placing in the 4.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 6.5% (HV 20d: 14.1%). Max pain ranged from $44.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.00.

Notable Days

2021-03-11: Highest Volume — 58 contracts
2021-03-26: Largest IV spike — 108.3% change
2021-03-08: Highest IV Rank — 9.2%
2021-03-03: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.50	$43.28	$45.48	$43.99	$44.96
Max Pain	$44.13	$44.00	$45.00	$45.00	$44.00
ATM IV	20.5%	10.4%	31.2%	25.1%	25.3%
Expected Move	5.5%	3.0%	8.1%	7.2%	7.2%
HV 20d	14.1%	10.9%	16.0%	15.1%	10.9%
HV 60d	15.0%	14.4%	15.8%	15.4%	14.6%
IV Rank	4.1%	0.0%	9.2%	5.6%	8.2%
IV Percentile	8.9%	0.0%	21.0%	12.3%	20.6%
Term Structure	-0.4%	-6.7%	10.1%	-5.2%	-6.1%
VWIV	15.1%	11.5%	19.1%	18.8%	13.8%
Skew 25d	3.6%	-11.3%	20.0%	9.7%	13.0%
Skew 10d	4.5%	-2.7%	11.8%	7.1%	5.8%
Call IV 25d	17.8%	12.5%	25.4%	19.1%	15.1%
Put IV 25d	21.5%	11.3%	32.5%	28.7%	28.1%
Bid-Ask Spread %	135.89	123.58	157.73	148.37	139.65
Gamma HHI	0.35	0.24	0.51	0.41	0.51
Net GEX	44.6K	21.8K	113.7K	25.0K	113.7K
Net DEX	-402.1K	-574.6K	-259.7K	-282.3K	-574.6K
Net VEX	-2.4K	-2.9K	-2.0K	-2.2K	-2.9K
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	11.739	0	58	0	21
Total OI	250.261	192	396	192	396

Daily Data (23 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	Call OI
2021-03-01	$43.99	$45.00	25.1%	7.2%	15.1%	5.6%	0.0%	9.7%	-5.2%	25.0K	-282.3K	-2.2K	148.37	0	192
2021-03-02	$43.83	$45.00	23.8%	6.8%	14.4%	4.9%	0.0%	12.5%	-6.4%	23.3K	-281.8K	-2.1K	157.73	0	192
2021-03-03	$43.47	$45.00	28.3%	8.1%	13.8%	7.5%	0.0%	20.0%	-6.7%	21.8K	-267.9K	-2.1K	156.98	5	192
2021-03-04	$43.28	$44.00	21.8%	5.4%	13.8%	3.8%	0.0%	5.6%	2.1%	21.8K	-259.7K	-2.0K	125.61	0	197
2021-03-05	$43.72	$44.00	24.8%	4.9%	14.3%	5.5%	0.0%	10.2%	3.3%	23.0K	-287.4K	-2.2K	133.96	1	197
2021-03-08	$43.90	$44.00	31.2%	4.9%	14.0%	9.2%	0.0%	3.0%	0.1%	23.2K	-302.5K	-2.2K	137.13	0	198
2021-03-09	$44.16	$44.00	24.0%	4.7%	14.1%	5.1%	0.0%	1.4%	0.6%	25.2K	-319.1K	-2.2K	139.14	0	198
2021-03-10	$44.60	$44.00	15.3%	4.4%	14.4%	0.1%	0.0%	4.5%	10.1%	26.7K	-332.4K	-2.3K	136.88	0	198
2021-03-11	$44.97	$44.00	21.1%	6.0%	14.7%	3.4%	18.8%	-1.3%	-3.9%	26.5K	-367.2K	-2.3K	123.58	58	198
2021-03-12	$45.22	$44.00	21.2%	6.1%	14.8%	3.5%	0.0%	-0.4%	-0.6%	47.7K	-510.0K	-2.5K	130.01	11	251
2021-03-15	$45.48	$44.00	14.0%	4.0%	14.7%	0.0%	0.0%	-11.3%	3.6%	46.6K	-538.9K	-2.6K	132.51	4	254
2021-03-16	$45.40	$44.00	21.8%	6.3%	14.8%	4.4%	12.8%	-5.9%	-2.5%	48.6K	-535.1K	-2.6K	133.29	3	256
2021-03-17	$45.38	$44.00	21.0%	6.0%	14.7%	3.9%	15.2%	-3.9%	-2.4%	51.2K	-540.6K	-2.5K	133.41	23	259
2021-03-18	$44.62	$44.00	21.3%	6.1%	15.9%	4.1%	15.1%	4.5%	3.4%	53.8K	-467.7K	-2.5K	132.34	9	276
2021-03-19	$44.70	$44.00	21.4%	6.1%	15.8%	4.2%	15.7%	5.1%	-4.7%	44.7K	-490.0K	-2.5K	132.94	5	282
2021-03-22	$44.50	$44.00	11.7%	3.3%	16.0%	0.0%	15.0%	2.7%	6.2%	45.8K	-383.5K	-2.4K	136.48	22	258
2021-03-23	$44.20	$44.00	10.4%	3.0%	15.1%	0.0%	12.6%	5.9%	6.8%	48.5K	-367.7K	-2.4K	136.16	5	278
2021-03-24	$44.27	$44.00	11.5%	3.3%	14.9%	0.6%	0.0%	8.6%	5.1%	50.5K	-358.8K	-2.3K	134.54	1	278
2021-03-25	$44.48	$44.00	11.3%	3.2%	13.0%	0.5%	0.0%	1.8%	3.8%	54.2K	-373.0K	-2.4K	135.18	0	278
2021-03-26	$44.69	$44.00	23.6%	6.8%	12.2%	7.3%	11.5%	5.4%	-5.8%	56.7K	-408.5K	-2.4K	136.77	24	278
2021-03-29	$45.02	$44.00	24.8%	7.1%	11.0%	7.9%	16.9%	-6.9%	-5.7%	68.3K	-496.5K	-2.6K	127.49	28	302
2021-03-30	$44.69	$44.00	18.1%	5.2%	11.3%	4.2%	19.1%	-0.4%	-3.6%	78.4K	-503.4K	-2.8K	125.29	50	348
2021-03-31	$44.96	$44.00	25.3%	7.2%	10.9%	8.2%	13.8%	13.0%	-6.1%	113.7K	-574.6K	-2.9K	139.65	21	396