CIGI Options History — August 2022

In August 2022, CIGI traded between $117.05 and $132.32. ATM implied volatility averaged 31.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 1.8% (HV 20d: 32.9%). Max pain ranged from $115.00 to $150.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 2.86.

Notable Days

  • 2022-08-08: Highest Volume — 225 contracts
  • 2022-08-03: Largest IV drop — 37.0% change
  • 2022-08-01: Highest IV Rank — 47.9%
  • 2022-08-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$124.47$117.05$132.32$123.85$117.05
Max Pain$128.04$115.00$150.00$150.00$130.00
ATM IV31.1%25.3%45.2%45.2%33.9%
Expected Move8.8%7.2%13.0%13.0%9.7%
HV 20d32.9%29.1%37.3%33.1%36.5%
HV 60d37.5%36.5%38.5%38.0%37.2%
IV Rank24.1%14.2%47.9%47.9%28.9%
IV Percentile43.4%25.0%81.0%81.0%50.0%
Term Structure3.3%-3.1%9.5%-2.0%-3.0%
VWIV37.8%26.4%58.0%53.0%38.7%
Skew 25d3.5%-9.5%23.2%20.0%2.0%
Skew 10d4.5%-10.2%13.8%7.7%8.0%
Call IV 25d30.7%22.4%40.4%34.8%36.3%
Put IV 25d34.2%25.2%62.3%54.8%38.3%
Bid-Ask Spread %107.05100.68112.16103.11109.02
Gamma HHI0.370.130.870.360.13
Net GEX-92.9K-355.0K-7.6K-120.6K-9.2K
Net DEX426.9K-439.9K1.7M1.4M279.3K
Net VEX-3.9K-5.9K-2.3K-5.9K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.860.0026.001.411.09
Total Volume68.0430225210140
Total OI431.565191581579192

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$123.85$150.0045.2%13.0%33.1%47.9%53.0%20.0%-2.0%-120.6K1.4M-5.9K1.41103.11N/AN/A87123133446
2022-08-02$122.95$150.0044.5%12.8%33.2%46.7%58.0%23.2%1.0%-116.4K1.4M-5.7K1.40102.76N/AN/A88123133446
2022-08-03$125.65$150.0028.0%8.0%33.2%18.9%41.6%10.7%3.8%-125.4K1.3M-5.4K1.51108.93N/AN/A88133135446
2022-08-04$122.74$115.0027.9%7.8%32.9%18.7%34.8%0.3%8.1%-135.9K1.0M-5.5K1.40101.77N/AN/A92129134404
2022-08-05$122.39$115.0031.1%8.0%33.0%24.1%30.3%2.9%9.5%-149.1K1.2M-5.6K1.40106.47N/AN/A92129138409
2022-08-08$123.40$115.0030.6%8.1%30.3%23.2%29.5%-0.4%9.2%-139.7K960.1K-5.2K1.32100.68N/AN/A97128138409
2022-08-09$119.24$115.0033.6%8.6%32.1%28.3%31.0%4.9%6.5%-172.4K1.7M-4.9K0.00109.32N/AN/A02142409
2022-08-10$124.17$115.0031.0%8.9%34.9%24.0%0.0%-9.5%6.3%-178.4K799.2K-4.7K0.00104.41N/AN/A00142410
2022-08-11$127.76$115.0026.5%7.6%30.1%16.4%0.0%3.3%7.6%-159.7K126.5K-4.0K0.00108.47N/AN/A020142410
2022-08-12$132.32$115.0026.2%7.5%30.2%15.7%26.4%8.3%8.8%-74.0K-286.7K-3.7K1.69108.92N/AN/A1322142390
2022-08-15$130.27$130.0025.3%7.2%29.6%14.2%0.0%1.7%8.6%-102.0K-192.0K-3.8K0.00110.56N/AN/A00154412
2022-08-16$131.09$130.0025.7%7.4%29.1%15.0%28.8%-2.3%9.5%-92.7K-249.1K-3.8K0.00107.29N/AN/A20154412
2022-08-17$129.96$130.0025.8%7.4%29.4%15.1%0.0%5.4%7.2%-107.3K-125.9K-3.6K0.00111.10N/AN/A200155412
2022-08-18$130.37$130.0027.7%7.9%29.3%18.4%0.0%6.3%-0.9%-43.5K-439.9K-3.3K0.00108.19N/AN/A05155412
2022-08-19$126.24$130.0030.4%8.7%31.9%22.9%47.4%2.6%-0.9%-355.0K171.9K-3.1K26.00107.02N/AN/A126154407
2022-08-22$122.39$130.0035.6%10.2%33.9%31.7%0.0%2.7%-3.1%-7.6K65.4K-2.9K0.00104.47N/AN/A009598
2022-08-23$122.02$130.0031.1%8.9%33.9%24.0%0.0%4.2%0.7%-8.0K117.3K-2.7K0.00109.75N/AN/A009598
2022-08-24$123.09$130.0029.1%8.3%33.7%20.7%0.0%8.4%-0.8%-7.9K97.5K-2.7K0.00108.95N/AN/A009598
2022-08-25$125.93$130.0029.5%8.5%34.7%21.4%0.0%-4.4%-0.8%-7.8K-21.0K-2.9K0.00103.57N/AN/A109598
2022-08-26$121.32$130.0033.7%9.7%37.1%28.5%0.0%-5.0%-0.9%-8.2K71.5K-2.7K0.00105.14N/AN/A009598
2022-08-29$119.78$130.0032.3%9.3%37.3%26.1%34.1%0.5%-0.7%-7.6K175.3K-2.5K0.00110.11N/AN/A409598
2022-08-30$118.72$130.0030.9%8.9%37.3%23.7%0.0%-4.7%1.9%-8.9K224.8K-2.3K0.00112.16N/AN/A009398
2022-08-31$117.05$130.0033.9%9.7%36.5%28.9%38.7%2.0%-3.0%-9.2K279.3K-2.3K1.09109.02N/AN/A67739399