CIGI Options History — May 2023

In May 2023, CIGI traded between $90.65 and $105.19. ATM implied volatility averaged 29.1%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 15.6% (HV 20d: 44.7%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2023-05-18: Highest Volume — 1,200 contracts
  • 2023-05-10: Largest IV drop — 41.1% change
  • 2023-05-01: Highest IV Rank — 40.8%
  • 2023-05-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$93.55$90.65$105.19$105.19$93.19
Max Pain$102.27$95.00$105.00$105.00$95.00
ATM IV29.1%22.7%44.0%44.0%22.7%
Expected Move7.9%6.4%12.6%12.6%6.5%
HV 20d44.7%22.4%48.2%26.5%22.4%
HV 60d36.6%31.7%39.1%31.7%36.9%
IV Rank13.5%1.7%40.8%40.8%1.8%
IV Percentile20.8%0.8%77.4%77.4%1.2%
Term Structure0.3%-11.0%12.3%-6.2%-4.9%
VWIV38.0%25.2%48.2%40.9%32.5%
Skew 25d0.2%-8.4%12.4%7.0%6.5%
Skew 10d2.5%-21.3%35.6%35.6%-8.2%
Call IV 25d41.6%29.2%64.2%53.8%44.0%
Put IV 25d41.8%23.4%64.0%60.9%50.5%
Bid-Ask Spread %113.16103.58116.77103.58115.55
Gamma HHI0.840.510.960.910.94
Net GEX252.0K44.4K749.7K472.5K305.6K
Net DEX-1.7M-6.4M339.2K-6.4M-2.3M
Net VEX-7.1K-14.0K-2.0K-14.0K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.003.160.100.00
Total Volume64.72701,200550
Total OI1,502.4091,3372,7141,4461,344

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$105.19$105.0044.0%12.6%26.5%40.8%40.9%7.0%-6.2%472.5K-6.4M-14.0K0.10103.58N/AN/A5051,264182
2023-05-02$93.99$105.0030.4%8.7%47.7%15.7%48.1%12.4%-9.0%239.5K-464.0K-7.0K3.16104.77N/AN/A19601,314184
2023-05-03$92.05$105.0035.0%10.0%47.5%24.2%35.4%-8.4%-2.8%214.1K-1.6M-8.6K0.11112.12N/AN/A911,330145
2023-05-04$90.65$105.0033.4%7.5%47.5%21.4%48.2%-7.7%11.9%183.2K-1.0M-7.1K1.00110.83N/AN/A441,338144
2023-05-05$90.78$105.0033.8%7.6%47.2%22.1%0.0%1.6%7.7%177.1K-831.3K-6.3K0.50112.60N/AN/A211,342146
2023-05-08$92.60$105.0032.8%6.4%46.6%20.1%0.0%7.4%2.8%44.4K339.2K-2.2K0.60112.09N/AN/A1061,344147
2023-05-09$91.69$105.0041.2%8.0%46.7%35.6%0.0%-4.5%0.5%182.8K-642.1K-5.3K0.00111.79N/AN/A011,354151
2023-05-10$92.00$105.0024.3%7.0%46.7%4.6%0.0%3.2%11.8%144.6K-260.4K-3.9K0.00114.45N/AN/A001,354148
2023-05-11$92.41$105.0025.8%7.4%46.4%7.3%36.6%1.1%8.2%78.3K164.0K-2.5K0.00113.22N/AN/A051,354147
2023-05-12$91.67$105.0025.4%7.3%46.0%6.6%0.0%-6.6%6.9%143.1K-235.9K-3.4K0.67114.69N/AN/A641,354151
2023-05-15$91.84$105.0026.2%7.5%45.5%8.1%0.0%-2.7%12.3%123.0K-68.1K-2.8K0.00113.56N/AN/A001,360155
2023-05-16$91.23$105.0025.9%7.4%45.2%7.6%25.2%-5.8%5.6%61.6K238.4K-2.0K0.00114.45N/AN/A031,360155
2023-05-17$94.07$105.0022.7%6.5%47.0%1.7%31.7%1.0%3.4%157.8K-161.6K-2.5K0.00114.15N/AN/A901,360153
2023-05-18$94.93$105.0025.0%7.2%47.3%5.9%34.6%-0.0%-6.8%108.3K-13.8K-2.1K0.00113.98N/AN/A1,20001,368146
2023-05-19$95.34$100.0025.0%7.2%47.3%5.9%47.2%-4.4%5.1%749.7K-4.9M-13.6K0.13113.77N/AN/A1622,568146
2023-05-22$95.75$100.0028.0%8.0%47.4%11.4%0.0%-4.3%-8.6%426.0K-3.4M-12.1K0.00113.40N/AN/A011,26770
2023-05-23$94.59$100.0025.2%7.2%47.5%6.3%0.0%-1.3%-6.2%399.3K-2.4M-10.1K0.00116.24N/AN/A001,26771
2023-05-24$92.16$100.0030.4%8.7%48.2%15.7%32.5%0.3%-2.8%292.9K-2.9M-11.0K0.00114.87N/AN/A601,26771
2023-05-25$93.92$95.0025.0%7.2%45.8%5.9%0.0%6.3%-11.0%309.1K-2.7M-10.2K0.00116.03N/AN/A001,27371
2023-05-26$94.61$95.0026.4%7.6%45.6%8.5%0.0%-4.1%-1.0%397.7K-3.6M-11.5K0.00116.77N/AN/A001,27371
2023-05-30$93.42$95.0032.2%9.2%45.7%19.0%0.0%6.7%-10.8%334.1K-3.4M-10.4K0.00116.58N/AN/A001,27371
2023-05-31$93.19$95.0022.7%6.5%22.4%1.8%0.0%6.5%-4.9%305.6K-2.3M-8.2K0.00115.55N/AN/A001,27371