IGF Options History — December 2021

In December 2021, IGF traded between $45.24 and $47.66. ATM implied volatility averaged 23.0%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 8.6% (HV 20d: 14.5%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.22.

Notable Days

2021-12-21: Highest Volume — 123 contracts
2021-12-15: Largest IV drop — 51.6% change
2021-12-14: Highest IV Rank — 36.5%
2021-12-03: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.42	$45.24	$47.66	$45.24	$47.66
Max Pain	$42.41	$42.00	$45.00	$45.00	$42.00
ATM IV	23.0%	14.9%	38.2%	24.2%	14.9%
Expected Move	5.3%	4.3%	8.4%	6.9%	4.3%
HV 20d	14.5%	11.4%	16.4%	11.4%	12.7%
HV 60d	12.0%	11.5%	12.4%	11.5%	11.8%
IV Rank	16.6%	5.9%	36.5%	18.1%	5.9%
IV Percentile	54.3%	10.3%	92.1%	73.4%	10.3%
Term Structure	-2.5%	-14.7%	3.6%	-11.9%	-0.6%
VWIV	21.4%	13.3%	28.2%	27.0%	26.1%
Skew 25d	-0.5%	-10.4%	5.9%	-2.7%	3.0%
Skew 10d	-1.3%	-8.3%	4.9%	-3.1%	2.2%
Call IV 25d	18.3%	14.9%	31.4%	26.0%	15.8%
Put IV 25d	17.8%	11.2%	30.9%	23.3%	18.9%
Bid-Ask Spread %	151.31	140.68	156.63	140.68	155.95
Gamma HHI	0.33	0.25	0.40	0.29	0.35
Net GEX	11.1K	1.2K	17.2K	10.4K	13.9K
Net DEX	-155.2K	-288.3K	-57.9K	-75.0K	-288.3K
Net VEX	-951	-1.4K	-704	-778	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.13	0.35	0.28	0.13
Total Volume	109.318	73	123	101	123
Total OI	109.409	81	131	105	131

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
2021-12-01	$45.24	$45.00	24.2%	6.9%	11.4%	18.1%	27.0%	-2.7%	-11.9%	10.4K	-75.0K	-778	0.28	140.68	79	22	84	21
2021-12-02	$45.67	$45.00	28.0%	8.0%	12.1%	23.1%	28.2%	-0.5%	-8.9%	11.3K	-96.4K	-829	0.28	151.45	79	22	85	21
2021-12-03	$45.33	$45.00	29.5%	8.4%	12.2%	25.0%	25.6%	-2.8%	-14.7%	11.1K	-78.5K	-783	0.28	143.38	79	22	85	21
2021-12-06	$46.24	$42.00	25.3%	5.3%	14.1%	19.5%	17.5%	5.9%	3.6%	12.5K	-129.2K	-818	0.28	145.51	79	22	85	21
2021-12-07	$46.73	$42.00	26.1%	4.8%	14.8%	20.5%	20.6%	4.6%	0.8%	13.6K	-157.1K	-805	0.28	150.36	79	22	85	21
2021-12-08	$46.86	$42.00	34.4%	4.8%	14.9%	31.5%	20.0%	3.5%	-0.2%	12.7K	-158.6K	-800	0.27	151.84	82	22	85	21
2021-12-09	$46.48	$42.00	29.2%	4.8%	14.8%	24.7%	19.5%	2.1%	0.4%	14.9K	-148.7K	-793	0.27	152.84	82	22	88	21
2021-12-10	$46.55	$42.00	30.4%	4.9%	14.8%	26.2%	19.3%	3.7%	-0.2%	15.6K	-150.5K	-775	0.27	155.00	82	22	88	21
2021-12-13	$45.92	$42.00	33.8%	4.6%	15.5%	30.7%	18.4%	0.9%	0.0%	14.0K	-117.5K	-763	0.27	148.08	82	22	86	21
2021-12-14	$45.68	$42.00	38.2%	5.0%	15.4%	36.5%	20.5%	-0.8%	-1.1%	5.1K	-67.2K	-725	0.27	152.53	82	22	66	21
2021-12-15	$46.10	$42.00	18.5%	5.3%	15.9%	10.6%	20.1%	3.7%	-0.8%	5.6K	-77.8K	-715	0.29	151.51	82	24	66	21
2021-12-16	$46.16	$42.00	16.8%	4.8%	15.9%	8.3%	22.3%	-0.6%	0.2%	1.9K	-71.6K	-720	0.29	152.78	82	24	66	31
2021-12-17	$45.89	$42.00	20.1%	5.8%	15.9%	12.7%	23.5%	-0.1%	-4.1%	1.2K	-57.9K	-704	0.35	156.63	82	29	66	31
2021-12-20	$45.68	$42.00	17.9%	5.1%	15.4%	9.8%	19.5%	-0.8%	-2.1%	6.3K	-70.0K	-714	0.24	150.86	59	14	63	18
2021-12-21	$46.21	$42.00	18.0%	5.2%	16.0%	10.0%	19.8%	3.5%	-1.0%	6.8K	-82.7K	-727	0.13	145.79	109	14	63	18
2021-12-22	$46.62	$42.00	16.7%	4.8%	16.2%	8.2%	22.3%	-4.3%	-1.0%	14.4K	-235.2K	-1.4K	0.13	151.00	109	14	113	18
2021-12-23	$46.89	$42.00	15.8%	4.5%	16.4%	7.1%	23.9%	-4.1%	-2.7%	16.7K	-254.9K	-1.4K	0.13	156.16	109	14	113	18
2021-12-27	$47.06	$42.00	16.3%	4.7%	14.0%	7.8%	24.6%	-5.0%	-2.4%	17.2K	-259.7K	-1.3K	0.13	156.12	109	14	113	18
2021-12-28	$47.29	$42.00	15.9%	4.6%	14.1%	7.2%	13.3%	-5.2%	-2.4%	13.6K	-276.3K	-1.3K	0.13	151.97	109	14	113	18
2021-12-29	$47.46	$42.00	15.9%	4.6%	13.0%	7.2%	14.8%	-5.5%	-2.0%	12.6K	-283.2K	-1.3K	0.13	152.51	109	14	113	18
2021-12-30	$47.44	$42.00	21.0%	6.0%	12.9%	13.9%	24.6%	-10.4%	-3.4%	13.8K	-278.1K	-1.4K	0.13	155.78	109	14	113	18
2021-12-31	$47.66	$42.00	14.9%	4.3%	12.7%	5.9%	26.1%	3.0%	-0.6%	13.9K	-288.3K	-1.3K	0.13	155.95	109	14	113	18