IGF Options History — June 2021

In June 2021, IGF traded between $45.42 and $47.85. ATM implied volatility averaged 18.5%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 6.4% (HV 20d: 12.1%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.64.

Notable Days

2021-06-29: Highest Volume — 239 contracts
2021-06-07: Largest IV spike — 70.6% change
2021-06-28: Highest IV Rank — 10.9%
2021-06-28: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.86	$45.42	$47.85	$47.26	$45.42
Max Pain	$45.27	$45.00	$48.00	$48.00	$45.00
ATM IV	18.5%	12.1%	30.1%	19.7%	12.4%
Expected Move	4.9%	3.1%	8.6%	5.7%	3.5%
HV 20d	12.1%	10.8%	13.9%	13.9%	11.6%
HV 60d	11.1%	10.6%	11.5%	11.0%	11.3%
IV Rank	4.5%	0.9%	10.9%	5.1%	1.1%
IV Percentile	14.4%	1.6%	47.2%	12.7%	2.0%
Term Structure	-0.1%	-8.9%	6.1%	-8.9%	5.9%
VWIV	17.5%	11.4%	40.4%	40.4%	12.5%
Skew 25d	-1.3%	-14.4%	8.1%	-7.2%	-7.4%
Skew 10d	-2.3%	-21.6%	5.8%	-12.4%	-7.3%
Call IV 25d	17.9%	12.2%	30.1%	25.7%	19.3%
Put IV 25d	16.6%	11.8%	21.2%	18.6%	11.8%
Bid-Ask Spread %	141.52	131.24	159.87	159.87	133.96
Gamma HHI	0.33	0.31	0.52	0.34	0.32
Net GEX	63.7K	48.3K	119.5K	65.8K	55.6K
Net DEX	-1.0M	-1.4M	-483.1K	-1.2M	-483.1K
Net VEX	-3.7K	-4.3K	-3.1K	-4.3K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.00	5.00	1.00	0.14
Total Volume	25.227	0	239	2	4
Total OI	676.273	623	712	712	626

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
2021-06-01	$47.26	$48.00	19.7%	5.7%	13.9%	5.1%	0.0%	-7.2%	-8.9%	65.8K	-1.2M	-4.3K	1.00	159.87	1	1	487	225
2021-06-02	$47.37	$48.00	16.1%	4.6%	13.5%	3.1%	0.0%	-8.0%	-3.8%	66.2K	-1.2M	-4.1K	0.00	156.22	1	0	486	226
2021-06-03	$47.21	$45.00	20.0%	3.9%	13.5%	5.3%	0.0%	0.3%	2.8%	65.8K	-1.1M	-4.2K	0.00	139.46	0	0	485	226
2021-06-04	$47.47	$45.00	15.5%	3.8%	13.6%	2.8%	0.0%	3.5%	2.7%	71.3K	-1.2M	-4.0K	0.00	141.35	0	0	485	226
2021-06-07	$47.69	$45.00	26.4%	3.6%	13.3%	8.8%	40.4%	-3.0%	5.8%	67.4K	-1.3M	-3.9K	0.00	140.25	5	0	485	226
2021-06-08	$47.53	$45.00	23.0%	3.1%	13.3%	6.9%	0.0%	2.4%	5.3%	69.0K	-1.2M	-3.9K	0.00	138.97	0	0	485	226
2021-06-09	$47.85	$45.00	12.1%	3.5%	12.7%	0.9%	0.0%	-4.8%	6.1%	69.2K	-1.3M	-3.8K	0.00	141.80	4	0	485	226
2021-06-10	$47.22	$45.00	12.5%	3.6%	12.5%	1.1%	0.0%	-3.1%	4.5%	53.5K	-1.2M	-4.2K	0.00	139.60	0	0	479	226
2021-06-11	$47.28	$45.00	13.1%	3.7%	12.3%	1.4%	0.0%	-3.2%	4.2%	56.0K	-1.2M	-4.1K	0.00	144.54	0	0	479	226
2021-06-14	$47.36	$45.00	16.8%	4.8%	11.5%	3.5%	0.0%	4.9%	1.0%	48.3K	-1.2M	-3.9K	0.00	141.59	1	0	474	226
2021-06-15	$47.57	$45.00	14.8%	4.3%	11.5%	2.4%	11.4%	3.5%	4.2%	55.3K	-1.4M	-3.3K	0.00	142.72	3	0	474	226
2021-06-16	$47.34	$45.00	19.2%	5.5%	11.7%	4.8%	16.6%	5.1%	-2.9%	53.3K	-1.2M	-3.8K	0.00	144.09	4	0	474	226
2021-06-17	$47.00	$45.00	17.7%	5.1%	10.8%	4.0%	0.0%	4.3%	-2.5%	56.6K	-1.1M	-3.8K	0.00	139.12	0	0	472	226
2021-06-18	$46.19	$45.00	20.6%	5.9%	11.0%	5.6%	11.4%	8.1%	-3.6%	119.5K	-712.3K	-3.9K	5.00	140.75	8	40	472	226
2021-06-21	$46.55	$45.00	17.3%	5.0%	11.4%	3.8%	14.0%	1.3%	1.8%	59.1K	-971.7K	-3.6K	0.00	137.75	1	0	437	186
2021-06-22	$46.39	$45.00	19.8%	5.7%	11.3%	5.2%	0.0%	0.3%	-2.1%	60.9K	-892.9K	-3.6K	0.00	142.44	0	0	437	186
2021-06-23	$45.98	$45.00	19.5%	5.6%	10.9%	5.0%	19.6%	-4.3%	-2.7%	60.5K	-766.6K	-3.5K	0.13	136.84	210	28	437	186
2021-06-24	$46.26	$45.00	20.2%	5.8%	11.2%	5.4%	0.0%	-2.4%	-2.9%	61.2K	-858.5K	-3.6K	0.00	131.24	0	0	437	186
2021-06-25	$46.43	$45.00	20.3%	5.8%	11.3%	5.4%	14.0%	1.5%	-3.3%	66.1K	-969.3K	-3.3K	2.00	134.55	1	2	437	186
2021-06-28	$45.97	$45.00	30.1%	8.6%	11.6%	10.9%	13.9%	-14.4%	-7.6%	61.4K	-819.1K	-3.4K	0.00	153.49	2	0	438	188
2021-06-29	$45.53	$45.00	20.5%	5.9%	11.7%	5.6%	20.7%	-6.9%	-5.4%	60.3K	-558.7K	-3.1K	0.14	132.91	209	30	438	188
2021-06-30	$45.42	$45.00	12.4%	3.5%	11.6%	1.1%	12.5%	-7.4%	5.9%	55.6K	-483.1K	-3.2K	0.00	133.96	0	4	438	188