CIGI Options History — June 2023

In June 2023, CIGI traded between $92.83 and $101.40. ATM implied volatility averaged 29.2%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.2% (HV 20d: 26.0%). Max pain ranged from $95.00 to $105.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.94.

Notable Days

  • 2023-06-26: Highest Volume — 523 contracts
  • 2023-06-12: Largest IV spike — 75.3% change
  • 2023-06-13: Highest IV Rank — 81.6%
  • 2023-06-02: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.02$92.83$101.40$92.83$98.09
Max Pain$99.76$95.00$105.00$95.00$95.00
ATM IV29.2%19.1%66.3%29.5%22.1%
Expected Move6.6%5.2%10.3%8.5%6.3%
HV 20d26.0%21.1%27.7%21.1%27.6%
HV 60d35.2%33.7%37.8%36.9%33.7%
IV Rank16.1%0.0%81.6%14.2%5.2%
IV Percentile24.1%0.0%99.2%23.0%2.4%
Term Structure2.5%-22.9%10.3%-22.9%-2.0%
VWIV24.1%22.4%27.3%23.2%27.3%
Skew 25d-2.7%-14.0%6.8%2.4%-1.9%
Skew 10d-1.4%-19.5%19.0%3.2%2.5%
Call IV 25d34.1%25.5%56.7%54.3%29.6%
Put IV 25d31.4%16.4%56.7%56.7%27.7%
Bid-Ask Spread %115.51103.92119.50115.78116.39
Gamma HHI0.660.130.980.940.49
Net GEX428.1K-14.6K1.0M287.8K542.4K
Net DEX-3.4M-7.9M351.1K-2.6M-4.0M
Net VEX-6.4K-10.3K-1.5K-8.7K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.940.016.500.671.89
Total Volume46.4760523026
Total OI1,004.7141511,3951,3441,035

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$92.83$95.0029.5%8.5%21.1%14.2%0.0%2.4%-22.9%287.8K-2.6M-8.7K0.00115.78N/AN/A001,27371
2023-06-02$96.50$95.0036.0%10.3%24.2%26.1%0.0%-4.4%0.7%528.6K-4.7M-10.3K0.00113.27N/AN/A001,27371
2023-06-05$96.39$95.0035.9%7.1%24.3%25.9%0.0%0.4%-3.0%449.1K-4.3M-9.3K0.67115.94N/AN/A641,27371
2023-06-06$98.53$95.0036.4%5.2%24.5%26.7%0.0%-7.2%5.9%447.8K-5.5M-9.7K0.00116.68N/AN/A0131,27975
2023-06-07$101.40$95.0029.9%6.3%25.6%14.8%0.0%1.2%3.6%982.1K-7.9M-8.7K1.00115.08N/AN/A111,27987
2023-06-08$100.50$95.0040.4%6.1%26.0%34.2%0.0%-5.7%1.3%765.1K-6.7M-8.8K0.00116.88N/AN/A001,27988
2023-06-09$100.56$95.0024.0%5.5%26.1%4.1%23.2%-3.3%10.3%1.0M-7.4M-8.0K6.33113.94N/AN/A3191,27988
2023-06-12$99.24$105.0042.1%5.5%26.5%37.2%0.0%-5.9%7.4%683.8K-5.5M-6.9K0.00117.56N/AN/A001,282105
2023-06-13$99.42$105.0066.3%6.1%26.5%81.6%0.0%0.5%6.0%695.4K-5.7M-6.1K0.00116.83N/AN/A001,282105
2023-06-14$98.80$105.0019.1%5.5%26.4%0.0%0.0%0.6%4.3%641.9K-5.2M-5.2K0.00117.69N/AN/A001,282105
2023-06-15$96.92$105.0026.6%7.6%25.7%13.1%24.9%2.1%1.1%793.9K-2.9M-3.8K0.50106.29N/AN/A631,282105
2023-06-16$96.54$105.0021.8%6.2%25.6%4.7%0.0%1.6%1.7%-9.5K193.3K-1.8K0.00117.21N/AN/A001,287108
2023-06-20$93.87$105.0022.3%6.4%27.5%5.6%0.0%-14.0%6.3%-9.5K256.5K-1.5K1.50118.11N/AN/A236487
2023-06-21$93.58$105.0022.6%6.5%27.4%6.2%22.9%-7.2%3.8%-9.5K277.2K-1.6K0.00116.23N/AN/A0316688
2023-06-22$93.89$105.0022.3%6.4%27.2%5.6%0.0%0.4%2.0%-13.6K328.1K-2.1K1.00118.57N/AN/A5566119
2023-06-23$93.44$105.0021.5%6.2%25.5%4.2%0.0%-9.9%-4.7%-14.6K351.1K-2.3K0.00118.09N/AN/A0071124
2023-06-26$95.85$105.0024.5%7.0%26.2%9.5%22.4%-11.8%10.3%-14.1K277.2K-2.4K0.05118.45N/AN/A5002371124
2023-06-27$97.53$95.0021.6%6.2%26.8%4.4%23.9%6.8%5.3%314.4K-3.0M-7.2K0.01113.27N/AN/A3014571143
2023-06-28$95.88$95.0025.0%7.2%27.1%10.4%0.0%1.4%9.9%413.8K-3.2M-9.9K0.00119.50N/AN/A05872146
2023-06-29$97.56$95.0022.2%6.4%27.7%5.4%24.2%-2.7%5.5%464.6K-4.2M-9.8K6.50103.92N/AN/A213872151
2023-06-30$98.09$95.0022.1%6.3%27.6%5.2%27.3%-1.9%-2.0%542.4K-4.0M-9.4K1.89116.39N/AN/A917874161