IGF Options History — October 2021

In October 2021, IGF traded between $46.27 and $48.31. ATM implied volatility averaged 18.8%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 7.7% (HV 20d: 11.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.96.

Notable Days

2021-10-22: Highest Volume — 37 contracts
2021-10-13: Largest IV drop — 58.8% change
2021-10-11: Highest IV Rank — 32.1%
2021-10-01: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.31	$46.27	$48.31	$46.27	$47.73
Max Pain	$49.72	$45.00	$50.00	$45.00	$50.00
ATM IV	18.8%	12.9%	37.9%	21.1%	14.9%
Expected Move	4.2%	3.7%	6.0%	6.0%	4.3%
HV 20d	11.1%	8.8%	12.9%	12.6%	9.2%
HV 60d	10.9%	10.1%	11.9%	11.9%	10.5%
IV Rank	10.1%	3.2%	32.1%	12.5%	5.9%
IV Percentile	27.8%	3.2%	82.9%	47.6%	9.9%
Term Structure	-0.1%	-12.4%	7.2%	-12.4%	-1.9%
VWIV	11.2%	9.2%	12.9%	12.3%	12.9%
Skew 25d	2.3%	-3.1%	9.5%	5.1%	-3.1%
Skew 10d	4.3%	-1.8%	9.5%	3.1%	-0.2%
Call IV 25d	13.3%	9.7%	20.8%	20.8%	15.2%
Put IV 25d	15.6%	12.1%	26.0%	26.0%	12.1%
Bid-Ask Spread %	152.20	144.39	159.02	151.46	152.03
Gamma HHI	0.48	0.29	0.68	0.52	0.30
Net GEX	56.6K	-2.1K	128.4K	81.2K	-408
Net DEX	-325.4K	-827.1K	-37.5K	-460.7K	-40.7K
Net VEX	-491	-1.2K	-154	-1.2K	-184
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.00	1.47	0.00	1.47
Total Volume	13.714	0	37	0	37
Total OI	198.286	31	346	344	41

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
2021-10-01	$46.27	$45.00	21.1%	6.0%	12.6%	12.5%	0.0%	5.1%	-12.4%	81.2K	-460.7K	-1.2K	0.00	151.46	0	0	301	43
2021-10-04	$46.56	$0.00	21.8%	3.9%	12.9%	13.3%	0.0%	3.1%	1.8%	83.6K	-554.3K	-1.1K	0.00	159.02	0	0	301	43
2021-10-05	$46.65	$0.00	24.9%	3.8%	12.7%	17.0%	12.3%	-0.4%	1.2%	96.5K	-520.4K	-988	0.00	155.77	6	0	301	43
2021-10-06	$46.48	$0.00	24.4%	4.7%	12.4%	16.3%	0.0%	4.6%	0.8%	97.4K	-457.6K	-853	0.00	144.39	0	0	301	43
2021-10-07	$46.69	$50.00	22.9%	4.2%	12.3%	14.6%	0.0%	1.7%	-0.6%	114.2K	-559.0K	-917	0.00	154.08	0	0	303	43
2021-10-08	$46.71	$50.00	24.0%	4.1%	11.8%	15.9%	0.0%	3.7%	-0.4%	114.4K	-564.3K	-870	0.00	155.02	0	0	303	43
2021-10-11	$46.45	$50.00	37.9%	4.6%	11.5%	32.1%	0.0%	2.9%	-2.7%	106.6K	-495.6K	-720	0.00	157.61	0	0	303	43
2021-10-12	$46.59	$50.00	36.5%	4.2%	11.4%	30.6%	0.0%	3.5%	-0.5%	126.8K	-511.8K	-607	0.00	151.05	1	0	303	43
2021-10-13	$46.99	$50.00	15.0%	4.3%	11.8%	5.4%	0.0%	1.3%	0.7%	113.9K	-644.5K	-554	0.00	152.34	0	0	303	43
2021-10-14	$47.56	$50.00	13.5%	3.9%	12.2%	4.0%	0.0%	2.1%	4.3%	128.4K	-810.8K	-419	0.00	149.39	1	0	303	43
2021-10-15	$47.67	$50.00	13.5%	3.9%	11.8%	4.0%	0.0%	9.5%	7.2%	119.7K	-827.1K	-272	0.00	153.09	0	0	303	43
2021-10-18	$47.47	$50.00	14.2%	4.1%	10.6%	5.0%	0.0%	-1.1%	2.9%	1.8K	-38.4K	-183	0.00	151.37	0	2	20	11
2021-10-19	$47.86	$50.00	13.0%	3.7%	10.1%	3.4%	0.0%	1.8%	0.8%	2.0K	-44.8K	-164	0.00	147.27	0	0	20	11
2021-10-20	$48.31	$50.00	12.9%	3.7%	10.4%	3.2%	9.2%	2.8%	0.4%	379	-42.9K	-193	0.87	145.51	15	13	20	13
2021-10-21	$47.90	$50.00	13.4%	3.8%	10.9%	3.9%	10.5%	2.3%	-0.9%	1.4K	-45.3K	-178	0.87	154.30	15	13	20	13
2021-10-22	$48.06	$50.00	13.6%	3.9%	10.9%	4.2%	10.2%	2.6%	-1.5%	1.5K	-46.1K	-167	1.47	153.64	15	22	20	13
2021-10-25	$47.89	$50.00	14.2%	4.1%	11.0%	5.0%	11.4%	1.8%	2.9%	-2.1K	-37.5K	-223	1.47	153.13	15	22	20	21
2021-10-26	$48.00	$50.00	14.0%	4.0%	8.8%	4.7%	10.6%	1.6%	-0.8%	708	-43.3K	-177	1.47	152.01	15	22	20	21
2021-10-27	$47.77	$50.00	14.5%	4.2%	9.2%	5.4%	12.2%	0.6%	-1.9%	-91	-42.6K	-186	1.47	151.37	15	22	20	21
2021-10-28	$47.97	$50.00	14.3%	4.1%	9.1%	5.1%	11.8%	1.3%	-1.2%	1.1K	-45.3K	-154	1.47	152.39	15	22	20	21
2021-10-29	$47.73	$50.00	14.9%	4.3%	9.2%	5.9%	12.9%	-3.1%	-1.9%	-408	-40.7K	-184	1.47	152.03	15	22	20	21