CIGI Options History — December 2022

In December 2022, CIGI traded between $88.02 and $96.38. ATM implied volatility averaged 37.9%, placing in the 34.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.2% (HV 20d: 36.7%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2022-12-13: Highest Volume — 6 contracts
  • 2022-12-14: Largest IV drop — 59.0% change
  • 2022-12-13: Highest IV Rank — 100.0%
  • 2022-12-08: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.12$88.02$96.38$96.38$91.69
Max Pain$81.43$80.00$95.00$95.00$80.00
ATM IV37.9%26.1%76.4%34.5%30.1%
Expected Move9.0%7.5%10.5%9.9%8.6%
HV 20d36.7%31.7%45.3%41.2%33.2%
HV 60d43.2%38.3%44.9%44.3%38.3%
IV Rank34.3%14.4%100.0%29.9%16.8%
IV Percentile39.6%8.3%100.0%38.1%17.1%
Term Structure5.1%-3.3%9.4%-3.3%4.6%
VWIV39.7%39.7%39.7%39.7%39.7%
Skew 25d1.9%-7.5%10.1%-7.5%3.1%
Skew 10d8.5%-5.1%50.5%13.4%50.5%
Call IV 25d33.1%28.5%45.3%44.8%32.3%
Put IV 25d35.1%30.6%41.4%37.2%35.4%
Bid-Ask Spread %112.88105.72116.29114.82115.09
Gamma HHI0.160.150.180.160.16
Net GEX-17.8K-21.8K-13.2K-16.5K-13.2K
Net DEX593.4K456.8K758.3K472.3K553.9K
Net VEX-2.5K-3.0K-2.1K-3.0K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.200.330.200.33
Total Volume0.8570600
Total OI188.286175201195178

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$96.38$95.0034.5%9.9%41.2%29.9%0.0%-7.5%-3.3%-16.5K472.3K-3.0K0.00114.82N/AN/A0048147
2022-12-02$96.23$95.0034.1%9.8%41.2%29.1%0.0%-3.9%-2.7%-16.7K456.8K-2.9K0.00114.44N/AN/A0248147
2022-12-05$93.08$80.0038.7%9.3%43.4%37.0%0.0%4.3%2.6%-19.5K553.7K-2.8K0.00110.79N/AN/A0148149
2022-12-06$89.97$80.0045.6%10.4%45.3%48.6%0.0%1.0%3.4%-20.9K652.8K-2.7K0.00111.32N/AN/A0048150
2022-12-07$92.66$80.0043.1%9.6%45.1%44.4%0.0%3.6%6.1%-19.6K576.8K-2.8K0.00110.28N/AN/A0048150
2022-12-08$92.25$80.0049.9%10.5%45.2%55.8%0.0%3.5%3.0%-19.7K568.6K-2.8K0.00110.40N/AN/A0048150
2022-12-09$90.47$80.0056.4%10.0%39.5%66.8%0.0%-0.4%5.6%-20.0K628.0K-2.6K0.00110.90N/AN/A0048150
2022-12-12$92.84$80.0069.9%9.6%36.2%89.6%0.0%2.3%4.8%-20.1K580.4K-2.7K0.00107.49N/AN/A0048150
2022-12-13$92.45$80.0076.4%9.2%31.7%100.0%0.0%-1.1%4.2%-20.4K546.6K-2.7K0.20105.72N/AN/A5148150
2022-12-14$91.72$80.0031.4%9.0%31.7%24.4%0.0%1.0%6.4%-20.8K612.5K-2.5K0.00111.69N/AN/A0348150
2022-12-15$88.62$80.0027.9%8.0%33.5%18.6%39.7%2.7%5.0%-21.8K690.1K-2.4K0.00113.45N/AN/A0248151
2022-12-16$89.17$80.0029.4%8.4%33.1%21.0%0.0%-1.4%7.7%-16.5K758.3K-2.3K0.00113.49N/AN/A0048153
2022-12-19$88.02$80.0026.1%7.5%33.3%15.6%0.0%5.0%9.0%-16.9K620.1K-2.3K0.00114.60N/AN/A0039136
2022-12-20$88.13$80.0026.9%7.7%33.2%16.9%0.0%2.7%8.8%-16.1K636.3K-2.2K0.00115.26N/AN/A0039136
2022-12-21$90.20$80.0029.9%8.6%34.1%22.0%0.0%4.0%5.1%-15.7K590.2K-2.3K0.00114.60N/AN/A0039136
2022-12-22$88.58$80.0029.3%8.4%34.5%17.4%0.0%5.1%6.7%-16.2K614.1K-2.2K0.00113.92N/AN/A0039136
2022-12-23$90.22$80.0028.1%8.1%35.1%15.3%0.0%6.3%9.4%-16.1K588.7K-2.2K0.00114.88N/AN/A0039136
2022-12-27$90.17$80.0030.3%8.7%33.2%19.1%0.0%-1.1%7.4%-15.7K585.3K-2.3K0.00115.65N/AN/A0039136
2022-12-28$88.75$80.0030.0%8.6%33.6%17.9%0.0%10.1%4.7%-16.2K619.4K-2.1K0.33115.42N/AN/A3139136
2022-12-29$91.99$80.0028.7%8.2%34.3%14.4%0.0%1.8%9.0%-15.2K555.8K-2.3K0.00116.29N/AN/A0042136
2022-12-30$91.69$80.0030.1%8.6%33.2%16.8%0.0%3.1%4.6%-13.2K553.9K-2.2K0.00115.09N/AN/A0042136