CIGI Options History — August 2023

In August 2023, CIGI traded between $100.84 and $115.09. ATM implied volatility averaged 26.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 13.7% (HV 20d: 39.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 5.25.

Notable Days

  • 2023-08-23: Highest Volume — 204 contracts
  • 2023-08-02: Largest IV drop — 43.3% change
  • 2023-08-01: Highest IV Rank — 41.3%
  • 2023-08-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.48$100.84$115.09$100.84$115.09
Max Pain$100.43$100.00$105.00$105.00$100.00
ATM IV26.2%21.0%42.7%42.7%27.3%
Expected Move7.6%6.0%12.3%12.3%7.8%
HV 20d39.9%24.2%45.0%32.9%24.3%
HV 60d31.7%27.1%32.7%27.1%31.0%
IV Rank12.5%3.4%41.3%41.3%14.3%
IV Percentile18.8%0.4%82.5%82.5%24.2%
Term Structure1.7%-10.1%10.7%-10.1%3.7%
VWIV30.3%23.2%38.0%34.0%27.6%
Skew 25d6.4%-5.1%15.9%4.6%6.4%
Skew 10d6.0%-10.1%23.3%-10.0%3.1%
Call IV 25d30.2%23.5%46.0%46.0%41.4%
Put IV 25d36.6%25.2%50.6%50.6%47.8%
Bid-Ask Spread %104.3595.04112.06101.43111.27
Gamma HHI0.600.140.910.610.57
Net GEX140.7K-11.5K590.4K109.0K90.0K
Net DEX-2.2M-4.3M104.5K-357.1K-2.0M
Net VEX-6.6K-9.9K-4.7K-9.9K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.250.0031.0031.000.00
Total Volume22.6960204321
Total OI735.348302927876612

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-08-01$100.84$105.0042.7%12.3%32.9%41.3%0.0%4.6%-10.1%109.0K-357.1K-9.9K31.00101.43N/AN/A131514362
2023-08-02$108.99$105.0024.2%6.9%42.8%9.0%34.0%0.6%-7.5%150.8K-2.5M-9.3K3.50105.94N/AN/A1035515358
2023-08-03$109.65$100.0024.8%6.1%41.8%10.0%0.0%0.8%10.7%172.7K-2.9M-8.4K0.00102.64N/AN/A00522342
2023-08-04$109.93$100.0022.3%8.2%41.8%5.6%28.8%0.4%-0.5%316.6K-3.8M-6.2K0.0097.38N/AN/A70522342
2023-08-07$113.15$100.0024.7%7.1%41.7%9.8%0.0%-5.1%10.7%105.4K-4.0M-6.7K18.00100.89N/AN/A236525342
2023-08-08$111.99$100.0025.5%7.3%41.5%11.2%0.0%10.9%1.6%103.3K-3.7M-7.3K0.0095.04N/AN/A00526377
2023-08-09$107.65$100.0022.5%6.5%43.4%6.0%0.0%13.0%10.3%155.7K-2.3M-8.1K0.00102.31N/AN/A011526377
2023-08-10$107.88$100.0027.3%7.8%43.1%14.3%0.0%5.5%0.7%243.9K-2.8M-7.5K0.0099.85N/AN/A012526389
2023-08-11$109.62$100.0021.0%6.0%43.3%3.4%0.0%1.3%8.8%157.5K-3.2M-7.4K0.00106.35N/AN/A00526400
2023-08-14$107.80$100.0025.9%7.4%43.6%11.9%0.0%9.1%6.7%146.4K-2.9M-6.8K0.00103.34N/AN/A01526400
2023-08-15$107.72$100.0025.7%7.4%43.6%11.5%0.0%4.0%2.8%184.5K-3.3M-6.3K0.0097.14N/AN/A03526401
2023-08-16$107.84$100.0028.1%8.1%43.5%15.8%0.0%6.8%0.5%159.0K-3.5M-5.8K0.00100.88N/AN/A00526393
2023-08-17$106.17$100.0032.7%9.4%43.9%23.8%0.0%14.9%-2.6%590.4K-2.5M-6.3K0.00101.60N/AN/A04526393
2023-08-18$107.79$100.0030.9%8.8%44.2%20.5%0.0%1.9%-7.7%-10.8K-4.3M-5.1K0.00106.23N/AN/A01526372
2023-08-21$108.37$100.0026.2%7.5%44.3%12.4%38.0%4.3%-4.1%-10.2K83.6K-4.7K0.00109.53N/AN/A0183219
2023-08-22$107.35$100.0026.1%7.5%44.4%12.2%30.0%15.9%6.6%-11.5K104.5K-4.8K0.00112.06N/AN/A2083220
2023-08-23$109.66$100.0021.8%6.2%45.0%4.6%23.2%10.1%4.6%-9.2K56.9K-4.7K0.01109.36N/AN/A201385220
2023-08-24$110.00$100.0024.2%6.9%36.2%9.0%0.0%13.9%1.3%127.7K-1.1M-6.7K0.00105.54N/AN/A01286221
2023-08-25$110.75$100.0027.1%7.8%36.1%14.0%0.0%12.6%-5.4%102.8K-1.1M-6.8K0.03106.88N/AN/A692286222
2023-08-28$112.45$100.0029.5%8.4%36.2%18.1%27.6%6.0%2.3%115.0K-1.6M-6.4K0.00108.76N/AN/A860350224
2023-08-29$113.25$100.0021.5%6.2%36.1%4.2%0.0%7.7%6.7%128.9K-1.8M-6.3K0.00104.57N/AN/A01387224
2023-08-30$114.12$100.0021.3%6.1%24.2%3.9%0.0%1.6%-1.1%117.0K-1.9M-5.8K0.00111.03N/AN/A10387224
2023-08-31$115.09$100.0027.3%7.8%24.3%14.3%0.0%6.4%3.7%90.0K-2.0M-5.5K0.00111.27N/AN/A10388224