CIGI Options History — September 2021 In September 2021, CIGI traded between $125.41 and $141.04. ATM implied volatility averaged 23.0%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.2% (HV 20d: 21.8%). Max pain ranged from $115.00 to $135.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2021-09-02 : Highest Volume — 11 contracts2021-09-27 : Largest IV spike — 26.0% change2021-09-01 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $132.23 $125.41 $141.04 $140.20 $128.32 Max Pain $132.38 $115.00 $135.00 $115.00 $125.00 ATM IV 23.0% 19.3% 26.8% 26.8% 20.5% Expected Move 6.5% 5.5% 7.7% 7.7% 5.9% HV 20d 21.8% 19.6% 23.4% 21.0% 22.4% HV 60d 25.3% 24.4% 26.3% 25.4% 26.1% Term Structure 11.1% -0.4% 17.8% -0.4% 17.2% VWIV 24.9% 23.1% 26.7% 23.1% 26.7% Skew 25d 0.2% -15.5% 7.4% 0.8% -6.1% Skew 10d 2.9% -18.5% 15.4% -2.9% 2.7% Call IV 25d 24.4% 17.7% 37.5% 23.4% 29.5% Put IV 25d 24.6% 18.7% 28.9% 24.1% 23.4% Bid-Ask Spread % 102.92 90.98 110.64 99.84 109.47 Gamma HHI 0.28 0.21 0.52 0.52 0.25 Net GEX 7.6K 4.6K 13.6K 11.5K 5.2K Net DEX -106.0K -175.3K -73.4K -120.7K -84.6K Net VEX -492 -674 -340 -345 -462 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.333 0 11 0 0 Total OI 44 38 50 39 43
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 2021-09-01 $140.20 $115.00 26.8% 7.7% 21.0% 0.0% 0.0% 0.8% -0.4% 11.5K -120.7K -345 0.00 99.84 N/A N/A 0 0 22 17 2021-09-02 $141.04 $135.00 22.0% 6.1% 19.6% 0.0% 0.0% 1.9% 11.5% 12.6K -137.0K -356 0.00 105.94 N/A N/A 11 0 23 17 2021-09-03 $140.08 $135.00 25.5% 6.8% 19.9% 0.0% 0.0% -1.1% 11.5% 11.9K -126.2K -340 0.00 95.57 N/A N/A 0 0 23 17 2021-09-07 $138.82 $135.00 24.9% 6.4% 20.4% 0.0% 0.0% -5.6% 11.4% 13.6K -175.3K -674 0.00 101.83 N/A N/A 0 0 33 17 2021-09-08 $136.24 $135.00 22.2% 6.4% 21.3% 0.0% 0.0% 5.8% 12.3% 11.7K -149.5K -647 0.00 100.54 N/A N/A 0 0 33 17 2021-09-09 $135.69 $135.00 23.7% 6.8% 20.8% 0.0% 0.0% -4.5% 10.9% 11.3K -146.6K -632 0.00 102.01 N/A N/A 0 0 33 17 2021-09-10 $132.76 $135.00 21.0% 6.0% 22.2% 0.0% 0.0% 1.4% 10.0% 8.9K -124.6K -566 0.00 103.04 N/A N/A 0 0 33 17 2021-09-13 $132.79 $135.00 21.1% 6.1% 22.1% 0.0% 0.0% 2.2% 10.4% 6.1K -100.6K -554 0.00 94.86 N/A N/A 0 0 32 17 2021-09-14 $132.57 $135.00 22.3% 6.4% 22.1% 0.0% 0.0% 0.1% 15.4% 5.8K -96.6K -530 0.00 90.98 N/A N/A 0 0 32 17 2021-09-15 $131.17 $135.00 24.1% 6.9% 21.3% 0.0% 0.0% 0.3% 10.5% 5.6K -88.6K -532 0.00 95.23 N/A N/A 1 0 32 17 2021-09-16 $131.21 $135.00 23.0% 6.6% 21.2% 0.0% 0.0% 4.0% 11.4% 5.7K -91.5K -514 0.00 95.15 N/A N/A 0 0 32 17 2021-09-17 $129.90 $135.00 21.9% 6.3% 20.2% 0.0% 0.0% 5.4% 11.7% 5.6K -98.0K -506 0.00 106.85 N/A N/A 0 0 33 17 2021-09-20 $125.41 $135.00 24.6% 7.1% 21.8% 0.0% 0.0% 0.1% 8.6% 4.8K -73.4K -412 0.00 106.12 N/A N/A 1 0 23 15 2021-09-21 $127.85 $135.00 23.3% 6.7% 22.4% 0.0% 0.0% 4.4% 10.7% 5.3K -82.8K -460 0.00 110.64 N/A N/A 0 0 23 15 2021-09-22 $129.70 $135.00 22.0% 6.3% 23.1% 0.0% 0.0% 0.5% 14.2% 5.9K -85.4K -445 0.00 109.56 N/A N/A 10 0 23 15 2021-09-23 $128.58 $135.00 24.3% 7.0% 22.6% 0.0% 23.1% -6.3% 10.8% 5.6K -89.7K -471 0.00 106.23 N/A N/A 2 0 23 15 2021-09-24 $130.79 $135.00 19.3% 5.5% 23.4% 0.0% 26.7% 7.1% 17.8% 6.0K -90.3K -438 0.00 105.28 N/A N/A 0 3 23 15 2021-09-27 $127.54 $130.00 24.3% 7.0% 23.2% 0.0% 0.0% 2.4% 8.2% 7.2K -98.4K -472 0.00 104.50 N/A N/A 0 0 25 15 2021-09-28 $128.58 $125.00 21.3% 6.1% 23.3% 0.0% 0.0% 7.4% 13.7% 4.6K -77.7K -472 0.00 107.40 N/A N/A 0 0 25 18 2021-09-29 $127.62 $125.00 24.4% 7.0% 22.7% 0.0% 0.0% -15.5% 5.5% 5.2K -89.3K -507 0.00 110.38 N/A N/A 0 0 25 18 2021-09-30 $128.32 $125.00 20.5% 5.9% 22.4% 0.0% 0.0% -6.1% 17.2% 5.2K -84.6K -462 0.00 109.47 N/A N/A 0 0 25 18
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