CIGI Options History — September 2022

In September 2022, CIGI traded between $90.86 and $119.75. ATM implied volatility averaged 37.8%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.6% (HV 20d: 34.2%). Max pain ranged from $105.00 to $130.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2022-09-06: Highest Volume — 159 contracts
  • 2022-09-14: Largest IV drop — 34.5% change
  • 2022-09-13: Highest IV Rank — 55.8%
  • 2022-09-30: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.46$90.86$119.75$114.37$92.07
Max Pain$115.95$105.00$130.00$130.00$105.00
ATM IV37.8%31.1%49.9%37.8%45.8%
Expected Move10.1%8.1%13.1%10.8%13.1%
HV 20d34.2%30.9%39.3%36.5%39.3%
HV 60d35.4%33.2%37.6%37.5%36.9%
IV Rank35.4%24.0%55.8%35.5%49.0%
IV Percentile59.6%38.5%89.3%60.7%82.5%
Term Structure4.4%-13.2%9.4%-1.0%6.2%
VWIV36.2%18.1%43.0%39.9%37.3%
Skew 25d4.1%-1.6%15.1%-0.0%-1.6%
Skew 10d3.1%-12.5%18.7%-8.6%8.4%
Call IV 25d33.3%24.6%56.4%38.9%56.4%
Put IV 25d37.5%26.2%61.7%38.9%54.9%
Bid-Ask Spread %106.8796.59110.63110.63105.85
Gamma HHI0.190.130.300.150.17
Net GEX-11.9K-17.6K-7.7K-10.2K-10.1K
Net DEX411.1K206.9K575.5K377.7K513.5K
Net VEX-1.7K-2.2K-889-2.1K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.001.601.371.39
Total Volume65.143015917146
Total OI191.429159212192175

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$114.37$130.0037.8%10.8%36.5%35.5%0.0%-0.0%-1.0%-10.2K377.7K-2.1K0.00110.63N/AN/A0179399
2022-09-02$113.72$130.0031.6%9.1%36.5%24.9%0.0%-0.7%-2.8%-14.4K414.1K-2.2K0.00110.58N/AN/A0093116
2022-09-06$111.23$115.0035.3%9.6%36.7%31.1%39.9%6.5%9.4%-15.4K432.6K-2.2K1.3796.59N/AN/A679293116
2022-09-07$114.46$115.0038.7%9.3%36.9%37.0%38.2%6.3%4.5%-16.3K456.6K-2.2K1.3798.33N/AN/A679293118
2022-09-08$114.77$115.0036.8%9.0%33.4%33.7%0.0%15.1%5.1%-15.4K449.3K-2.1K0.00105.97N/AN/A0093118
2022-09-09$118.07$115.0036.4%8.1%33.4%33.0%0.0%2.0%6.7%-13.1K339.5K-2.1K0.00106.97N/AN/A0093118
2022-09-12$119.75$115.0045.9%8.3%30.9%49.0%18.1%3.0%8.1%-11.1K275.8K-2.1K0.00108.79N/AN/A01893118
2022-09-13$114.60$115.0049.9%9.1%33.7%55.8%34.2%5.5%5.7%-16.1K458.1K-1.8K1.36104.63N/AN/A679193119
2022-09-14$113.72$115.0032.7%9.4%33.4%26.8%0.0%5.7%6.1%-17.1K470.1K-1.9K0.00108.67N/AN/A2093119
2022-09-15$113.03$115.0031.2%8.9%33.4%24.2%0.0%4.0%7.7%-17.6K495.8K-1.7K0.00108.47N/AN/A0093119
2022-09-16$111.58$115.0031.8%9.1%33.2%25.3%33.3%3.2%7.5%-9.4K575.5K-1.6K1.60106.50N/AN/A579193119
2022-09-19$111.88$115.0032.5%9.3%32.1%26.4%0.0%0.9%5.3%-9.8K218.3K-1.6K0.00109.08N/AN/A1008475
2022-09-20$109.17$115.0032.7%9.4%31.5%26.7%0.0%-0.2%2.5%-7.9K206.9K-1.7K0.00109.33N/AN/A039475
2022-09-21$107.22$115.0032.8%9.4%31.8%26.9%0.0%1.5%7.3%-8.7K234.5K-1.7K0.00108.91N/AN/A009478
2022-09-22$102.94$115.0031.1%8.9%33.4%24.0%0.0%2.7%7.3%-11.7K372.7K-1.3K0.00110.51N/AN/A089478
2022-09-23$99.36$115.0037.3%10.7%32.5%34.6%43.0%13.3%8.8%-10.9K438.6K-1.4K0.00106.64N/AN/A049486
2022-09-26$95.58$115.0042.2%12.1%32.6%42.8%37.5%1.6%-13.2%-9.3K443.2K-1.3K1.13107.15N/AN/A61699486
2022-09-27$92.85$115.0042.1%12.1%33.2%42.7%38.2%5.0%6.3%-8.5K520.2K-9981.13107.76N/AN/A61699486
2022-09-28$95.40$115.0044.8%12.8%36.1%47.2%36.3%3.3%5.3%-10.3K439.9K-1.0K1.13108.06N/AN/A61699478
2022-09-29$90.86$115.0044.5%12.8%38.5%46.7%41.8%9.5%-0.2%-7.7K499.5K-8891.39104.91N/AN/A61858574
2022-09-30$92.07$105.0045.8%13.1%39.3%49.0%37.3%-1.6%6.2%-10.1K513.5K-1.1K1.39105.85N/AN/A61858590