CIGI Options History — March 2022

In March 2022, CIGI traded between $119.46 and $133.53. ATM implied volatility averaged 36.6%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 0.9% (HV 20d: 37.6%). Max pain ranged from $130.00 to $145.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 3.02.

Notable Days

  • 2022-03-08: Highest Volume — 311 contracts
  • 2022-03-04: Largest IV spike — 27.2% change
  • 2022-03-07: Highest IV Rank — 65.8%
  • 2022-03-10: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$127.85$119.46$133.53$131.18$131.30
Max Pain$135.87$130.00$145.00$145.00$130.00
ATM IV36.6%28.4%46.7%35.6%34.8%
Expected Move11.6%9.9%14.5%10.2%10.3%
HV 20d37.6%33.0%43.2%33.9%37.6%
HV 60d32.5%30.6%34.6%31.2%33.8%
IV Rank43.6%25.5%65.8%41.3%39.7%
IV Percentile69.9%48.0%89.7%72.4%67.0%
Term Structure4.7%-4.2%10.9%5.8%-4.2%
VWIV44.7%37.4%64.8%49.1%37.9%
Skew 25d5.2%-1.9%13.5%5.3%11.2%
Skew 10d13.8%-5.5%24.8%10.8%21.4%
Call IV 25d35.9%26.4%46.6%41.5%33.0%
Put IV 25d41.1%32.1%49.2%46.8%44.3%
Bid-Ask Spread %94.0681.80107.67105.8789.86
Gamma HHI0.230.180.270.270.19
Net GEX-106.5K-169.8K-62.0K-119.4K-124.9K
Net DEX5.1M4.4M5.8M4.4M4.9M
Net VEX-8.5K-12.1K-6.5K-12.1K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.022.114.322.313.07
Total Volume264.696180311295224
Total OI714.217689761689714

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-03-01$131.18$145.0035.6%10.2%33.9%41.3%49.1%5.3%5.8%-119.4K4.4M-12.1K2.31105.87N/AN/A89206165524
2022-03-02$130.96$145.0037.2%10.7%33.3%45.0%48.3%9.3%7.0%-117.0K4.7M-11.2K2.33104.99N/AN/A89207165526
2022-03-03$127.39$145.0034.4%9.9%33.0%38.6%45.3%10.9%3.3%-96.7K5.0M-9.7K2.11105.56N/AN/A99209165529
2022-03-04$123.57$145.0043.7%12.5%33.8%59.2%49.0%5.5%6.4%-66.9K5.3M-8.1K2.11107.67N/AN/A99209176531
2022-03-07$121.16$145.0046.7%13.4%33.9%65.8%58.9%13.5%3.8%-62.0K5.2M-7.7K2.11106.47N/AN/A99209176531
2022-03-08$119.46$145.0045.5%14.2%33.3%63.2%51.6%2.4%2.9%-69.7K4.8M-8.6K2.14107.39N/AN/A99212176531
2022-03-09$125.51$145.0041.5%14.1%38.3%54.5%58.2%6.9%5.0%-77.4K5.1M-8.8K2.14106.54N/AN/A99212176534
2022-03-10$124.33$145.0042.2%14.5%37.3%55.9%64.8%10.0%3.0%-78.2K5.1M-8.7K2.14107.38N/AN/A99212176534
2022-03-11$125.28$145.0039.5%11.8%37.8%49.9%46.0%6.7%2.6%-83.8K5.1M-8.4K3.85106.82N/AN/A55212176534
2022-03-14$123.81$130.0043.5%12.8%37.1%58.7%44.6%0.8%1.3%-78.6K5.0M-8.5K3.8283.81N/AN/A55210176534
2022-03-15$123.04$130.0041.3%12.6%36.8%53.9%42.7%7.1%2.8%-66.4K5.3M-6.9K3.8281.83N/AN/A55210176535
2022-03-16$129.86$130.0039.1%11.4%43.2%49.1%39.9%5.9%0.1%-110.7K5.1M-8.7K3.7586.01N/AN/A56210176533
2022-03-17$131.31$130.0036.3%11.5%40.3%42.9%39.3%3.7%4.8%-128.5K4.6M-10.3K3.7586.90N/AN/A56210177533
2022-03-18$130.71$130.0034.8%11.6%38.6%39.5%38.6%10.9%5.8%-132.2K5.0M-8.9K4.3282.91N/AN/A57246177533
2022-03-21$128.93$130.0030.3%11.1%38.7%29.8%37.8%-1.9%6.3%-117.7K5.4M-7.8K3.9687.49N/AN/A53210148556
2022-03-22$133.53$130.0028.4%10.2%40.5%25.5%37.4%2.1%7.4%-169.8K5.0M-9.6K3.9688.97N/AN/A53210148566
2022-03-23$130.77$130.0032.5%10.9%40.1%34.4%37.7%2.2%4.0%-149.3K5.3M-8.4K3.9688.33N/AN/A53210148566
2022-03-24$128.80$130.0031.0%11.0%40.0%31.1%38.9%2.1%10.9%-117.5K5.6M-7.2K4.0089.88N/AN/A53212148566
2022-03-25$128.39$130.0030.7%11.1%39.7%30.7%40.0%3.6%8.5%-97.6K5.8M-6.6K2.4388.51N/AN/A53129148568
2022-03-28$128.51$130.0033.9%10.7%39.3%37.6%40.4%0.7%7.7%-104.9K5.8M-6.5K2.4481.80N/AN/A54132148607
2022-03-29$132.52$130.0030.3%10.6%38.4%29.7%41.0%-1.8%8.1%-158.4K5.3M-8.0K2.4685.87N/AN/A52128148612
2022-03-30$130.29$130.0029.0%10.4%38.9%26.7%41.2%3.2%4.5%-120.8K5.7M-6.9K2.3782.58N/AN/A54128148613
2022-03-31$131.30$130.0034.8%10.3%37.6%39.7%37.9%11.2%-4.2%-124.9K4.9M-7.2K3.0789.86N/AN/A55169150564