IGF Options History — March 2022

In March 2022, IGF traded between $46.84 and $50.89. ATM implied volatility averaged 28.2%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 10.7% (HV 20d: 17.6%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 0.14.

Notable Days

  • 2022-03-18: Highest Volume — 123 contracts
  • 2022-03-31: Largest IV drop — 37.4% change
  • 2022-03-04: Highest IV Rank — 44.0%
  • 2022-03-04: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.50$46.84$50.89$47.08$50.89
Max Pain$46.00$45.00$47.00$45.00$47.00
ATM IV28.2%14.9%43.9%36.9%14.9%
Expected Move7.8%3.4%12.6%10.6%3.4%
HV 20d17.6%13.3%19.3%16.4%13.3%
HV 60d14.1%13.4%14.6%13.7%14.6%
IV Rank23.0%4.2%44.0%34.8%4.2%
IV Percentile80.2%11.1%99.2%98.0%11.1%
Term Structure-4.1%-10.7%6.0%-10.7%-3.1%
VWIV23.9%19.7%28.6%28.6%19.7%
Skew 25d9.1%1.7%15.5%2.5%8.5%
Skew 10d12.4%-6.3%27.1%11.2%1.4%
Call IV 25d21.8%15.4%32.5%32.5%18.0%
Put IV 25d31.0%18.3%41.0%35.0%26.5%
Bid-Ask Spread %128.7285.37195.20124.69125.77
Gamma HHI0.340.250.380.360.25
Net GEX10.9K8.6K15.0K8.9K8.6K
Net DEX-276.9K-430.4K-206.4K-210.2K-430.4K
Net VEX-1.1K-1.2K-1.0K-1.1K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.100.410.110.41
Total Volume113.913104123108114
Total OI119.13106163106163

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$47.08$0.0036.9%10.6%16.4%34.8%0.0%2.5%-10.7%8.9K-210.2K-1.1K0.11124.6997119511
2022-03-02$47.92$0.0032.0%9.2%17.5%28.3%0.0%13.8%-1.9%9.3K-225.1K-1.1K0.11142.6997119611
2022-03-03$47.49$0.0038.9%11.1%17.6%37.4%0.0%10.1%-8.1%9.0K-215.7K-1.1K0.11120.8797119611
2022-03-04$47.44$0.0043.9%12.6%17.5%44.0%0.0%15.5%-5.9%10.2K-206.4K-1.1K0.11128.89102119611
2022-03-07$46.84$0.0041.8%12.0%18.0%41.2%0.0%13.3%-3.7%8.9K-207.8K-1.1K0.11140.261021110111
2022-03-08$46.97$0.0033.4%12.4%18.0%30.3%0.0%10.4%-6.2%9.2K-211.2K-1.1K0.11133.311021110111
2022-03-09$47.90$0.0032.1%10.7%19.3%28.5%0.0%12.7%-5.6%10.2K-227.6K-1.1K0.11134.411021110111
2022-03-10$47.64$0.0026.4%10.0%18.8%20.9%0.0%12.4%-3.3%10.2K-227.4K-1.1K0.11135.841021110111
2022-03-11$47.31$0.0030.6%8.9%18.5%26.5%0.0%11.4%-5.0%9.3K-225.5K-1.1K0.11153.341021110111
2022-03-14$47.08$45.0032.1%7.7%18.6%28.5%28.6%11.1%-6.0%9.8K-212.8K-1.1K0.1185.371021110111
2022-03-15$47.42$45.0032.7%7.3%18.3%29.3%26.3%14.5%-5.4%9.7K-223.9K-1.1K0.11100.661021110111
2022-03-16$47.80$45.0025.9%6.1%18.4%20.3%20.9%2.7%-4.1%12.0K-224.6K-1.1K0.11124.581021110111
2022-03-17$48.51$0.0026.4%8.5%18.8%21.0%0.0%7.2%6.0%12.3K-254.7K-1.0K0.11195.201021110111
2022-03-18$48.96$0.0026.2%6.1%19.0%20.7%0.0%6.8%-1.2%12.5K-277.1K-1.0K0.10125.071121110111
2022-03-21$48.82$0.0022.6%5.3%18.8%15.9%0.0%14.9%-7.2%12.9K-309.2K-1.2K0.10118.051121111111
2022-03-22$49.17$0.0019.2%4.8%18.7%11.5%0.0%9.7%-1.9%12.3K-315.6K-1.1K0.10112.291121111111
2022-03-23$49.05$0.0021.7%5.9%18.3%13.8%0.0%4.9%-0.1%12.8K-308.7K-1.1K0.10113.691121111111
2022-03-24$49.48$0.0023.7%6.1%18.2%16.4%0.0%4.1%-4.7%15.0K-332.2K-1.1K0.10130.241121111111
2022-03-25$50.18$0.0018.9%4.6%16.4%9.6%0.0%2.6%-4.6%12.5K-367.4K-1.0K0.10129.961121111111
2022-03-28$50.06$0.0023.6%5.4%16.5%15.9%19.7%12.0%-0.3%11.7K-352.8K-1.1K0.28125.45822311111
2022-03-29$50.61$47.0021.7%4.9%14.9%13.3%0.0%7.6%-5.1%13.3K-397.6K-1.2K0.28131.44822312123
2022-03-30$50.89$47.0023.9%4.9%14.0%16.2%0.0%1.7%-6.1%11.1K-404.9K-1.2K0.28128.43812312133
2022-03-31$50.89$47.0014.9%3.4%13.3%4.2%0.0%8.5%-3.1%8.6K-430.4K-1.1K0.41125.77813312043