CIGI Options History — May 2022

In May 2022, CIGI traded between $105.53 and $121.26. ATM implied volatility averaged 49.1%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 9.6% (HV 20d: 39.5%). Max pain ranged from $115.00 to $130.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.84.

Notable Days

  • 2022-05-09: Highest Volume — 942 contracts
  • 2022-05-11: Largest IV drop — 28.3% change
  • 2022-05-09: Highest IV Rank — 100.0%
  • 2022-05-03: Largest Expected Move — 16.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.17$105.53$121.26$105.92$121.26
Max Pain$117.14$115.00$130.00$130.00$115.00
ATM IV49.1%34.3%76.1%52.0%35.6%
Expected Move13.0%9.8%16.7%14.9%10.2%
HV 20d39.5%31.9%42.9%31.9%38.9%
HV 60d36.5%34.7%37.4%34.7%36.9%
IV Rank59.5%29.5%100.0%77.5%31.7%
IV Percentile82.6%56.8%100.0%95.5%61.1%
Term Structure-5.2%-16.6%3.0%-1.4%-3.7%
VWIV47.0%35.4%72.6%58.5%39.7%
Skew 25d8.1%-1.0%15.1%0.2%5.7%
Skew 10d15.1%-4.7%38.3%-1.8%4.3%
Call IV 25d42.2%32.4%62.7%62.7%33.7%
Put IV 25d50.3%39.4%71.8%62.9%39.4%
Bid-Ask Spread %97.8293.61106.6594.05106.65
Gamma HHI0.280.190.460.250.24
Net GEX-124.8K-228.5K-32.9K-64.7K-72.1K
Net DEX3.8M2.4M5.8M3.5M2.4M
Net VEX-11.1K-14.1K-9.3K-9.3K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.841.697.787.241.69
Total Volume557.476163942626183
Total OI1,401.4766001,9081,149620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$105.92$130.0052.0%14.9%31.9%77.5%58.5%0.2%-1.4%-64.7K3.5M-9.3K7.2494.05N/AN/A76550213936
2022-05-03$108.74$130.0058.3%16.7%33.3%91.5%72.6%15.1%-16.6%-126.6K4.0M-11.4K7.2499.25N/AN/A765502141,198
2022-05-04$112.74$130.0053.7%15.4%36.9%81.2%71.4%5.0%-6.8%-131.6K3.8M-11.5K7.53100.83N/AN/A785872141,199
2022-05-05$110.87$115.0059.6%12.6%35.6%94.3%47.3%11.0%-3.4%-139.7K4.3M-10.4K7.7895.20N/AN/A987622161,226
2022-05-06$109.07$115.0060.9%13.1%35.7%97.1%45.4%11.5%-5.8%-219.7K5.1M-14.1K4.1194.42N/AN/A1847572361,578
2022-05-09$105.53$115.0076.1%14.8%37.0%100.0%47.3%7.0%-5.1%-206.9K5.6M-12.8K4.0996.92N/AN/A1857573251,579
2022-05-10$108.98$115.0073.8%13.6%39.3%96.2%46.7%12.3%-5.2%-196.4K4.6M-13.4K4.0996.18N/AN/A1857573271,580
2022-05-11$105.85$115.0052.9%15.2%40.1%60.9%46.6%13.4%-7.0%-228.5K5.3M-12.5K4.0593.61N/AN/A1857493271,580
2022-05-12$106.64$115.0050.4%14.4%39.0%56.6%49.1%6.1%-5.4%-185.2K5.8M-12.5K2.8596.18N/AN/A1855273271,581
2022-05-13$111.54$115.0048.4%13.9%42.6%53.3%44.8%5.9%-6.5%-156.4K4.1M-11.7K2.8094.22N/AN/A1855183271,478
2022-05-16$112.12$115.0048.9%14.0%42.7%54.1%45.8%7.5%-5.7%-146.0K3.8M-11.5K2.7896.77N/AN/A1865183271,478
2022-05-17$113.55$115.0045.6%13.1%42.0%48.5%45.2%9.0%-4.2%-131.5K3.5M-11.1K4.0896.89N/AN/A1024163271,478
2022-05-18$110.06$115.0046.3%13.3%42.6%49.7%43.3%3.8%-5.4%-157.7K3.9M-10.5K3.2198.73N/AN/A1223923491,479
2022-05-19$111.96$115.0041.7%12.0%42.9%42.0%37.6%9.0%-5.4%-32.9K3.2M-10.1K3.2999.94N/AN/A1213983701,480
2022-05-20$112.39$115.0042.2%12.1%42.1%42.8%43.4%14.9%-13.8%-71.0K3.2M-9.6K4.7995.10N/AN/A823933701,456
2022-05-23$113.23$115.0035.6%10.2%42.2%31.7%40.4%-1.0%-0.8%-71.4K3.0M-10.1K1.7894.51N/AN/A59105114486
2022-05-24$110.86$115.0041.9%12.0%41.1%42.3%44.8%10.4%-3.9%-70.4K3.2M-9.6K1.78100.80N/AN/A59105118489
2022-05-25$110.81$115.0036.8%10.6%40.3%33.7%35.4%7.8%-7.3%-68.9K3.1M-9.5K1.76103.15N/AN/A59104118489
2022-05-26$114.71$115.0037.0%10.6%42.3%34.1%42.0%8.6%0.7%-71.1K2.9M-10.0K1.7298.06N/AN/A61105119490
2022-05-27$117.66$115.0034.3%9.8%41.9%29.5%38.9%6.5%3.0%-71.4K2.6M-10.3K2.00102.87N/AN/A62124121492
2022-05-31$121.26$115.0035.6%10.2%38.9%31.7%39.7%5.7%-3.7%-72.1K2.4M-10.5K1.69106.65N/AN/A68115130490