CIGI Options History — January 2022

In January 2022, CIGI traded between $137.92 and $146.72. ATM implied volatility averaged 36.1%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 7.5% (HV 20d: 28.6%). Max pain ranged from $140.00 to $150.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2022-01-27: Highest Volume — 281 contracts
  • 2022-01-19: Largest IV spike — 44.7% change
  • 2022-01-31: Highest IV Rank — 100.0%
  • 2022-01-31: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.28$137.92$146.72$146.72$145.92
Max Pain$144.50$140.00$150.00$140.00$140.00
ATM IV36.1%21.4%58.1%23.8%58.1%
Expected Move10.3%6.1%16.7%6.8%16.7%
HV 20d28.6%24.2%33.6%28.6%29.5%
HV 60d27.7%26.1%29.2%26.1%29.2%
IV Rank51.1%12.3%100.0%18.6%100.0%
IV Percentile65.5%13.9%100.0%28.2%100.0%
Term Structure1.4%-12.4%11.7%6.6%-12.4%
VWIV39.6%26.7%56.1%26.7%56.1%
Skew 25d7.7%-6.8%18.0%-6.6%12.2%
Skew 10d10.0%-12.5%21.5%-10.0%20.3%
Call IV 25d35.3%25.7%49.3%42.0%49.3%
Put IV 25d43.0%27.3%61.6%35.4%61.6%
Bid-Ask Spread %92.2084.83107.52104.7388.82
Gamma HHI0.320.170.520.410.18
Net GEX-18.6K-45.5K21.1K-4.6K21.1K
Net DEX233.1K-860.5K619.1K-37.5K-860.5K
Net VEX-3.8K-8.5K-2.0K-2.2K-8.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.592.841.030.59
Total Volume164.67128171280
Total OI220.05129411129411

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$146.72$140.0023.8%6.8%28.6%18.6%26.7%-6.6%6.6%-4.6K-37.5K-2.2K1.03104.73N/AN/A35364881
2022-01-04$146.01$140.0023.1%6.6%28.2%16.7%28.5%0.6%-0.6%-10.7K91.2K-2.3K1.03104.30N/AN/A35364881
2022-01-05$141.66$140.0021.4%6.1%28.8%12.3%27.6%-6.8%7.6%-18.2K201.2K-2.2K1.03107.52N/AN/A35364881
2022-01-06$142.42$150.0026.9%8.0%28.8%26.9%27.3%4.6%7.8%-15.0K207.7K-2.2K1.0392.18N/AN/A35364881
2022-01-07$142.22$150.0026.6%7.6%28.8%26.2%27.3%0.2%8.1%-19.2K250.8K-2.1K0.9585.62N/AN/A38364881
2022-01-10$137.92$150.0023.3%7.8%30.4%17.3%30.4%2.0%8.7%-20.8K372.4K-2.0K2.3984.83N/AN/A38915281
2022-01-11$143.28$150.0029.7%7.0%33.5%34.5%36.2%8.2%11.7%-36.8K308.2K-2.7K2.8488.69N/AN/A329152136
2022-01-12$142.97$150.0025.1%7.2%33.2%22.0%32.4%10.2%5.1%-26.0K335.3K-2.8K2.8492.72N/AN/A329153136
2022-01-13$141.33$150.0026.7%7.6%33.3%26.3%31.4%5.7%8.3%-36.7K392.6K-2.7K2.8490.48N/AN/A329153136
2022-01-14$138.87$150.0028.2%8.1%33.6%30.4%32.4%3.9%8.8%-44.6K497.1K-2.6K2.8493.66N/AN/A329153136
2022-01-18$138.66$150.0027.0%7.7%33.6%27.1%35.1%11.2%9.6%-45.5K547.4K-2.5K2.8490.33N/AN/A329153136
2022-01-19$139.68$150.0039.1%11.2%29.0%59.4%40.5%9.0%1.8%-24.3K500.1K-2.6K1.8989.92N/AN/A5510453136
2022-01-20$139.99$140.0044.1%12.6%25.4%72.9%47.2%14.8%-5.6%-12.1K240.5K-2.8K2.7590.86N/AN/A5114076130
2022-01-21$138.03$140.0044.5%12.8%24.3%74.1%48.2%12.7%-4.1%-24.0K619.1K-4.4K2.0585.87N/AN/A7615681169
2022-01-24$139.26$140.0049.8%14.3%24.7%88.2%50.5%12.2%-2.9%-19.5K447.7K-5.6K2.0588.69N/AN/A75154111180
2022-01-25$139.29$140.0051.3%14.7%24.2%92.3%51.7%11.0%-7.0%-18.8K364.5K-5.5K1.2588.87N/AN/A120150114180
2022-01-26$140.03$140.0051.6%14.8%24.3%93.0%55.0%17.4%-10.0%-5.3K81.7K-6.8K1.2593.27N/AN/A120150159180
2022-01-27$141.59$140.0050.3%14.4%24.8%89.4%54.1%13.9%-4.3%-5.1K-14.1K-6.8K1.2392.36N/AN/A126155159180
2022-01-28$139.82$140.0051.7%14.8%24.8%93.3%53.7%18.0%-9.9%-5.0K115.9K-7.0K0.5990.33N/AN/A175103174186
2022-01-31$145.92$140.0058.1%16.7%29.5%100.0%56.1%12.2%-12.4%21.1K-860.5K-8.5K0.5988.82N/AN/A176104224187