CIGI Options History — December 2021

In December 2021, CIGI traded between $135.47 and $149.23. ATM implied volatility averaged 26.8%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 4.9% (HV 20d: 31.7%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2021-12-21: Highest Volume — 71 contracts
  • 2021-12-22: Largest IV spike — 56.0% change
  • 2021-12-14: Highest IV Rank — 81.1%
  • 2021-12-02: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$143.10$135.47$149.23$135.47$149.23
Max Pain$139.12$135.00$140.00$135.00$140.00
ATM IV26.8%16.8%47.3%28.9%22.7%
Expected Move6.7%4.8%8.3%8.3%6.5%
HV 20d31.7%27.0%36.9%27.0%30.2%
HV 60d26.0%24.2%27.3%24.2%26.6%
IV Rank23.7%0.0%81.1%43.3%15.6%
IV Percentile32.6%0.0%95.3%69.8%23.4%
Term Structure3.0%-4.7%10.2%1.6%5.1%
VWIV25.2%18.1%30.2%24.4%27.1%
Skew 25d3.1%-3.5%8.0%-2.3%4.3%
Skew 10d4.9%-9.3%26.2%-0.4%4.4%
Call IV 25d28.5%18.9%52.6%43.1%29.0%
Put IV 25d31.6%24.2%49.1%40.8%33.3%
Bid-Ask Spread %100.5193.85107.17102.51105.19
Gamma HHI0.420.350.630.400.44
Net GEX-3.3K-23.8K15.6K-7.8K-12.2K
Net DEX122.3K-78.2K377.7K349.3K-78.2K
Net VEX-2.5K-2.7K-2.1K-2.4K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.151.031.501.191.03
Total Volume62.81855715771
Total OI155.545111178176129

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$135.47$135.0028.9%8.3%27.0%0.0%24.4%-2.3%1.6%-7.8K349.3K-2.4K1.19102.51N/AN/A26319878
2021-12-02$139.82$135.0029.0%8.3%28.8%0.0%24.0%7.2%-3.3%-2.6K240.7K-2.6K1.19105.91N/AN/A26319978
2021-12-03$135.64$135.0026.6%7.6%30.5%0.0%21.7%-3.5%10.2%1.3K246.8K-2.6K1.19107.17N/AN/A26319978
2021-12-06$138.16$0.0035.4%7.5%30.4%0.0%0.0%3.2%0.3%-6.3K268.5K-2.5K1.1998.19N/AN/A26319978
2021-12-07$142.10$0.0029.1%6.9%32.2%0.0%0.0%4.1%-0.0%3.6K122.8K-2.6K1.1999.43N/AN/A26319978
2021-12-08$142.95$0.0026.0%6.8%32.3%0.0%0.0%3.5%-0.1%12.9K26.9K-2.7K1.1999.59N/AN/A26319978
2021-12-09$143.67$0.0033.4%6.6%30.0%43.3%0.0%0.1%6.8%15.6K15.0K-2.7K1.1998.16N/AN/A26319976
2021-12-10$141.88$0.0030.7%6.7%30.3%35.8%26.9%3.6%4.6%6.4K116.9K-2.6K1.2298.50N/AN/A27339976
2021-12-13$142.12$140.0041.5%6.7%29.7%65.3%24.9%7.1%5.2%-506154.8K-2.5K1.22102.33N/AN/A273310078
2021-12-14$144.01$140.0047.3%6.8%30.1%81.1%25.8%-0.1%0.7%6.0K76.1K-2.5K1.2298.97N/AN/A273310078
2021-12-15$142.86$140.0022.0%6.3%29.5%12.1%25.0%1.6%4.3%-23.0K248.4K-2.3K1.22104.28N/AN/A273310078
2021-12-16$144.42$140.0021.3%6.1%29.6%10.3%26.3%3.8%2.8%11.1K14.8K-2.4K1.22103.92N/AN/A273310078
2021-12-17$144.37$140.0023.0%6.6%29.6%15.0%26.7%2.7%1.6%2.8K35.5K-2.3K1.22101.85N/AN/A273310078
2021-12-20$137.62$140.0021.9%6.3%33.4%11.9%26.0%7.0%7.0%-23.8K377.7K-2.1K1.5095.78N/AN/A22333378
2021-12-21$142.94$140.0016.8%4.8%36.4%0.0%22.8%5.2%6.8%-19.7K210.8K-2.2K1.0393.85N/AN/A35363478
2021-12-22$146.10$140.0026.3%7.5%36.9%25.2%29.7%5.8%-2.1%-11.7K123.0K-2.6K1.03101.57N/AN/A35364781
2021-12-23$145.56$140.0022.2%6.4%36.5%14.3%23.9%-1.2%-0.4%-8.6K58.6K-2.5K1.0397.92N/AN/A35364781
2021-12-27$147.21$140.0019.4%5.6%35.4%6.8%26.6%3.0%4.5%-3.6K44.7K-2.5K1.03100.85N/AN/A35364781
2021-12-28$147.00$140.0020.0%5.7%35.4%8.3%24.0%4.1%7.6%-4.4K14.3K-2.4K1.03100.89N/AN/A35364781
2021-12-29$146.95$140.0025.4%7.3%32.0%23.0%30.2%8.0%-4.7%-5.1K44.4K-2.4K1.0396.01N/AN/A35364781
2021-12-30$148.07$140.0020.7%5.9%31.8%10.4%18.1%0.2%7.2%-2.8K-20.3K-2.4K1.0398.24N/AN/A35364881
2021-12-31$149.23$140.0022.7%6.5%30.2%15.6%27.1%4.3%5.1%-12.2K-78.2K-2.2K1.03105.19N/AN/A35364881