CIGI Options History — July 2021 In July 2021, CIGI traded between $108.94 and $129.47. ATM implied volatility averaged 40.7%. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 17.0% (HV 20d: 23.8%). Max pain ranged from $100.00 to $130.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.08.
Notable Days 2021-07-14 : Highest Volume — 27 contracts2021-07-13 : Largest IV spike — 43.4% change2021-07-30 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $115.30 $108.94 $129.47 $112.42 $128.41 Max Pain $123.81 $100.00 $130.00 $100.00 $125.00 ATM IV 40.7% 28.4% 50.7% 38.4% 50.7% Expected Move 11.9% 8.1% 14.5% 11.0% 14.5% HV 20d 23.8% 19.4% 31.5% 20.4% 31.5% Term Structure -3.1% -15.8% 10.0% 1.5% -15.8% VWIV 41.4% 24.8% 47.9% 31.4% 47.7% Skew 25d 2.7% -9.2% 16.1% 6.5% 3.2% Skew 10d 1.3% -14.4% 20.9% 20.9% -2.4% Call IV 25d 41.8% 30.6% 52.5% 30.6% 51.1% Put IV 25d 44.5% 34.6% 54.3% 37.1% 54.3% Bid-Ask Spread % 90.31 80.88 106.13 99.66 80.88 Gamma HHI 0.25 0.16 0.41 0.35 0.24 Net GEX -85 -6.2K 9.4K 6.0K 1.3K Net DEX 32.4K -99.0K 134.4K -23.2K -80.8K Net VEX -540 -736 -294 -294 -621 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.08 0.00 4.00 0.00 0.13 Total Volume 4.619 0 27 2 9 Total OI 57.81 29 82 29 69
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-07-01 $112.42 $100.00 38.4% 11.0% 0.0% 0.0% 31.4% 6.5% 1.5% 6.0K -23.2K -294 0.00 99.66 N/A N/A 2 0 20 9 2021-07-02 $113.53 $100.00 28.4% 8.1% 20.4% 0.0% 0.0% -8.6% 10.0% 9.4K -36.2K -308 4.00 106.13 N/A N/A 1 4 22 9 2021-07-06 $111.84 $120.00 29.7% 10.5% 20.3% 0.0% 40.1% 9.2% 1.9% 6.0K -5.8K -334 0.00 82.74 N/A N/A 0 6 23 13 2021-07-07 $111.01 $130.00 38.6% 10.6% 19.7% 0.0% 0.0% 0.9% 2.4% 3.8K 40.0K -389 0.00 86.50 N/A N/A 3 0 23 19 2021-07-08 $109.62 $130.00 35.4% 10.8% 19.4% 0.0% 0.0% 3.0% 0.7% 1.8K 54.9K -406 0.00 84.56 N/A N/A 0 0 26 19 2021-07-09 $111.47 $130.00 36.3% 10.7% 20.4% 0.0% 0.0% 3.3% 0.4% 4.7K 36.9K -430 0.00 88.89 N/A N/A 0 1 27 19 2021-07-12 $112.75 $130.00 29.6% 11.4% 20.5% 0.0% 24.8% 1.9% -1.7% 5.9K 31.8K -428 0.00 87.84 N/A N/A 0 6 27 20 2021-07-13 $110.08 $130.00 42.4% 11.0% 19.5% 0.0% 0.0% 5.5% -2.7% 1.4K 62.2K -405 1.00 89.31 N/A N/A 2 2 27 26 2021-07-14 $109.38 $130.00 43.2% 12.4% 19.5% 0.0% 39.8% 11.2% -2.2% -1.8K 78.5K -437 1.70 86.02 N/A N/A 10 17 27 28 2021-07-15 $108.94 $125.00 40.7% 11.7% 19.5% 0.0% 0.0% 0.9% -3.0% -3.5K 134.4K -696 0.00 93.97 N/A N/A 0 0 37 45 2021-07-16 $112.63 $125.00 41.4% 11.9% 23.2% 0.0% 0.0% 10.7% -4.2% -5.2K 87.8K -736 0.00 90.62 N/A N/A 0 0 37 45 2021-07-19 $110.94 $125.00 44.3% 12.7% 23.7% 0.0% 46.5% 7.8% -2.8% -5.8K 103.7K -701 0.00 92.35 N/A N/A 0 5 20 43 2021-07-20 $113.28 $125.00 44.8% 12.8% 23.8% 0.0% 43.6% 5.9% -5.7% -6.2K 103.9K -707 0.00 93.34 N/A N/A 1 0 20 45 2021-07-21 $117.76 $125.00 41.7% 12.0% 27.8% 0.0% 0.0% 16.1% -3.4% -3.8K 51.5K -723 0.00 95.98 N/A N/A 0 0 20 45 2021-07-22 $117.92 $125.00 43.6% 12.5% 27.3% 0.0% 47.9% 4.4% -5.9% -3.6K 44.2K -678 0.00 99.92 N/A N/A 0 7 20 45 2021-07-23 $117.88 $125.00 42.4% 12.2% 27.2% 0.0% 0.0% -9.2% -2.0% -4.1K 24.9K -675 0.00 96.55 N/A N/A 0 0 20 48 2021-07-26 $118.21 $125.00 42.8% 12.3% 26.2% 0.0% 0.0% -9.1% -6.7% -4.8K 47.5K -601 0.00 81.48 N/A N/A 0 0 19 48 2021-07-27 $120.83 $125.00 48.9% 14.0% 27.1% 0.0% 47.0% 0.6% -11.4% -3.5K 26.1K -647 0.00 83.85 N/A N/A 3 0 19 48 2021-07-28 $123.00 $125.00 45.7% 13.1% 27.3% 0.0% 44.1% -0.0% -5.3% -2.4K -2.3K -610 3.00 91.78 N/A N/A 2 6 19 48 2021-07-29 $129.47 $125.00 46.5% 13.3% 31.1% 0.0% 42.5% -7.4% -9.1% 2.4K -99.0K -521 1.00 84.14 N/A N/A 5 5 22 48 2021-07-30 $128.41 $125.00 50.7% 14.5% 31.5% 0.0% 47.7% 3.2% -15.8% 1.3K -80.8K -621 0.13 80.88 N/A N/A 8 1 24 45
« Jun 2021 | All History | Aug 2021 » Home CIGI History July 2021