CIGI Options History — July 2023

In July 2023, CIGI traded between $97.84 and $108.30. ATM implied volatility averaged 35.4%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 9.6% (HV 20d: 25.7%). Max pain ranged from $95.00 to $115.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 4.65.

Notable Days

  • 2023-07-31: Highest Volume — 412 contracts
  • 2023-07-17: Largest IV spike — 43.2% change
  • 2023-07-31: Highest IV Rank — 48.7%
  • 2023-07-31: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$104.17$97.84$108.30$99.64$101.07
Max Pain$106.25$95.00$115.00$95.00$115.00
ATM IV35.4%26.4%47.0%26.4%47.0%
Expected Move10.1%6.9%13.5%7.6%13.5%
HV 20d25.7%21.3%33.6%24.7%33.3%
HV 60d33.5%27.3%36.1%33.9%27.3%
IV Rank28.4%12.7%48.7%12.7%48.7%
IV Percentile55.2%16.7%90.9%16.7%90.9%
Term Structure-4.7%-17.7%7.6%3.2%-17.7%
VWIV36.7%27.5%44.4%34.7%36.1%
Skew 25d3.2%-7.1%19.3%9.4%19.3%
Skew 10d9.0%-5.1%27.9%17.7%17.2%
Call IV 25d36.5%28.2%44.9%38.9%31.4%
Put IV 25d39.6%25.2%50.6%48.3%50.6%
Bid-Ask Spread %101.3589.14117.17116.01103.54
Gamma HHI0.330.200.600.440.25
Net GEX118.7K-59.5K460.6K315.3K-59.5K
Net DEX-4.5M-8.2M1.1M-4.7M1.1M
Net VEX-7.5K-10.2K-5.8K-9.7K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.650.0015.332.330.00
Total Volume32.7041250412
Total OI949.14311,2501,059465

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$99.64$95.0026.4%7.6%24.7%12.7%0.0%9.4%3.2%315.3K-4.7M-9.7K2.33116.01N/AN/A1535883176
2023-07-05$99.81$95.0028.2%8.1%24.6%16.0%0.0%2.1%-7.6%349.9K-4.6M-10.2K0.00117.17N/AN/A010898211
2023-07-06$97.84$105.0027.7%6.9%24.6%15.0%34.7%4.4%7.6%460.6K-3.6M-9.9K0.00104.20N/AN/A10898221
2023-07-07$98.75$105.0033.9%10.4%22.4%25.8%0.0%0.6%-3.8%402.9K-4.4M-10.1K0.0099.59N/AN/A00899221
2023-07-10$101.87$105.0035.8%9.3%25.0%29.2%0.0%-7.1%2.5%323.4K-5.7M-8.9K0.8099.70N/AN/A54899221
2023-07-11$104.09$105.0034.8%9.9%26.0%27.4%39.5%3.6%-3.0%225.9K-6.6M-8.0K3.6790.87N/AN/A311904224
2023-07-12$106.77$105.0028.4%8.1%26.7%16.3%27.5%-3.0%0.5%141.9K-8.0M-5.8K15.33106.86N/AN/A346905235
2023-07-13$108.30$105.0035.9%10.3%26.9%29.3%37.6%-0.9%-7.0%121.5K-7.9M-7.4K0.0089.14N/AN/A020904280
2023-07-14$107.37$105.0028.0%8.0%27.1%15.6%0.0%-4.5%1.6%78.7K-8.1M-6.9K0.0093.81N/AN/A50904300
2023-07-17$106.25$105.0040.1%11.5%26.2%36.7%0.0%-2.2%-8.9%96.9K-8.1M-6.2K14.0091.03N/AN/A228904300
2023-07-18$106.60$105.0037.0%10.6%26.1%31.3%0.0%8.9%-5.1%114.9K-7.7M-7.6K0.0089.76N/AN/A00906327
2023-07-19$107.42$105.0042.7%12.2%23.0%41.2%43.2%-0.1%-8.5%100.9K-7.9M-7.3K0.0093.37N/AN/A01906327
2023-07-20$107.37$105.0040.3%11.6%22.8%37.0%33.7%9.7%-17.5%-13.6K-8.2M-6.8K4.3399.91N/AN/A313906328
2023-07-21$107.39$110.0033.8%9.7%22.9%25.6%0.0%-1.4%-1.6%-42.8K-8.2M-6.8K0.00106.34N/AN/A00909341
2023-07-24$107.52$110.0037.7%10.8%22.6%32.4%0.0%3.4%-10.6%-43.1K382.1K-6.4K0.00107.43N/AN/A00100331
2023-07-25$107.66$110.0035.1%10.1%21.6%27.9%0.0%7.8%-0.7%-44.2K409.0K-6.4K0.00107.25N/AN/A00100331
2023-07-26$107.58$110.0037.2%10.7%21.3%31.6%0.0%2.0%-7.1%-45.1K443.6K-6.4K0.00105.41N/AN/A00100331
2023-07-27$100.23$110.0037.8%10.8%33.6%32.6%33.6%7.8%-6.7%-54.3K993.0K-6.7K6.00107.09N/AN/A424100331
2023-07-28$99.95$115.0039.6%11.3%33.2%35.8%44.4%3.7%-3.4%-55.7K1.1M-6.6K0.0098.50N/AN/A09103353
2023-07-31$101.07$115.0047.0%13.5%33.3%48.7%36.1%19.3%-17.7%-59.5K1.1M-6.4K0.00103.54N/AN/A4120103362