ILCG Options History — December 2022

In December 2022, ILCG traded between $47.69 and $53.11. ATM implied volatility averaged 35.8%. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 11.3% (HV 20d: 24.6%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days.

Notable Days

  • 2022-12-14: Largest IV drop — 58.4% change
  • 2022-12-02: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.15$47.69$53.11$53.11$48.51
ATM IV35.8%23.6%65.8%35.8%34.0%
Expected Move8.2%6.8%10.4%10.3%9.7%
HV 20d24.6%22.8%26.1%24.7%22.8%
Term Structure-0.9%-9.7%4.8%-6.2%-9.5%
Skew 25d5.8%-1.7%14.8%6.3%0.3%
Skew 10d7.5%-3.2%22.6%14.6%6.0%
Call IV 25d23.1%16.1%36.3%36.3%32.0%
Put IV 25d29.0%19.7%42.5%42.5%32.3%
Bid-Ask Spread %134.71121.76153.96153.96133.08
Gamma HHI1.001.001.001.001.00
Net GEX520465629499629
Net DEX-14.2K-18.0K-11.2K-18.0K-12.3K
Net VEX-63-66-60-63-60
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI55555

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$53.11$0.0035.8%10.3%0.0%0.0%0.0%6.3%-6.2%499-18.0K-630.00153.96N/AN/A0050
2022-12-02$52.76$0.0036.3%10.4%0.0%0.0%0.0%-0.4%-9.7%495-16.9K-660.00150.55N/AN/A0050
2022-12-05$51.61$0.0033.7%6.9%0.0%0.0%0.0%4.9%2.4%465-16.8K-640.00134.30N/AN/A0050
2022-12-06$50.75$0.0035.7%6.8%0.0%0.0%0.0%4.2%1.4%465-15.2K-660.00132.04N/AN/A0050
2022-12-07$50.56$0.0041.5%7.4%0.0%0.0%0.0%3.1%2.4%523-14.8K-650.00128.12N/AN/A0050
2022-12-08$51.10$0.0048.5%8.0%24.7%0.0%0.0%11.3%3.4%490-15.1K-650.00136.55N/AN/A0050
2022-12-09$50.95$0.0050.1%7.6%23.9%0.0%0.0%12.2%3.0%488-15.4K-650.00138.40N/AN/A0050
2022-12-12$51.42$0.0065.8%8.5%23.4%0.0%0.0%13.1%2.0%498-15.3K-640.00137.73N/AN/A0050
2022-12-13$52.11$0.0060.3%7.5%23.3%0.0%0.0%5.8%-3.7%483-16.8K-620.00132.81N/AN/A0050
2022-12-14$51.54$0.0025.1%7.2%23.0%0.0%0.0%0.3%4.8%502-16.8K-620.00133.83N/AN/A0050
2022-12-15$50.00$0.0026.7%7.7%24.9%0.0%0.0%7.4%-5.9%495-14.5K-640.00133.06N/AN/A0050
2022-12-16$49.53$0.0028.4%8.2%24.8%0.0%0.0%-0.0%0.6%497-13.5K-630.00134.34N/AN/A0050
2022-12-19$48.66$0.0023.6%6.8%25.3%0.0%0.0%6.3%2.8%484-12.7K-620.00131.63N/AN/A0050
2022-12-20$48.86$0.0029.5%8.4%25.2%0.0%0.0%14.8%-1.0%559-12.0K-620.00132.03N/AN/A0050
2022-12-21$49.52$0.0030.3%8.7%25.2%0.0%0.0%1.5%-3.9%608-13.6K-630.00141.41N/AN/A0050
2022-12-22$48.39$0.0027.5%7.9%25.8%0.0%0.0%9.5%-2.1%529-11.8K-610.00125.52N/AN/A0050
2022-12-23$48.70$0.0027.3%7.8%26.1%0.0%0.0%13.1%1.2%543-11.8K-610.00121.76N/AN/A0050
2022-12-27$48.42$0.0027.8%8.0%25.5%0.0%0.0%11.3%2.7%534-12.2K-610.00131.88N/AN/A0050
2022-12-28$47.69$0.0032.9%9.4%25.8%0.0%0.0%-0.6%3.6%587-11.2K-600.00131.86N/AN/A0050
2022-12-29$48.86$0.0031.8%9.1%23.3%0.0%0.0%-1.7%-6.0%551-11.7K-600.00134.04N/AN/A0050
2022-12-30$48.51$0.0034.0%9.7%22.8%0.0%0.0%0.3%-9.5%629-12.3K-600.00133.08N/AN/A0050