IGF Options History — May 2021

In May 2021, IGF traded between $46.41 and $47.67. ATM implied volatility averaged 21.8%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 10.6% (HV 20d: 11.3%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.90.

Notable Days

2021-05-03: Highest Volume — 210 contracts
2021-05-11: Largest IV spike — 92.2% change
2021-05-11: Highest IV Rank — 22.2%
2021-05-11: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.01	$46.41	$47.67	$47.02	$47.00
Max Pain	$47.70	$46.00	$48.00	$46.00	$48.00
ATM IV	21.8%	15.9%	50.6%	25.1%	18.3%
Expected Move	5.7%	4.3%	9.2%	7.2%	5.2%
HV 20d	11.3%	7.6%	14.3%	7.6%	14.2%
HV 60d	11.7%	11.1%	12.6%	11.3%	11.1%
IV Rank	6.3%	3.0%	22.2%	8.1%	4.3%
IV Percentile	17.2%	3.2%	82.9%	27.8%	8.3%
Term Structure	-3.8%	-14.4%	2.3%	-8.4%	-2.2%
VWIV	21.5%	18.3%	24.2%	18.3%	21.8%
Skew 25d	2.4%	-0.5%	10.1%	1.9%	1.8%
Skew 10d	3.1%	-2.5%	24.1%	5.5%	-2.0%
Call IV 25d	19.6%	14.8%	27.4%	26.2%	16.6%
Put IV 25d	22.0%	16.1%	37.5%	28.1%	18.5%
Bid-Ask Spread %	154.74	148.20	162.80	150.49	160.16
Gamma HHI	0.31	0.27	0.41	0.41	0.30
Net GEX	67.4K	50.6K	89.7K	84.2K	71.4K
Net DEX	-1.1M	-1.4M	-751.6K	-1.3M	-1.1M
Net VEX	-4.7K	-5.3K	-3.9K	-4.0K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.90	0.00	22.00	0.25	22.00
Total Volume	27.9	0	210	210	23
Total OI	641.45	450	697	450	689

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
2021-05-03	$47.02	$46.00	25.1%	7.2%	7.6%	8.1%	0.0%	1.9%	-8.4%	84.2K	-1.3M	-4.0K	0.25	150.49	168	42	450	0
2021-05-04	$46.64	$46.00	23.5%	6.7%	8.2%	7.2%	18.3%	4.6%	-4.3%	75.4K	-1.0M	-4.3K	0.00	155.98	6	0	452	42
2021-05-05	$46.84	$46.00	23.2%	6.7%	8.2%	7.1%	24.2%	3.5%	-8.6%	89.7K	-1.1M	-4.2K	12.63	150.83	8	101	458	42
2021-05-06	$47.05	$48.00	24.0%	4.5%	8.2%	7.5%	21.8%	0.8%	2.3%	64.7K	-1.0M	-4.9K	3.67	156.77	3	11	465	136
2021-05-07	$47.47	$48.00	23.1%	4.3%	8.5%	7.0%	0.0%	1.7%	-0.4%	62.1K	-1.2M	-4.8K	0.00	156.15	21	0	466	147
2021-05-10	$47.67	$48.00	26.3%	5.3%	8.1%	8.8%	21.8%	0.3%	-10.5%	57.1K	-1.2M	-4.3K	0.64	151.00	28	18	445	147
2021-05-11	$47.09	$48.00	50.6%	9.2%	9.4%	22.2%	0.0%	10.1%	-14.4%	58.3K	-1.0M	-4.9K	2.80	162.80	10	28	468	165
2021-05-12	$46.41	$48.00	20.5%	5.9%	10.9%	5.6%	0.0%	0.1%	-3.9%	50.6K	-751.6K	-5.2K	0.00	148.20	40	0	458	193
2021-05-13	$46.72	$48.00	19.9%	5.7%	10.9%	5.2%	0.0%	2.3%	-2.4%	66.9K	-911.4K	-5.3K	0.00	152.66	0	0	498	193
2021-05-14	$47.31	$48.00	19.4%	5.6%	11.7%	4.9%	0.0%	1.3%	-4.7%	62.0K	-1.1M	-5.2K	0.00	155.28	0	2	498	193
2021-05-17	$47.17	$48.00	17.8%	5.1%	11.7%	4.1%	0.0%	4.2%	-1.1%	66.2K	-1.1M	-4.9K	0.00	152.23	0	0	498	195
2021-05-18	$47.15	$48.00	18.1%	5.2%	11.5%	4.2%	0.0%	4.2%	-0.6%	70.1K	-1.1M	-4.8K	0.00	152.94	1	0	498	195
2021-05-19	$46.51	$48.00	17.4%	5.0%	12.6%	3.9%	0.0%	4.4%	-2.0%	61.7K	-840.3K	-5.2K	0.00	149.59	1	0	499	195
2021-05-20	$47.26	$48.00	19.9%	5.7%	13.7%	5.2%	0.0%	1.7%	-1.8%	70.1K	-1.2M	-4.5K	0.30	151.98	10	3	499	195
2021-05-21	$47.15	$48.00	16.1%	4.6%	13.7%	3.1%	0.0%	2.6%	-1.9%	62.5K	-1.1M	-4.9K	0.00	154.53	12	0	499	198
2021-05-24	$47.38	$48.00	21.4%	6.1%	13.8%	6.1%	0.0%	0.2%	-5.0%	70.8K	-1.4M	-3.9K	0.20	158.79	15	3	488	198
2021-05-25	$46.82	$48.00	15.9%	4.6%	14.3%	3.0%	0.0%	-0.5%	-2.7%	64.4K	-973.5K	-4.8K	1.00	156.32	2	2	488	201
2021-05-26	$46.86	$48.00	18.5%	5.3%	14.3%	4.4%	0.0%	1.7%	-2.2%	66.8K	-965.5K	-4.7K	0.00	158.91	0	0	486	203
2021-05-27	$46.75	$48.00	18.0%	5.2%	14.2%	4.2%	0.0%	1.0%	-0.9%	72.0K	-979.0K	-4.5K	0.00	159.25	0	0	486	203
2021-05-28	$47.00	$48.00	18.3%	5.2%	14.2%	4.3%	0.0%	1.8%	-2.2%	71.4K	-1.1M	-4.4K	22.00	160.16	1	22	486	203