CIGI Options History — July 2022

In July 2022, CIGI traded between $109.32 and $124.96. ATM implied volatility averaged 44.1%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 6.0% (HV 20d: 38.1%). Max pain ranged from $110.00 to $150.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.60.

Notable Days

  • 2022-07-13: Highest Volume — 231 contracts
  • 2022-07-11: Largest IV spike — 42.5% change
  • 2022-07-11: Highest IV Rank — 67.5%
  • 2022-07-12: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$117.25$109.32$124.96$112.30$124.96
Max Pain$148.00$110.00$150.00$110.00$150.00
ATM IV44.1%36.3%56.8%40.4%43.6%
Expected Move12.6%11.6%13.8%11.6%12.5%
HV 20d38.1%33.2%43.4%41.4%33.2%
HV 60d40.2%38.6%41.8%39.3%38.6%
IV Rank46.0%32.8%67.5%39.7%45.2%
IV Percentile75.7%57.5%96.4%66.7%76.6%
Term Structure-2.8%-6.4%4.4%4.4%-4.9%
VWIV44.9%39.4%50.0%39.4%50.0%
Skew 25d9.6%1.7%18.6%5.6%11.0%
Skew 10d15.3%0.7%32.1%1.0%8.1%
Call IV 25d39.9%35.2%44.1%39.3%42.5%
Put IV 25d49.5%41.8%53.9%44.9%53.4%
Bid-Ask Spread %98.8296.83102.04102.04101.34
Gamma HHI0.310.250.370.300.37
Net GEX-123.8K-161.7K-81.0K-161.7K-116.7K
Net DEX2.4M1.5M3.1M3.1M1.6M
Net VEX-7.0K-7.7K-5.9K-7.5K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.601.331.951.331.41
Total Volume216.35201231221210
Total OI644.75543738702579

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$112.30$110.0040.4%11.6%41.4%39.7%39.4%5.6%4.4%-161.7K3.1M-7.5K1.33102.04N/AN/A95126104598
2022-07-05$111.93$150.0041.5%13.2%41.3%41.7%44.6%7.8%-4.7%-138.6K3.0M-7.5K1.4298.93N/AN/A95135104598
2022-07-06$110.75$150.0040.9%12.8%41.3%40.7%46.8%14.5%-1.5%-143.5K3.1M-7.4K1.9597.32N/AN/A78152104605
2022-07-07$114.76$150.0036.3%12.6%43.4%32.8%40.7%8.8%-3.4%-146.2K2.8M-7.7K1.8598.26N/AN/A78144112614
2022-07-08$114.97$150.0039.9%11.9%43.1%38.9%41.9%8.9%-2.2%-142.3K2.6M-7.2K1.8597.57N/AN/A78144112615
2022-07-11$111.31$150.0056.8%12.4%42.8%67.5%46.9%12.0%-2.2%-147.5K3.0M-7.4K1.8596.92N/AN/A78144112615
2022-07-12$114.37$150.0055.0%13.8%42.1%64.4%44.6%1.7%-6.4%-141.7K2.7M-7.0K1.8599.18N/AN/A78144113615
2022-07-13$114.67$150.0042.7%12.2%36.5%43.6%42.2%5.0%-1.4%-148.1K2.8M-6.7K1.6696.93N/AN/A87144113615
2022-07-14$109.32$150.0046.5%13.3%40.9%50.1%44.0%11.1%-1.6%-81.0K2.9M-5.9K1.6698.83N/AN/A87144123615
2022-07-15$113.10$150.0044.3%12.7%42.3%46.4%47.3%13.8%1.3%-92.0K2.6M-6.4K1.8798.01N/AN/A79148123615
2022-07-18$117.05$150.0043.9%12.6%37.3%45.8%45.9%11.5%2.8%-99.6K2.4M-6.9K1.5498.56N/AN/A79122120423
2022-07-19$119.40$150.0046.2%13.2%35.6%49.5%43.8%2.4%-6.1%-108.3K2.1M-7.3K1.5996.83N/AN/A79126125433
2022-07-20$120.49$150.0046.4%13.3%34.9%50.0%45.1%10.1%-5.4%-110.4K2.1M-7.1K1.5797.54N/AN/A80126125438
2022-07-21$121.83$150.0043.5%12.5%35.0%45.0%45.3%18.6%-0.7%-109.0K1.9M-6.9K1.4597.11N/AN/A85123126438
2022-07-22$121.60$150.0041.4%11.9%34.4%41.5%45.0%2.9%-2.2%-114.5K1.7M-7.4K1.4599.34N/AN/A85123132439
2022-07-25$122.04$150.0043.5%12.5%34.3%45.0%46.7%13.8%-4.6%-116.6K1.9M-6.7K1.43101.86N/AN/A86123132439
2022-07-26$122.19$150.0044.2%12.7%33.8%46.2%46.6%8.9%-5.2%-118.3K1.8M-7.0K1.38100.05N/AN/A86119132439
2022-07-27$123.82$150.0042.8%12.3%33.9%43.8%46.2%11.5%-5.7%-120.1K1.6M-6.5K1.41100.97N/AN/A86121132440
2022-07-28$124.12$150.0041.8%12.0%33.5%42.1%46.0%12.5%-5.7%-119.8K1.5M-6.4K1.4198.75N/AN/A87123132446
2022-07-29$124.96$150.0043.6%12.5%33.2%45.2%50.0%11.0%-4.9%-116.7K1.6M-6.3K1.41101.34N/AN/A87123133446