IGF Options History — November 2021

In November 2021, IGF traded between $45.36 and $48.33. ATM implied volatility averaged 18.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 9.2% (HV 20d: 9.5%). 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 0 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2021-11-23: Highest Volume — 100 contracts
2021-11-10: Largest IV drop — 50.3% change
2021-11-26: Highest IV Rank — 22.7%
2021-11-26: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.33	$45.36	$48.33	$48.19	$45.36
Max Pain	$45.67	$45.00	$50.00	$50.00	$45.00
ATM IV	18.7%	13.1%	27.7%	15.5%	24.1%
Expected Move	5.0%	3.7%	7.9%	4.4%	6.9%
HV 20d	9.5%	7.7%	11.6%	9.5%	11.4%
HV 60d	10.7%	10.5%	11.6%	10.7%	11.6%
IV Rank	10.9%	3.5%	22.7%	6.7%	18.0%
IV Percentile	35.3%	4.4%	81.7%	13.5%	73.0%
Term Structure	-3.8%	-11.9%	-0.7%	-1.8%	-11.9%
VWIV	18.8%	12.3%	29.0%	12.3%	22.7%
Skew 25d	0.9%	-2.4%	6.5%	-0.5%	-2.4%
Skew 10d	3.6%	-5.1%	18.5%	2.7%	11.4%
Call IV 25d	16.5%	10.8%	28.8%	13.3%	23.7%
Put IV 25d	17.5%	12.3%	30.5%	12.8%	21.3%
Bid-Ask Spread %	153.12	136.96	164.95	151.44	145.36
Gamma HHI	0.33	0.22	0.60	0.37	0.31
Net GEX	4.3K	-991	17.1K	-426	11.3K
Net DEX	-66.3K	-159.5K	-21.8K	-52.3K	-80.5K
Net VEX	-322	-867	-130	-147	-785
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.28	1.47	1.47	0.28
Total Volume	56.81	37	100	37	100
Total OI	59.476	41	105	41	105

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
2021-11-01	$48.19	$50.00	15.5%	4.4%	9.5%	6.7%	12.3%	-0.5%	-1.8%	-426	-52.3K	-147	1.47	151.44	15	22	20	21
2021-11-02	$48.01	$50.00	19.0%	5.5%	9.6%	11.3%	17.5%	-0.8%	-2.8%	1.8K	-46.4K	-159	1.38	142.33	16	22	20	21
2021-11-03	$48.08	$49.00	16.5%	4.7%	9.5%	7.9%	15.5%	6.5%	-2.2%	-991	-49.6K	-130	1.38	145.73	16	22	21	21
2021-11-04	$47.89	$45.00	17.0%	3.7%	9.6%	8.7%	19.8%	3.1%	-1.8%	-113	-36.5K	-202	1.38	140.25	16	22	21	21
2021-11-05	$48.33	$45.00	16.8%	3.8%	10.0%	8.4%	16.9%	3.2%	-1.6%	2.1K	-51.8K	-173	1.38	155.35	16	22	21	21
2021-11-08	$48.24	$45.00	20.2%	3.7%	9.7%	12.8%	16.3%	-0.5%	-2.6%	1.5K	-51.0K	-178	1.38	153.29	16	22	21	21
2021-11-09	$48.21	$45.00	26.3%	4.5%	9.7%	20.9%	17.0%	1.3%	-2.1%	1.0K	-54.3K	-147	1.29	154.03	17	22	22	21
2021-11-10	$47.77	$45.00	13.1%	3.7%	10.1%	3.5%	15.9%	-2.0%	-2.9%	3.1K	-52.6K	-175	1.22	153.16	18	22	23	21
2021-11-11	$47.69	$45.00	14.9%	4.3%	9.2%	5.9%	17.3%	0.5%	-0.7%	2.0K	-51.0K	-200	1.10	159.87	20	22	25	21
2021-11-12	$47.64	$45.00	15.3%	4.4%	9.2%	6.5%	16.9%	0.2%	-2.6%	3.4K	-59.0K	-208	1.05	160.91	21	22	28	21
2021-11-15	$47.77	$45.00	15.4%	4.4%	9.1%	6.6%	17.6%	-0.2%	-3.4%	5.1K	-63.0K	-197	0.92	157.72	24	22	30	21
2021-11-16	$47.51	$45.00	15.3%	4.4%	8.8%	6.4%	17.1%	-1.3%	-4.3%	3.2K	-75.3K	-228	0.81	160.64	27	22	35	21
2021-11-17	$47.30	$45.00	15.5%	4.4%	8.2%	6.6%	17.7%	0.2%	-4.2%	2.5K	-71.4K	-228	0.81	158.82	27	22	39	21
2021-11-18	$47.22	$45.00	19.3%	5.5%	7.7%	11.7%	22.2%	-0.7%	-4.0%	2.7K	-66.4K	-256	0.81	160.90	27	22	39	21
2021-11-19	$46.61	$45.00	18.0%	5.2%	8.7%	10.0%	17.7%	0.6%	-4.3%	1.6K	-50.5K	-242	0.81	155.91	27	22	39	21
2021-11-22	$46.57	$45.00	18.5%	5.3%	8.6%	10.6%	21.6%	1.6%	-3.0%	87	-21.8K	-262	0.58	136.96	38	22	24	21
2021-11-23	$46.82	$45.00	19.0%	5.5%	8.9%	11.3%	18.5%	1.5%	-3.9%	9.6K	-89.9K	-321	0.28	150.81	78	22	44	21
2021-11-24	$46.94	$45.00	19.5%	5.6%	8.9%	11.9%	17.4%	5.7%	-2.6%	17.1K	-159.5K	-823	0.28	148.98	78	22	84	21
2021-11-26	$45.88	$45.00	27.7%	7.9%	11.6%	22.7%	29.0%	3.5%	-7.9%	11.0K	-102.5K	-867	0.28	164.95	78	22	84	21
2021-11-29	$45.94	$45.00	26.0%	7.4%	11.6%	20.4%	27.0%	0.1%	-8.4%	11.7K	-107.0K	-827	0.28	158.05	78	22	84	21
2021-11-30	$45.36	$45.00	24.1%	6.9%	11.4%	18.0%	22.7%	-2.4%	-11.9%	11.3K	-80.5K	-785	0.28	145.36	78	22	84	21