CIGI Options History — June 2022

In June 2022, CIGI traded between $97.82 and $118.86. ATM implied volatility averaged 37.3%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 4.3% (HV 20d: 41.6%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2022-06-29: Highest Volume — 372 contracts
  • 2022-06-13: Largest IV spike — 27.2% change
  • 2022-06-13: Highest IV Rank — 48.9%
  • 2022-06-13: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.51$97.82$118.86$116.36$109.75
Max Pain$113.81$110.00$115.00$115.00$110.00
ATM IV37.3%31.0%45.8%32.8%38.6%
Expected Move10.5%8.6%13.1%9.4%11.1%
HV 20d41.6%35.9%47.1%41.7%40.9%
HV 60d37.8%35.7%39.6%37.7%39.1%
IV Rank34.5%23.9%48.9%26.9%36.8%
IV Percentile62.7%51.4%83.3%54.3%63.9%
Term Structure5.8%-8.2%16.4%5.4%8.0%
VWIV44.4%34.4%55.4%45.6%55.4%
Skew 25d4.1%-8.7%11.4%5.6%5.0%
Skew 10d9.4%-9.4%38.2%3.4%16.3%
Call IV 25d40.5%29.9%54.8%40.9%44.1%
Put IV 25d44.6%31.8%56.2%46.5%49.1%
Bid-Ask Spread %101.6595.27106.74104.06106.74
Gamma HHI0.290.230.350.240.29
Net GEX-76.3K-152.2K-59.4K-74.1K-152.2K
Net DEX3.2M2.4M3.9M2.6M3.3M
Net VEX-7.4K-10.2K-5.2K-10.2K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.581.142.921.691.33
Total Volume205.905183372183221
Total OI608.143551700621700

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$116.36$115.0032.8%9.4%41.7%26.9%45.6%5.6%5.4%-74.1K2.6M-10.2K1.69104.06N/AN/A68115130491
2022-06-02$118.25$115.0035.3%9.1%40.2%31.2%41.9%9.5%5.2%-77.1K2.8M-9.6K1.6999.92N/AN/A68115130490
2022-06-03$117.41$115.0031.0%8.6%39.7%23.9%44.1%5.4%16.4%-69.7K2.6M-10.1K1.6798.43N/AN/A69115130490
2022-06-06$118.02$115.0032.0%9.0%39.0%25.7%41.6%5.2%10.1%-69.2K2.4M-10.1K1.6797.66N/AN/A69115131492
2022-06-07$118.86$115.0038.3%9.2%36.5%36.3%39.2%6.8%7.3%-68.0K2.6M-9.7K1.67101.01N/AN/A69115131492
2022-06-08$117.02$115.0032.0%9.2%35.9%25.6%34.4%-4.3%8.6%-68.2K2.6M-9.5K1.6799.69N/AN/A69115131492
2022-06-09$112.94$115.0037.3%10.7%36.7%34.5%37.0%-8.7%3.1%-70.1K2.9M-9.1K1.6795.27N/AN/A69115131492
2022-06-10$109.27$115.0036.0%10.3%38.9%32.4%42.6%1.4%7.4%-68.9K3.4M-7.8K1.67102.80N/AN/A69115132494
2022-06-13$103.54$115.0045.8%13.1%39.9%48.9%49.6%-7.4%-1.1%-67.0K3.8M-6.3K1.8497.47N/AN/A69127132494
2022-06-14$102.64$115.0042.8%12.3%39.8%43.9%46.2%4.4%4.6%-70.6K3.8M-5.9K1.84102.39N/AN/A69127133493
2022-06-15$103.30$115.0034.0%9.7%39.5%28.9%47.1%6.8%7.3%-68.5K3.9M-5.2K1.43103.56N/AN/A89127133493
2022-06-16$97.82$115.0043.0%12.3%42.4%44.1%40.5%4.8%-8.2%-60.7K3.7M-5.2K1.53104.97N/AN/A89136153493
2022-06-17$101.91$115.0040.4%11.6%44.9%39.8%47.3%11.4%8.3%-59.4K3.8M-5.4K1.53103.33N/AN/A89136153495
2022-06-21$104.70$115.0034.6%9.9%46.2%30.1%51.4%9.9%11.7%-71.5K3.5M-5.7K1.33106.25N/AN/A8511390461
2022-06-22$105.37$115.0039.3%11.3%46.2%37.9%52.5%5.1%8.2%-69.6K3.5M-5.8K1.31104.10N/AN/A8611390461
2022-06-23$108.14$115.0037.8%10.8%46.8%35.3%41.7%2.1%2.7%-76.0K3.5M-6.2K1.1496.27N/AN/A9110491461
2022-06-24$109.60$110.0034.5%9.9%47.1%29.8%40.6%0.2%9.3%-85.4K3.3M-6.7K1.14103.11N/AN/A9110496463
2022-06-27$108.51$110.0036.8%10.5%45.3%33.7%42.7%4.2%5.0%-83.9K3.4M-6.1K1.14104.05N/AN/A9110496463
2022-06-28$108.55$110.0039.7%11.4%44.1%38.6%51.2%8.9%-0.6%-87.2K3.3M-6.3K1.33102.10N/AN/A9512696463
2022-06-29$107.76$110.0041.3%11.8%42.2%41.3%38.9%9.7%2.3%-85.7K3.4M-6.3K2.92101.55N/AN/A95277103486
2022-06-30$109.75$110.0038.6%11.1%40.9%36.8%55.4%5.0%8.0%-152.2K3.3M-7.7K1.33106.74N/AN/A95126103597