CIGI Options History — January 2023

In January 2023, CIGI traded between $91.51 and $107.14. ATM implied volatility averaged 35.6%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 7.7% (HV 20d: 28.0%). Max pain ranged from $80.00 to $110.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2023-01-05: Highest Volume — 5 contracts
  • 2023-01-06: Largest IV spike — 18.0% change
  • 2023-01-06: Highest IV Rank — 32.0%
  • 2023-01-05: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.50$91.51$107.14$92.31$107.14
Max Pain$107.00$80.00$110.00$80.00$110.00
ATM IV35.6%30.9%39.0%34.8%38.6%
Expected Move10.2%8.8%11.3%10.0%11.1%
HV 20d28.0%24.3%33.3%33.3%25.5%
HV 60d36.6%34.1%37.6%37.3%34.1%
IV Rank25.6%17.1%32.0%24.3%31.0%
IV Percentile39.8%20.6%53.6%37.7%52.4%
Term Structure-2.0%-9.1%8.5%8.5%-7.0%
VWIV41.9%26.9%61.7%38.7%47.5%
Skew 25d3.1%-3.4%14.3%3.3%2.7%
Skew 10d5.9%-3.2%24.3%2.1%8.6%
Call IV 25d31.3%24.4%41.7%35.6%31.1%
Put IV 25d34.4%28.4%41.9%38.9%33.8%
Bid-Ask Spread %108.37105.86116.34115.44106.42
Gamma HHI0.200.140.270.150.27
Net GEX-15.7K-16.9K-13.3K-15.1K-16.3K
Net DEX411.8K241.0K574.6K558.6K241.0K
Net VEX-2.3K-2.4K-2.1K-2.2K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.003.000.001.00
Total Volume1.750510
Total OI181.3165196178171

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$92.31$80.0034.8%10.0%33.3%24.3%0.0%3.3%8.5%-15.1K558.6K-2.2K0.00115.44N/AN/A1042136
2023-01-04$93.91$80.0030.9%8.8%31.9%17.1%0.0%0.3%5.1%-14.6K523.3K-2.2K0.00116.34N/AN/A0043136
2023-01-05$91.51$110.0033.1%11.3%30.8%21.1%0.0%-2.3%0.6%-15.1K574.6K-2.1K0.25106.45N/AN/A4143136
2023-01-06$94.13$110.0039.0%10.3%30.7%32.0%0.0%0.1%0.4%-14.6K541.6K-2.3K0.00106.73N/AN/A0047136
2023-01-09$95.34$110.0037.4%10.3%30.9%28.7%0.0%-3.4%-0.2%-13.9K488.9K-2.3K0.00107.98N/AN/A0147136
2023-01-10$95.52$110.0036.6%10.2%29.9%27.4%38.7%7.6%0.6%-13.3K486.4K-2.3K1.50106.96N/AN/A2347136
2023-01-11$98.13$110.0036.1%10.3%30.0%26.4%37.9%0.9%-0.1%-14.8K440.2K-2.4K1.50107.77N/AN/A2349139
2023-01-12$99.28$110.0032.6%9.3%30.0%20.0%44.3%7.9%1.1%-15.8K427.5K-2.4K3.00108.64N/AN/A1351141
2023-01-13$99.43$110.0034.7%9.9%29.7%23.8%0.0%3.1%0.3%-16.3K421.6K-2.4K0.00108.54N/AN/A1052142
2023-01-17$100.83$110.0034.6%9.9%26.2%23.7%0.0%5.6%-1.3%-16.7K364.3K-2.4K0.00109.19N/AN/A0053142
2023-01-18$100.65$110.0033.6%9.6%26.3%21.8%61.7%2.2%1.0%-16.7K378.6K-2.4K0.00108.97N/AN/A0253142
2023-01-19$99.41$110.0035.9%10.3%26.3%26.0%0.0%14.3%-4.8%-16.3K409.3K-2.3K0.00106.68N/AN/A0153142
2023-01-20$100.58$110.0036.1%10.3%26.3%26.4%0.0%4.2%-7.1%-16.9K395.8K-2.3K0.00108.03N/AN/A0053143
2023-01-23$103.47$110.0034.3%9.8%26.8%23.1%36.0%2.0%-5.3%-16.9K356.1K-2.4K0.00108.74N/AN/A2049116
2023-01-24$103.32$110.0036.1%10.3%25.3%26.3%0.0%2.5%-9.1%-16.0K333.5K-2.3K0.00108.06N/AN/A3051116
2023-01-25$102.91$110.0035.6%10.2%25.3%25.4%0.0%1.5%-7.1%-15.7K362.8K-2.4K0.00107.08N/AN/A0054116
2023-01-26$102.72$110.0035.7%10.2%25.4%25.7%0.0%3.3%-2.0%-15.7K351.5K-2.3K0.00107.55N/AN/A0054116
2023-01-27$105.58$110.0038.5%11.0%25.0%30.8%26.9%1.2%-7.1%-15.8K275.3K-2.3K0.00105.86N/AN/A1054116
2023-01-30$103.87$110.0038.8%11.1%24.3%31.3%47.5%5.9%-7.3%-16.4K304.5K-2.3K1.00105.97N/AN/A2255118
2023-01-31$107.14$110.0038.6%11.1%25.5%31.0%0.0%2.7%-7.0%-16.3K241.0K-2.3K0.00106.42N/AN/A0053118