IGF Options History — August 2021

In August 2021, IGF traded between $45.71 and $46.65. ATM implied volatility averaged 17.4%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.6% (HV 20d: 10.8%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2021-08-02: Highest Volume — 71 contracts
2021-08-11: Largest IV drop — 28.5% change
2021-08-09: Highest IV Rank — 14.9%
2021-08-04: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.17	$45.71	$46.65	$45.89	$46.62
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	17.4%	15.2%	23.1%	15.9%	16.6%
Expected Move	4.7%	4.4%	5.6%	4.6%	4.8%
HV 20d	10.8%	7.7%	13.8%	13.8%	9.3%
HV 60d	12.0%	11.4%	13.0%	13.0%	11.7%
IV Rank	8.1%	5.6%	14.9%	6.5%	7.3%
IV Percentile	14.5%	4.8%	44.4%	6.7%	13.9%
Term Structure	0.2%	-3.5%	4.0%	4.0%	-0.4%
VWIV	25.6%	25.6%	25.6%	25.6%	25.6%
Skew 25d	0.3%	-13.3%	5.1%	-0.7%	-6.3%
Skew 10d	4.4%	-6.8%	8.1%	3.5%	1.2%
Call IV 25d	17.8%	13.0%	31.9%	22.3%	24.9%
Put IV 25d	18.2%	16.6%	21.9%	21.6%	18.7%
Bid-Ask Spread %	163.32	157.77	172.65	162.31	164.38
Gamma HHI	0.52	0.46	0.58	0.46	0.55
Net GEX	61.1K	31.6K	82.4K	31.6K	77.0K
Net DEX	-487.6K	-570.1K	-315.1K	-315.9K	-570.1K
Net VEX	-2.0K	-2.2K	-1.5K	-1.6K	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	4.00	0.00	0.00
Total Volume	6.455	0	71	71	0
Total OI	308.591	214	334	214	323

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
2021-08-02	$45.89	$46.00	15.9%	4.6%	13.8%	6.5%	0.0%	-0.7%	4.0%	31.6K	-315.9K	-1.6K	0.00	162.31	71	0	193	21
2021-08-03	$46.08	$46.00	18.9%	5.4%	13.7%	9.9%	0.0%	2.8%	-2.6%	33.5K	-315.1K	-1.5K	0.40	160.46	5	2	193	21
2021-08-04	$45.85	$46.00	19.5%	5.6%	13.6%	10.6%	25.6%	-1.5%	-3.5%	48.4K	-436.1K	-2.1K	0.00	163.26	2	0	264	21
2021-08-05	$46.20	$0.00	20.4%	4.7%	13.5%	11.7%	0.0%	5.1%	1.6%	54.5K	-487.2K	-2.2K	0.00	160.66	0	0	287	19
2021-08-06	$46.13	$0.00	19.4%	4.5%	13.0%	10.5%	0.0%	3.0%	0.8%	55.6K	-502.3K	-2.2K	0.00	161.91	0	0	289	19
2021-08-09	$45.77	$0.00	23.1%	4.9%	13.3%	14.9%	0.0%	1.1%	0.9%	55.1K	-442.2K	-2.1K	0.00	168.40	0	2	289	19
2021-08-10	$45.96	$0.00	22.6%	4.7%	13.0%	14.3%	0.0%	3.7%	-0.3%	57.0K	-501.4K	-2.2K	4.00	165.46	2	8	289	19
2021-08-11	$46.24	$0.00	16.2%	4.6%	13.2%	6.7%	0.0%	3.9%	0.6%	58.9K	-496.9K	-2.1K	0.00	161.77	14	0	289	21
2021-08-12	$46.21	$0.00	16.0%	4.6%	13.0%	6.5%	0.0%	3.2%	0.5%	58.1K	-491.4K	-2.1K	0.00	162.89	1	0	291	29
2021-08-13	$46.39	$0.00	15.7%	4.5%	13.0%	6.2%	0.0%	3.7%	-0.3%	71.4K	-537.8K	-2.2K	0.00	162.96	0	2	295	29
2021-08-16	$46.39	$0.00	15.5%	4.4%	7.7%	5.9%	0.0%	3.3%	0.3%	67.7K	-537.3K	-2.1K	0.00	162.38	3	0	295	29
2021-08-17	$45.91	$0.00	15.7%	4.5%	8.5%	6.1%	0.0%	1.8%	-0.4%	64.5K	-476.0K	-2.1K	0.00	157.77	11	0	295	31
2021-08-18	$45.97	$0.00	15.9%	4.6%	8.3%	6.4%	0.0%	3.0%	1.2%	57.2K	-470.2K	-2.1K	0.00	163.33	0	8	294	31
2021-08-19	$45.71	$0.00	16.2%	4.6%	8.6%	6.7%	0.0%	2.7%	-0.7%	58.2K	-476.1K	-2.2K	0.00	162.98	0	0	303	31
2021-08-20	$45.91	$0.00	17.2%	4.9%	8.3%	7.9%	0.0%	0.4%	1.6%	60.1K	-446.7K	-1.9K	0.00	162.70	0	0	303	25
2021-08-23	$46.17	$0.00	16.6%	4.8%	8.4%	7.2%	0.0%	-2.8%	0.2%	64.9K	-498.7K	-2.0K	0.00	165.81	0	0	298	24
2021-08-24	$46.44	$0.00	15.2%	4.4%	8.7%	5.6%	0.0%	-13.3%	0.4%	82.4K	-546.3K	-2.0K	0.00	172.65	0	0	298	24
2021-08-25	$46.57	$0.00	16.4%	4.7%	8.5%	7.0%	0.0%	-3.4%	0.5%	70.6K	-561.8K	-2.0K	0.00	164.55	10	0	298	24
2021-08-26	$46.15	$0.00	15.8%	4.5%	9.1%	6.2%	0.0%	0.8%	-0.9%	68.3K	-491.0K	-1.9K	0.00	163.58	0	0	298	24
2021-08-27	$46.65	$0.00	16.1%	4.6%	9.3%	6.6%	0.0%	-4.5%	0.5%	73.4K	-567.7K	-1.9K	0.00	159.77	1	0	298	24
2021-08-30	$46.58	$0.00	16.8%	4.8%	9.3%	7.4%	0.0%	1.3%	-0.8%	75.9K	-559.9K	-1.9K	0.00	163.04	0	0	298	24
2021-08-31	$46.62	$0.00	16.6%	4.8%	9.3%	7.3%	0.0%	-6.3%	-0.4%	77.0K	-570.1K	-1.9K	0.00	164.38	0	0	299	24