CIGI Options History — March 2023

In March 2023, CIGI traded between $101.19 and $114.33. ATM implied volatility averaged 31.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.5% (HV 20d: 31.7%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.20.

Notable Days

  • 2023-03-10: Highest Volume — 23 contracts
  • 2023-03-13: Largest IV spike — 48.4% change
  • 2023-03-14: Highest IV Rank — 69.2%
  • 2023-03-15: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.40$101.19$114.33$114.33$105.78
Max Pain$114.35$110.00$115.00$110.00$115.00
ATM IV31.2%23.8%59.6%28.4%27.3%
Expected Move7.7%6.5%9.1%8.1%7.8%
HV 20d31.7%20.0%37.3%33.6%37.3%
HV 60d31.5%28.7%33.2%31.2%32.8%
IV Rank17.2%3.7%69.2%12.1%10.1%
IV Percentile21.1%2.0%97.2%9.9%9.1%
Term Structure4.8%-4.8%13.9%-3.8%-1.2%
VWIV32.9%12.5%59.5%27.3%12.5%
Skew 25d3.0%-2.2%7.6%1.1%-0.8%
Skew 10d-1.2%-21.3%9.8%1.9%-13.4%
Call IV 25d31.2%23.3%42.4%34.7%42.4%
Put IV 25d34.2%23.8%41.7%35.7%41.7%
Bid-Ask Spread %111.06108.54114.43112.79113.38
Gamma HHI0.240.180.300.240.19
Net GEX-21.5K-25.6K-16.4K-16.4K-24.1K
Net DEX408.3K140.0K669.2K140.0K475.0K
Net VEX-2.6K-3.1K-2.1K-2.7K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.200.008.003.003.00
Total Volume6.043023017
Total OI188.783168232168228

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$114.33$110.0028.4%8.1%33.6%12.1%0.0%1.1%-3.8%-16.4K140.0K-2.7K0.00112.79N/AN/A0044124
2023-03-02$112.94$110.0028.7%8.2%33.8%12.7%0.0%2.8%-4.5%-17.8K186.0K-2.7K0.00110.07N/AN/A0044124
2023-03-03$113.60$110.0027.3%7.8%31.5%10.1%27.3%-2.2%-4.8%-17.9K187.5K-2.7K3.00114.43N/AN/A1344124
2023-03-06$112.51$115.0030.6%6.5%31.4%16.1%0.0%2.9%6.7%-19.6K205.0K-2.6K0.00110.72N/AN/A0045126
2023-03-07$112.61$115.0030.4%7.4%30.9%15.8%0.0%3.4%5.1%-19.4K211.3K-2.6K1.00109.49N/AN/A1145127
2023-03-08$113.47$115.0030.9%6.9%30.3%16.6%0.0%0.1%7.9%-19.4K175.2K-2.6K0.00108.54N/AN/A0046129
2023-03-09$112.65$115.0033.6%6.8%30.0%21.7%0.0%2.4%8.4%-20.2K203.1K-2.6K0.00108.71N/AN/A0046129
2023-03-10$108.63$115.0037.5%7.9%20.6%28.8%0.0%3.1%5.4%-20.2K340.1K-2.6K0.00109.10N/AN/A02346129
2023-03-13$106.97$115.0055.6%8.3%20.0%62.0%59.5%6.1%4.4%-24.8K513.2K-3.1K0.00109.86N/AN/A02146151
2023-03-14$111.19$115.0059.6%7.5%23.6%69.2%0.0%1.4%7.8%-21.4K270.3K-2.6K0.00110.07N/AN/A2046132
2023-03-15$105.65$115.0031.9%9.1%28.9%18.5%0.0%5.5%4.7%-21.1K449.3K-2.4K0.00109.13N/AN/A0144132
2023-03-16$107.86$115.0027.1%7.8%30.1%9.7%27.5%2.8%5.4%-22.5K409.7K-2.5K1.00110.57N/AN/A1144133
2023-03-17$103.22$115.0030.6%8.8%33.2%16.1%0.0%6.5%5.2%-20.6K539.6K-2.4K0.00109.35N/AN/A0145133
2023-03-20$103.12$115.0028.0%8.0%33.2%11.5%37.5%6.5%4.1%-21.5K541.5K-2.2K2.83111.59N/AN/A61743130
2023-03-21$104.22$115.0024.9%7.2%33.4%5.8%37.6%7.6%8.7%-22.6K502.6K-2.3K0.00111.44N/AN/A1049142
2023-03-22$102.69$115.0024.3%7.0%33.5%4.6%33.3%3.3%8.5%-22.3K534.7K-2.2K1.00111.64N/AN/A1150142
2023-03-23$103.66$115.0028.0%8.0%33.8%11.3%38.5%6.9%7.3%-22.3K537.8K-2.3K0.00111.09N/AN/A0151143
2023-03-24$101.19$115.0029.4%8.4%34.3%14.0%0.0%1.7%6.0%-23.1K633.9K-2.1K0.00110.99N/AN/A01251144
2023-03-27$103.63$115.0024.8%7.1%35.7%5.5%0.0%5.2%6.9%-23.1K539.6K-2.5K8.00112.64N/AN/A21651156
2023-03-28$101.66$115.0030.1%8.6%35.9%15.2%35.2%-1.5%13.9%-25.6K669.2K-2.8K3.00112.10N/AN/A2652172
2023-03-29$103.63$115.0024.2%6.9%36.9%4.4%20.0%1.8%5.3%-24.6K588.8K-2.9K0.00112.78N/AN/A0154178
2023-03-30$104.95$115.0023.8%6.8%37.3%3.7%0.0%2.7%2.1%-25.0K537.4K-2.9K0.00113.94N/AN/A0054174
2023-03-31$105.78$115.0027.3%7.8%37.3%10.1%12.5%-0.8%-1.2%-24.1K475.0K-2.8K0.00113.38N/AN/A01754174