ILCG Options History — January 2024

In January 2024, ILCG traded between $65.78 and $70.98. ATM implied volatility averaged 19.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 5.9% (HV 20d: 13.2%). Max pain ranged from $60.00 to $68.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2024-01-12: Highest Volume — 100 contracts
  • 2024-01-10: Largest IV drop — 25.3% change
  • 2024-01-09: Highest IV Rank — 20.7%
  • 2024-01-31: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.50$65.78$70.98$66.45$69.44
Max Pain$66.00$60.00$68.00$60.00$68.00
ATM IV19.1%15.8%23.0%21.1%22.4%
Expected Move5.2%4.5%6.4%6.1%6.4%
HV 20d13.2%11.7%14.3%12.0%13.9%
HV 60d14.1%12.4%15.3%15.1%12.8%
IV Rank12.9%6.2%20.7%16.9%19.4%
IV Percentile27.2%6.3%55.2%37.3%54.0%
Term Structure-1.4%-8.0%3.1%-3.3%-8.0%
VWIV19.6%14.1%30.0%14.1%30.0%
Skew 25d1.3%-0.1%4.1%0.7%-0.1%
Skew 10d3.0%0.9%5.5%0.9%1.3%
Call IV 25d19.8%14.9%24.8%23.8%23.7%
Put IV 25d21.1%19.0%25.4%24.5%23.6%
Bid-Ask Spread %135.46133.03138.93138.81134.67
Gamma HHI0.830.710.980.740.97
Net GEX29.1K3.4K58.2K3.9K50.3K
Net DEX-339.2K-654.5K-42.7K-47.2K-513.7K
Net VEX-455-896-108-133-644
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.7620100010
Total OI79.7142212622126

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$66.45$60.0021.1%6.1%12.0%16.9%0.0%0.7%-3.3%3.9K-47.2K-1330.00138.81N/AN/A00166
2024-01-03$66.07$60.0021.9%6.3%11.7%18.5%0.0%0.6%-4.7%3.5K-45.5K-1330.00138.31N/AN/A00166
2024-01-04$65.91$66.0021.8%5.0%11.7%18.2%0.0%1.3%0.6%3.4K-43.7K-1310.00137.24N/AN/A00166
2024-01-05$65.78$66.0021.1%4.8%11.7%16.8%0.0%1.3%0.9%3.4K-42.7K-1290.00136.33N/AN/A00166
2024-01-08$67.12$66.0022.6%4.8%13.3%19.8%0.0%1.9%2.8%4.5K-52.5K-1280.00136.48N/AN/A00166
2024-01-09$67.28$66.0023.0%4.9%13.3%20.7%0.0%1.4%1.5%4.6K-53.7K-1220.00135.21N/AN/A00166
2024-01-10$67.93$66.0017.2%4.9%13.6%9.0%0.0%1.5%0.3%4.8K-59.4K-1240.00138.93N/AN/A00166
2024-01-11$68.11$66.0016.2%4.6%13.4%7.0%0.0%1.6%2.1%5.4K-60.3K-1210.00133.20N/AN/A00166
2024-01-12$68.19$66.0015.8%4.5%12.9%6.2%14.1%4.1%3.1%6.5K-58.7K-1080.00134.59N/AN/A1000166
2024-01-16$68.00$66.0017.2%4.9%12.9%9.0%0.0%1.0%0.0%53.0K-429.0K-8960.00137.19N/AN/A001166
2024-01-17$67.66$66.0017.8%5.1%13.0%10.3%0.0%2.2%0.0%51.1K-400.4K-8860.00137.26N/AN/A001166
2024-01-18$68.56$66.0017.6%5.0%13.5%9.7%0.0%1.8%-2.2%54.2K-475.9K-8540.00135.28N/AN/A001166
2024-01-19$69.52$66.0017.0%4.9%14.3%8.5%0.0%2.1%-2.3%52.8K-562.8K-7620.00133.23N/AN/A001166
2024-01-22$69.88$66.0018.3%5.2%13.7%11.2%0.0%0.9%-2.4%48.7K-583.0K-6900.00135.44N/AN/A001160
2024-01-23$70.00$66.0016.2%4.6%13.6%6.9%14.7%1.3%-3.2%58.2K-646.4K-5840.00134.41N/AN/A0101160
2024-01-24$70.38$68.0018.2%5.2%13.6%11.0%30.0%0.7%-1.3%41.5K-599.6K-6870.00133.93N/AN/A1011610
2024-01-25$70.19$68.0018.3%5.2%13.7%11.2%0.0%1.1%-3.3%43.0K-581.2K-6800.00133.26N/AN/A0011610
2024-01-26$70.18$68.0018.9%5.4%13.7%12.5%0.0%0.7%-1.3%43.5K-581.8K-6650.00133.03N/AN/A0011610
2024-01-29$70.98$68.0019.0%5.5%14.1%12.7%0.0%0.8%-3.7%37.2K-654.5K-5420.00133.35N/AN/A0011610
2024-01-30$70.82$68.0020.0%5.7%14.0%14.7%0.0%0.6%-4.1%38.5K-632.0K-5310.00134.51N/AN/A0011610
2024-01-31$69.44$68.0022.4%6.4%13.9%19.4%0.0%-0.1%-8.0%50.3K-513.7K-6440.00134.67N/AN/A01011610