IGF Options History — September 2022

In September 2022, IGF traded between $41.92 and $59.53. ATM implied volatility averaged 36.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 68.6% (HV 20d: 104.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2022-09-26: Highest Volume — 96 contracts
2022-09-15: Largest IV spike — 398.3% change
2022-09-15: Highest IV Rank — 100.0%
2022-09-15: Largest Expected Move — 38.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.53	$41.92	$59.53	$47.17	$41.92
Max Pain	$45.48	$45.00	$50.00	$50.00	$45.00
ATM IV	36.3%	19.8%	134.4%	29.7%	32.8%
Expected Move	9.0%	5.7%	38.5%	8.5%	9.4%
HV 20d	104.9%	84.5%	122.3%	84.5%	122.3%
HV 60d	69.2%	50.0%	84.8%	51.2%	84.8%
IV Rank	24.1%	5.7%	100.0%	22.4%	16.4%
IV Percentile	77.0%	30.6%	100.0%	80.2%	87.7%
Term Structure	-2.9%	-17.9%	6.0%	-5.3%	-2.4%
VWIV	29.9%	24.1%	38.3%	28.7%	30.1%
Skew 25d	4.7%	-8.4%	22.2%	11.2%	17.7%
Skew 10d	-0.6%	-23.8%	18.6%	9.2%	18.6%
Call IV 25d	23.2%	16.8%	33.4%	25.2%	17.4%
Put IV 25d	27.9%	17.1%	41.4%	36.4%	35.1%
Bid-Ask Spread %	128.53	115.77	145.26	141.74	126.22
Gamma HHI	0.22	0.17	0.30	0.20	0.26
Net GEX	4.2K	-4.3K	12.6K	8.1K	-4.3K
Net DEX	-45.4K	-344.1K	58.3K	-59.4K	58.3K
Net VEX	-407	-685	-223	-544	-223
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.23	0.12	0.15
Total Volume	39.429	0	96	0	90
Total OI	112.381	108	117	112	117

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
2022-09-01	$47.17	$50.00	29.7%	8.5%	84.5%	22.4%	0.0%	11.2%	-5.3%	8.1K	-59.4K	-544	0.00	141.74	0	0	82	30
2022-09-02	$46.94	$50.00	32.4%	9.3%	84.5%	25.8%	0.0%	-3.7%	-17.9%	8.5K	-66.5K	-493	0.00	142.36	0	0	82	30
2022-09-06	$46.84	$45.00	35.8%	8.2%	84.5%	30.0%	28.7%	9.7%	-4.7%	7.6K	-67.4K	-576	0.12	123.93	82	10	82	30
2022-09-07	$47.66	$45.00	35.0%	6.7%	84.7%	29.1%	27.8%	-2.9%	-6.6%	7.9K	-64.6K	-510	0.12	123.18	82	10	82	30
2022-09-08	$47.44	$45.00	40.8%	5.7%	84.6%	36.3%	0.0%	-0.9%	1.5%	8.3K	-55.5K	-412	0.00	115.77	0	0	82	30
2022-09-09	$48.28	$45.00	36.5%	7.5%	84.9%	30.0%	0.0%	-0.2%	-3.8%	11.4K	-92.1K	-553	0.00	123.76	0	0	82	30
2022-09-12	$48.80	$45.00	47.6%	6.3%	84.9%	44.1%	0.0%	-3.5%	0.5%	12.6K	-105.9K	-514	0.00	124.06	0	0	82	30
2022-09-13	$47.54	$45.00	47.3%	5.9%	85.4%	43.7%	24.1%	8.2%	-2.2%	10.3K	-82.4K	-488	0.12	124.77	82	10	82	30
2022-09-14	$47.68	$45.00	27.0%	7.7%	85.4%	17.9%	0.0%	1.8%	-1.1%	10.2K	-89.9K	-521	0.00	130.29	0	0	82	30
2022-09-15	$59.53	$45.00	134.4%	38.5%	102.4%	100.0%	0.0%	0.0%	0.0%	3.6K	-344.1K	-685	0.00	126.21	1	0	82	30
2022-09-16	$46.70	$45.00	24.1%	6.9%	121.1%	9.3%	28.5%	-8.4%	-5.2%	2.6K	-34.9K	-284	0.12	145.26	83	10	83	30
2022-09-19	$47.06	$45.00	25.8%	7.4%	121.1%	10.6%	0.0%	-7.3%	-1.8%	6.3K	-53.7K	-383	0.00	131.11	0	1	78	30
2022-09-20	$46.53	$45.00	23.2%	6.6%	121.1%	8.5%	0.0%	8.5%	-2.1%	4.9K	-36.2K	-367	0.00	125.72	0	0	78	31
2022-09-21	$45.73	$45.00	19.8%	5.7%	121.2%	5.7%	0.0%	8.6%	-2.9%	3.0K	-23.7K	-307	0.00	136.66	0	0	78	31
2022-09-22	$45.66	$45.00	24.6%	7.1%	121.2%	9.7%	0.0%	-2.0%	6.0%	2.3K	-15.5K	-277	0.00	130.74	0	0	78	31
2022-09-23	$43.99	$45.00	29.3%	8.4%	121.7%	13.6%	31.3%	3.2%	-4.4%	-842	14.0K	-258	0.00	137.77	0	7	78	31
2022-09-26	$43.10	$45.00	33.8%	9.7%	121.7%	17.3%	38.3%	8.0%	-6.8%	-2.2K	35.5K	-330	0.23	121.31	78	18	78	38
2022-09-27	$42.53	$45.00	29.1%	8.3%	121.7%	13.3%	31.4%	8.6%	4.9%	-3.4K	44.8K	-290	0.12	120.68	78	9	78	38
2022-09-28	$43.57	$45.00	22.0%	6.3%	122.1%	7.5%	25.9%	14.3%	2.6%	-4.2K	36.0K	-271	0.12	126.06	78	9	78	39
2022-09-29	$42.54	$45.00	32.1%	9.2%	122.3%	15.8%	32.7%	22.2%	-7.4%	-3.7K	50.5K	-262	0.15	121.46	78	12	78	39
2022-09-30	$41.92	$45.00	32.8%	9.4%	122.3%	16.4%	30.1%	17.7%	-2.4%	-4.3K	58.3K	-223	0.15	126.22	78	12	78	39