CIGI Options History — November 2021

In November 2021, CIGI traded between $136.17 and $147.26. ATM implied volatility averaged 23.9%. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.8% (HV 20d: 21.1%). Max pain ranged from $130.00 to $155.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.03.

Notable Days

  • 2021-11-03: Highest Volume — 136 contracts
  • 2021-11-02: Largest IV drop — 67.6% change
  • 2021-11-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$143.31$136.17$147.26$143.81$136.17
Max Pain$141.43$130.00$155.00$130.00$135.00
ATM IV23.9%17.5%54.2%54.2%28.1%
Expected Move6.9%5.0%15.5%15.5%8.1%
HV 20d21.1%16.1%27.5%19.4%27.5%
HV 60d22.5%21.7%24.3%21.7%24.3%
Term Structure1.0%-19.3%8.1%-19.3%0.8%
VWIV24.4%20.0%55.0%55.0%25.1%
Skew 25d2.9%-3.8%12.8%9.6%3.2%
Skew 10d6.7%-3.2%27.8%27.8%1.7%
Call IV 25d26.4%18.0%53.0%53.0%38.1%
Put IV 25d29.3%18.8%62.5%62.5%41.2%
Bid-Ask Spread %97.8083.67106.9883.67106.98
Gamma HHI0.380.250.480.480.40
Net GEX48.9K-7.9K122.6K10.6K-7.9K
Net DEX-200.2K-688.7K352.4K-209.4K352.4K
Net VEX-2.7K-3.4K-746-746-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.030.521.351.351.24
Total Volume97.048561366156
Total OI199.5246127061176

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$143.81$130.0054.2%15.5%19.4%0.0%55.0%9.6%-19.3%10.6K-209.4K-7461.3583.67N/AN/A26353526
2021-11-02$141.42$135.0017.5%5.0%20.6%0.0%26.8%-2.3%6.1%7.5K-162.1K-7810.52103.31N/AN/A85444042
2021-11-03$143.94$135.0026.8%7.7%19.8%0.0%26.1%12.8%-7.5%48.4K-364.6K-2.0K0.68101.20N/AN/A815511040
2021-11-04$143.42$155.0021.4%6.4%17.1%0.0%20.3%1.2%2.5%81.7K-382.8K-2.9K0.6888.44N/AN/A815516456
2021-11-05$146.24$155.0020.5%6.2%18.0%0.0%21.2%1.6%3.3%113.5K-564.7K-3.2K0.6888.37N/AN/A815516456
2021-11-08$147.26$155.0025.1%6.8%17.8%0.0%21.7%2.7%1.4%122.6K-688.7K-3.2K0.6887.17N/AN/A815516456
2021-11-09$146.93$155.0021.9%6.1%16.1%0.0%21.4%2.2%3.7%120.8K-648.5K-3.1K1.1592.92N/AN/A485516456
2021-11-10$141.98$155.0024.3%7.0%20.7%0.0%22.9%5.8%3.9%62.8K-285.6K-2.6K1.1589.70N/AN/A485516656
2021-11-11$142.72$155.0026.1%7.5%20.5%0.0%24.1%-2.2%-1.6%59.6K-287.9K-2.5K1.1591.22N/AN/A485516656
2021-11-12$144.82$155.0020.9%6.0%21.0%0.0%23.0%2.0%2.8%85.6K-407.3K-2.6K1.2599.83N/AN/A486016656
2021-11-15$145.58$135.0021.5%6.2%21.0%0.0%22.5%4.3%6.7%94.0K-437.7K-3.2K1.13101.27N/AN/A536017178
2021-11-16$142.85$135.0024.0%6.9%22.2%0.0%20.0%4.3%0.9%91.8K-371.1K-3.1K1.0497.57N/AN/A535517178
2021-11-17$141.91$135.0024.9%7.1%21.7%0.0%22.3%5.9%3.8%50.3K-136.1K-3.4K1.02102.38N/AN/A545517197
2021-11-18$142.08$135.0018.2%5.2%21.5%0.0%21.3%0.9%2.1%9.9K27.5K-3.2K1.10103.33N/AN/A505517297
2021-11-19$144.75$135.0018.9%5.4%22.5%0.0%20.3%1.2%4.0%45.1K-99.0K-3.1K1.1098.70N/AN/A505517397
2021-11-22$144.25$135.0017.9%5.1%22.5%0.0%20.9%2.4%-0.8%17.1K-78.7K-3.3K0.8698.35N/AN/A36319378
2021-11-23$142.33$135.0018.1%5.2%22.5%0.0%21.4%-3.3%8.1%1.0K135.9K-2.9K1.24102.92N/AN/A25319378
2021-11-24$144.57$135.0017.5%5.0%22.9%0.0%23.5%-3.8%4.1%8.3K57.0K-2.9K1.24104.08N/AN/A25319878
2021-11-26$140.95$135.0025.9%7.4%24.4%0.0%28.1%10.6%-2.5%2.4K180.0K-2.8K1.24106.63N/AN/A25319878
2021-11-29$141.58$135.0028.9%8.3%24.4%0.0%24.4%2.0%-2.3%2.3K166.4K-2.7K1.24105.77N/AN/A25319878
2021-11-30$136.17$135.0028.1%8.1%27.5%0.0%25.1%3.2%0.8%-7.9K352.4K-2.4K1.24106.98N/AN/A25319878