CIGI Options History — November 2022

In November 2022, CIGI traded between $86.50 and $100.78. ATM implied volatility averaged 37.8%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 5.5% (HV 20d: 43.3%). Max pain ranged from $95.00 to $115.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.04.

Notable Days

  • 2022-11-11: Highest Volume — 810 contracts
  • 2022-11-09: Largest IV drop — 27.4% change
  • 2022-11-08: Highest IV Rank — 58.8%
  • 2022-11-02: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.38$86.50$100.78$90.75$94.33
Max Pain$96.19$95.00$115.00$115.00$95.00
ATM IV37.8%30.4%51.7%38.5%34.9%
Expected Move10.3%8.7%12.9%11.0%10.0%
HV 20d43.3%35.5%48.1%38.6%44.6%
HV 60d43.0%39.7%44.8%41.8%44.5%
IV Rank35.4%22.8%58.8%36.6%30.6%
IV Percentile50.4%24.2%91.7%54.0%40.1%
Term Structure0.8%-5.6%8.2%-5.1%-5.6%
VWIV41.1%32.1%54.8%42.2%34.7%
Skew 25d6.2%-2.8%16.3%12.4%6.0%
Skew 10d12.0%-13.2%30.1%23.2%5.4%
Call IV 25d41.6%33.3%49.1%43.8%45.1%
Put IV 25d47.7%40.8%64.8%56.1%51.0%
Bid-Ask Spread %107.10101.02115.34105.42110.24
Gamma HHI0.160.130.190.140.16
Net GEX-14.4K-18.7K-8.9K-10.3K-18.2K
Net DEX535.6K352.3K640.3K621.0K520.5K
Net VEX-3.0K-3.3K-2.7K-2.9K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.040.676.861.070.67
Total Volume234.76208102095
Total OI379.095169853276190

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$90.75$115.0038.5%11.0%38.6%36.6%42.2%12.4%-5.1%-10.3K621.0K-2.9K1.07105.42N/AN/A101108124152
2022-11-02$86.65$100.0045.1%12.9%39.8%47.7%54.8%16.3%-1.3%-12.0K640.3K-2.8K1.07105.94N/AN/A103110124150
2022-11-03$86.50$95.0044.0%11.1%37.2%45.9%33.2%3.8%2.5%-12.4K638.9K-2.8K1.07107.47N/AN/A103110125148
2022-11-04$87.48$95.0050.4%10.6%35.5%56.7%32.1%4.8%1.9%-12.3K597.9K-2.8K1.07106.19N/AN/A103110125148
2022-11-07$87.55$95.0045.9%10.4%35.5%49.1%42.8%1.4%5.5%-12.4K629.4K-2.7K1.22103.72N/AN/A103126125148
2022-11-08$90.35$95.0051.7%11.7%37.3%58.8%36.1%9.1%-0.4%-8.9K531.2K-2.9K1.22101.02N/AN/A103126125131
2022-11-09$90.19$95.0037.5%10.8%36.8%34.9%44.6%7.2%4.2%-9.2K538.5K-2.9K1.41106.59N/AN/A103145125131
2022-11-10$95.99$95.0035.4%10.1%42.9%31.3%41.7%2.9%1.6%-13.7K481.7K-3.2K1.41104.10N/AN/A103145125150
2022-11-11$100.78$95.0036.1%10.3%45.6%32.5%39.2%14.8%3.8%-12.1K352.3K-3.3K6.86103.60N/AN/A103707125150
2022-11-14$95.78$95.0036.2%10.4%48.1%32.7%43.4%-0.8%3.9%-12.2K403.0K-3.0K2.18103.44N/AN/A103225125709
2022-11-15$95.87$95.0034.0%9.8%48.0%29.0%42.2%1.2%8.2%-18.0K480.2K-3.2K3.10104.35N/AN/A108335125723
2022-11-16$94.50$95.0035.2%10.1%47.6%31.0%42.7%5.9%3.4%-15.9K499.2K-3.1K3.10107.39N/AN/A108335130723
2022-11-17$92.70$95.0035.4%10.2%48.1%31.4%41.1%7.8%-0.4%-13.6K523.7K-3.0K2.18107.55N/AN/A108235130723
2022-11-18$92.07$95.0035.7%10.2%47.7%31.9%38.1%5.3%-2.9%-15.0K532.0K-2.9K2.18105.34N/AN/A108235130723
2022-11-21$92.71$95.0030.4%8.7%47.8%22.8%41.6%5.2%-1.9%-14.4K527.5K-2.9K2.29110.60N/AN/A429645124
2022-11-22$93.76$95.0031.8%9.1%46.9%25.3%41.0%8.3%1.8%-17.5K523.4K-3.0K2.29107.76N/AN/A429645135
2022-11-23$94.07$95.0032.0%9.2%46.6%25.6%48.8%6.2%-0.2%-17.9K511.7K-2.9K2.26107.55N/AN/A429545135
2022-11-25$94.83$95.0031.7%9.1%44.4%25.1%0.0%8.6%-2.1%-18.7K526.0K-2.9K0.00113.57N/AN/A0045145
2022-11-28$91.77$95.0038.1%10.9%45.7%35.9%0.0%-2.8%3.3%-18.6K576.6K-2.9K0.00111.85N/AN/A0045145
2022-11-29$91.41$95.0034.1%9.8%45.1%29.2%0.0%5.8%-4.6%-18.7K592.8K-2.7K0.00115.34N/AN/A0045145
2022-11-30$94.33$95.0034.9%10.0%44.6%30.6%34.7%6.0%-5.6%-18.2K520.5K-2.9K0.67110.24N/AN/A3245145