CIGI Options History — August 2021

In August 2021, CIGI traded between $127.69 and $139.01. ATM implied volatility averaged 29.4%. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.0% (HV 20d: 27.4%). Max pain ranged from $105.00 to $120.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2021-08-05: Highest Volume — 25 contracts
  • 2021-08-04: Largest IV drop — 40.1% change
  • 2021-08-03: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$132.55$127.69$139.01$128.12$139.01
Max Pain$112.95$105.00$120.00$120.00$115.00
ATM IV29.4%20.5%53.6%51.6%26.2%
Expected Move8.3%5.9%15.4%14.8%7.5%
HV 20d27.4%21.3%31.6%31.6%22.2%
HV 60d26.0%25.6%26.5%26.0%25.6%
Term Structure2.6%-16.3%10.0%-16.3%0.1%
VWIV30.9%22.7%53.8%53.8%25.4%
Skew 25d1.4%-18.6%7.5%4.3%2.6%
Skew 10d3.3%-10.6%14.5%11.3%-10.6%
Call IV 25d28.9%21.2%59.6%48.2%24.5%
Put IV 25d30.4%24.4%52.4%52.4%27.2%
Bid-Ask Spread %93.7278.64104.9883.86103.80
Gamma HHI0.300.190.580.220.47
Net GEX14.2K2.5K28.1K3.8K10.3K
Net DEX-169.8K-302.5K-56.1K-108.2K-111.0K
Net VEX-408-620-253-523-336
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.008.008.000.00
Total Volume3.36402592
Total OI75.318291036539

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$128.12$120.0051.6%14.8%31.6%0.0%53.8%4.3%-16.3%3.8K-108.2K-5238.0083.86N/AN/A182441
2021-08-03$128.96$120.0053.6%15.4%30.6%0.0%0.0%-18.6%-14.4%7.5K-155.7K-5830.0078.64N/AN/A003242
2021-08-04$132.10$120.0032.1%9.2%30.7%0.0%29.3%-0.5%-2.7%14.0K-202.4K-4880.6992.85N/AN/A1393248
2021-08-05$129.85$105.0032.9%8.5%31.1%0.0%23.2%2.9%4.9%13.6K-165.5K-4732.1380.92N/AN/A8173348
2021-08-06$130.14$105.0029.7%8.1%31.1%0.0%0.0%5.7%9.0%15.9K-178.0K-6200.0094.07N/AN/A304657
2021-08-09$130.49$105.0033.5%8.1%31.1%0.0%0.0%6.7%7.7%17.1K-201.3K-5540.0089.44N/AN/A004654
2021-08-10$132.56$105.0030.5%8.0%28.9%0.0%0.0%-0.1%10.0%21.9K-243.2K-5070.0087.78N/AN/A104754
2021-08-11$134.51$105.0026.8%7.7%28.3%0.0%22.7%5.1%7.1%28.1K-296.4K-5011.0091.46N/AN/A114754
2021-08-12$134.62$105.0027.0%7.8%28.1%0.0%0.0%-1.5%8.8%27.5K-302.5K-4660.0097.87N/AN/A004754
2021-08-13$133.96$115.0027.3%7.8%27.2%0.0%0.0%2.3%7.0%24.3K-280.8K-4900.0092.59N/AN/A004755
2021-08-16$133.45$115.0026.6%7.6%26.2%0.0%0.0%-2.6%9.7%26.6K-271.6K-3990.0096.42N/AN/A004752
2021-08-17$130.86$115.0028.7%8.2%27.7%0.0%0.0%1.4%8.9%23.0K-206.0K-3330.0088.76N/AN/A004752
2021-08-18$130.25$115.0028.7%8.2%25.3%0.0%0.0%2.4%6.6%20.5K-195.8K-3240.0093.16N/AN/A004752
2021-08-19$127.69$115.0025.9%7.4%26.8%0.0%0.0%-0.7%1.7%18.0K-154.0K-3010.0090.29N/AN/A004752
2021-08-20$131.00$115.0027.2%7.8%27.8%0.0%0.0%3.8%-1.0%2.5K-193.1K-2720.0090.86N/AN/A104752
2021-08-23$132.82$115.0027.0%7.7%28.0%0.0%25.4%4.3%-1.1%2.7K-56.1K-2530.0091.57N/AN/A901217
2021-08-24$133.40$115.0023.2%6.6%27.3%0.0%0.0%1.1%2.6%3.4K-62.3K-2640.00102.86N/AN/A001317
2021-08-25$135.07$115.0023.1%6.6%27.0%0.0%0.0%5.4%2.2%7.4K-79.0K-3260.00102.84N/AN/A002217
2021-08-26$133.52$115.0020.5%5.9%21.3%0.0%0.0%-0.4%0.5%7.2K-79.9K-3210.00104.98N/AN/A002217
2021-08-27$136.44$115.0024.0%6.9%22.1%0.0%0.0%0.6%-0.4%8.7K-91.3K-3170.00102.49N/AN/A002217
2021-08-30$137.38$115.0020.5%5.9%22.0%0.0%0.0%7.5%6.7%9.5K-101.8K-3330.00104.29N/AN/A002217
2021-08-31$139.01$115.0026.2%7.5%22.2%0.0%0.0%2.6%0.1%10.3K-111.0K-3360.00103.80N/AN/A202217