IGF Options History — July 2021

In July 2021, IGF traded between $44.62 and $46.51. ATM implied volatility averaged 22.1%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 9.0% (HV 20d: 13.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.07.

Notable Days

2021-07-14: Highest Volume — 80 contracts
2021-07-19: Largest IV spike — 61.3% change
2021-07-13: Highest IV Rank — 34.5%
2021-07-19: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.85	$44.62	$46.51	$45.67	$45.83
Max Pain	$46.67	$45.00	$50.00	$45.00	$46.00
ATM IV	22.1%	15.8%	42.8%	19.8%	18.7%
Expected Move	5.3%	4.5%	7.4%	5.7%	5.4%
HV 20d	13.2%	11.9%	14.7%	11.9%	14.0%
HV 60d	12.3%	11.4%	13.2%	11.4%	13.0%
IV Rank	11.8%	5.2%	34.5%	5.2%	9.7%
IV Percentile	27.4%	5.6%	72.6%	18.3%	16.7%
Term Structure	-0.6%	-6.2%	6.3%	-2.1%	-3.6%
VWIV	19.9%	10.3%	27.7%	14.5%	27.7%
Skew 25d	2.4%	-5.9%	8.9%	-5.9%	2.3%
Skew 10d	-1.2%	-22.9%	9.1%	-11.6%	1.3%
Call IV 25d	16.6%	12.6%	23.3%	18.4%	18.6%
Put IV 25d	19.0%	12.5%	25.8%	12.5%	20.8%
Bid-Ask Spread %	155.34	132.38	174.29	132.38	153.62
Gamma HHI	0.41	0.30	0.82	0.33	0.47
Net GEX	64.9K	26.5K	346.8K	62.4K	32.2K
Net DEX	-592.4K	-1.1M	-215.0K	-609.5K	-311.0K
Net VEX	-2.1K	-3.1K	-1.4K	-3.1K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.34	0.00	0.00
Total Volume	12.571	0	80	2	36
Total OI	431.667	207	643	626	214

Daily Data (21 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
2021-07-01	$45.67	$45.00	19.8%	5.7%	11.9%	5.2%	0.0%	-5.9%	-2.1%	62.4K	-609.5K	-3.1K	0.00	132.38	0	2	438	188
2021-07-02	$45.97	$45.00	20.2%	5.8%	11.9%	5.4%	0.0%	-2.0%	-3.2%	67.2K	-820.2K	-3.1K	0.00	136.12	0	0	438	188
2021-07-06	$46.24	$50.00	22.1%	4.9%	12.0%	6.4%	0.0%	0.9%	-1.2%	69.5K	-940.5K	-2.7K	0.00	154.95	2	0	438	186
2021-07-07	$46.51	$50.00	29.2%	4.8%	12.3%	10.4%	0.0%	-3.9%	3.5%	66.6K	-1.0M	-2.7K	0.00	174.29	0	0	436	186
2021-07-08	$46.05	$50.00	21.6%	5.1%	12.3%	11.9%	0.0%	-0.3%	3.6%	65.4K	-858.2K	-2.7K	0.00	157.75	0	0	436	186
2021-07-09	$46.49	$50.00	24.1%	4.6%	12.2%	14.6%	14.5%	5.2%	2.0%	75.7K	-1.1M	-2.6K	0.34	145.87	32	11	436	186
2021-07-12	$46.44	$46.00	35.9%	4.7%	12.2%	27.2%	0.0%	0.8%	1.7%	79.9K	-1.0M	-2.5K	0.00	155.20	30	0	468	175
2021-07-13	$46.01	$46.00	42.8%	4.8%	12.5%	34.5%	0.0%	1.5%	0.6%	77.9K	-836.4K	-2.4K	0.00	151.79	0	0	468	175
2021-07-14	$46.05	$46.00	16.7%	4.8%	12.3%	6.7%	0.0%	0.3%	0.8%	80.4K	-860.6K	-2.3K	0.00	154.34	80	0	468	175
2021-07-15	$45.77	$46.00	15.8%	4.5%	12.4%	6.3%	0.0%	3.3%	6.3%	69.5K	-667.3K	-2.1K	0.00	166.12	23	0	462	175
2021-07-16	$45.87	$46.00	16.1%	4.6%	12.3%	6.6%	0.0%	2.6%	-0.5%	346.8K	-907.7K	-1.8K	0.00	160.27	33	0	464	175
2021-07-19	$44.62	$46.00	25.9%	7.4%	14.4%	18.1%	25.9%	-0.5%	-6.2%	26.5K	-215.0K	-1.4K	0.25	153.15	4	1	195	12
2021-07-20	$44.99	$46.00	21.0%	6.0%	14.4%	12.4%	0.0%	6.5%	-2.0%	26.9K	-236.8K	-1.5K	0.00	156.04	0	0	194	13
2021-07-21	$45.25	$46.00	19.8%	5.7%	14.7%	11.0%	21.3%	8.9%	-0.8%	29.1K	-249.6K	-1.5K	0.00	159.71	0	9	194	13
2021-07-22	$45.34	$46.00	20.1%	5.8%	14.4%	11.3%	0.0%	8.5%	-2.2%	29.4K	-247.2K	-1.5K	0.00	158.69	0	0	194	21
2021-07-23	$45.69	$46.00	19.5%	5.6%	14.5%	10.7%	0.0%	5.3%	-3.7%	31.4K	-277.8K	-1.6K	0.00	154.46	0	0	194	21
2021-07-26	$45.84	$46.00	15.9%	4.6%	14.5%	6.4%	0.0%	5.6%	4.0%	31.4K	-287.1K	-1.5K	0.00	159.87	0	0	192	21
2021-07-27	$45.83	$46.00	20.5%	5.9%	14.1%	11.7%	10.3%	5.3%	-2.6%	30.0K	-316.3K	-1.6K	0.00	162.00	1	0	192	21
2021-07-28	$46.09	$46.00	21.7%	6.2%	13.8%	13.2%	0.0%	2.2%	-5.3%	31.5K	-323.4K	-1.6K	0.00	155.13	0	0	192	21
2021-07-29	$46.22	$46.00	17.7%	5.1%	13.7%	8.5%	0.0%	3.1%	-1.9%	32.7K	-342.5K	-1.6K	0.00	160.35	0	0	193	21
2021-07-30	$45.83	$46.00	18.7%	5.4%	14.0%	9.7%	27.7%	2.3%	-3.6%	32.2K	-311.0K	-1.6K	0.00	153.62	36	0	193	21