IGF Options History — September 2021

In September 2021, IGF traded between $45.39 and $47.33. ATM implied volatility averaged 18.0%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.0% (HV 20d: 11.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.13.

Notable Days

2021-09-20: Highest Volume — 10 contracts
2021-09-28: Largest IV spike — 80.0% change
2021-09-20: Highest IV Rank — 19.3%
2021-09-20: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.50	$45.39	$47.33	$47.06	$45.89
Max Pain	$45.00	$45.00	$45.00	$45.00	$45.00
ATM IV	18.0%	11.8%	26.9%	21.9%	19.4%
Expected Move	5.0%	3.2%	7.7%	6.3%	5.6%
HV 20d	11.1%	9.3%	13.0%	9.5%	12.4%
HV 60d	11.7%	11.3%	12.0%	11.9%	11.9%
IV Rank	8.9%	1.6%	19.3%	13.5%	10.5%
IV Percentile	23.3%	1.6%	65.9%	46.8%	31.3%
Term Structure	-2.8%	-13.8%	3.5%	-8.1%	-13.8%
VWIV	19.9%	15.8%	27.7%	21.3%	27.7%
Skew 25d	5.4%	-10.7%	12.5%	7.7%	3.5%
Skew 10d	0.8%	-7.5%	8.1%	2.0%	2.6%
Call IV 25d	17.3%	8.9%	37.1%	17.0%	37.1%
Put IV 25d	22.7%	17.9%	40.6%	24.7%	40.6%
Bid-Ask Spread %	144.30	134.16	160.11	160.11	149.42
Gamma HHI	0.53	0.48	0.56	0.52	0.49
Net GEX	77.1K	57.9K	90.1K	69.7K	62.9K
Net DEX	-545.1K	-714.9K	-369.3K	-645.8K	-431.8K
Net VEX	-1.5K	-1.9K	-1.1K	-1.9K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.00	9.00	0.00	9.00
Total Volume	1.571	0	10	1	0
Total OI	328.048	323	335	323	334

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
2021-09-01	$47.06	$0.00	21.9%	6.3%	9.5%	13.5%	0.0%	7.7%	-8.1%	69.7K	-645.8K	-1.9K	0.00	160.11	1	0	299	24
2021-09-02	$47.33	$45.00	19.6%	3.9%	9.4%	10.7%	0.0%	10.7%	1.6%	72.3K	-688.4K	-1.8K	0.00	145.53	1	0	299	24
2021-09-03	$47.30	$45.00	15.9%	3.2%	9.3%	6.4%	0.0%	8.4%	3.5%	82.8K	-709.5K	-1.9K	0.00	145.52	0	0	300	24
2021-09-07	$46.94	$45.00	16.5%	3.4%	9.3%	7.1%	0.0%	11.5%	2.9%	82.2K	-645.2K	-1.8K	0.00	144.69	2	0	301	24
2021-09-08	$47.30	$45.00	11.8%	3.4%	9.5%	1.6%	21.3%	9.8%	2.5%	80.5K	-714.9K	-1.8K	0.00	141.98	5	0	301	24
2021-09-09	$46.95	$45.00	14.9%	4.3%	9.9%	5.3%	0.0%	11.4%	-3.8%	80.3K	-643.7K	-1.7K	0.00	139.47	0	0	301	24
2021-09-10	$46.50	$45.00	13.7%	3.9%	10.5%	3.8%	0.0%	7.2%	1.6%	77.0K	-572.0K	-1.7K	0.00	137.18	0	0	301	24
2021-09-13	$46.88	$45.00	15.4%	4.4%	10.8%	5.8%	0.0%	12.5%	-4.2%	78.7K	-642.1K	-1.7K	0.00	139.18	0	0	301	24
2021-09-14	$46.60	$45.00	19.4%	5.6%	11.1%	10.6%	0.0%	5.9%	-8.4%	76.7K	-578.1K	-1.6K	0.00	135.00	0	0	301	24
2021-09-15	$46.64	$45.00	16.9%	4.8%	10.3%	7.5%	16.9%	8.5%	-1.5%	81.9K	-572.1K	-1.5K	0.00	138.65	1	0	301	24
2021-09-16	$46.33	$45.00	19.1%	5.5%	10.7%	10.2%	17.7%	2.5%	-0.1%	80.1K	-496.6K	-1.4K	0.00	140.70	1	0	301	24
2021-09-17	$46.01	$45.00	19.1%	5.5%	10.8%	10.1%	15.8%	5.1%	-2.5%	73.5K	-454.2K	-1.4K	0.00	136.77	2	0	302	24
2021-09-20	$45.39	$45.00	26.9%	7.7%	11.7%	19.3%	27.7%	5.4%	-7.5%	57.9K	-369.3K	-1.3K	9.00	134.16	1	9	302	24
2021-09-21	$45.98	$45.00	18.0%	5.2%	12.5%	8.8%	0.0%	8.6%	-3.0%	73.5K	-456.8K	-1.3K	0.00	149.11	0	0	302	24
2021-09-22	$46.15	$45.00	22.3%	6.4%	12.4%	13.9%	0.0%	-0.9%	-10.6%	68.6K	-446.2K	-1.3K	0.00	144.12	0	0	302	33
2021-09-23	$46.47	$45.00	16.1%	4.6%	12.6%	6.7%	0.0%	-2.5%	-1.8%	85.2K	-529.2K	-1.3K	0.00	145.31	0	0	302	33
2021-09-24	$46.42	$45.00	15.1%	4.3%	12.1%	5.5%	0.0%	4.1%	-1.0%	89.1K	-507.0K	-1.3K	0.00	146.63	0	0	302	33
2021-09-27	$46.58	$45.00	14.5%	4.2%	11.6%	4.8%	0.0%	-10.7%	-2.6%	90.1K	-543.0K	-1.2K	0.00	154.89	0	0	301	33
2021-09-28	$45.83	$45.00	26.2%	7.5%	12.9%	18.4%	0.0%	2.0%	-0.8%	79.9K	-387.9K	-1.1K	0.00	148.84	0	0	301	33
2021-09-29	$45.98	$45.00	16.1%	4.6%	13.0%	6.6%	0.0%	3.1%	-2.1%	76.9K	-414.0K	-1.1K	0.00	153.10	0	10	301	33
2021-09-30	$45.89	$45.00	19.4%	5.6%	12.4%	10.5%	0.0%	3.5%	-13.8%	62.9K	-431.8K	-1.1K	0.00	149.42	0	0	301	33