CIGI Options History — September 2023

In September 2023, CIGI traded between $95.69 and $116.01. ATM implied volatility averaged 30.0%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 7.5% (HV 20d: 22.5%). Max pain ranged from $100.00 to $120.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.88.

Notable Days

  • 2023-09-18: Highest Volume — 103 contracts
  • 2023-09-13: Largest IV drop — 37.3% change
  • 2023-09-11: Highest IV Rank — 46.1%
  • 2023-09-27: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$108.26$95.69$116.01$115.75$95.69
Max Pain$116.75$100.00$120.00$100.00$115.00
ATM IV30.0%22.0%45.5%23.9%30.7%
Expected Move7.6%6.2%9.9%6.9%8.8%
HV 20d22.5%16.4%28.1%24.3%26.6%
HV 60d31.4%30.5%33.2%30.6%33.0%
IV Rank19.0%5.1%46.1%8.4%20.2%
IV Percentile36.2%4.0%87.7%9.1%44.0%
Term Structure5.9%1.4%11.4%8.8%6.8%
VWIV33.2%21.0%55.6%30.2%55.6%
Skew 25d4.1%-3.1%9.9%-1.4%-3.1%
Skew 10d7.3%-14.2%24.3%-6.6%24.3%
Call IV 25d28.3%22.1%39.8%33.7%39.8%
Put IV 25d32.4%23.4%40.5%32.3%36.7%
Bid-Ask Spread %98.3692.46108.27107.1298.78
Gamma HHI0.480.140.910.580.19
Net GEX89.8K-28.8K497.3K90.5K-28.8K
Net DEX-879.9K-2.5M771.1K-2.3M771.1K
Net VEX-4.8K-5.9K-4.3K-4.8K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.002.502.500.00
Total Volume9.9010311
Total OI559.55405625613541

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$115.75$100.0023.9%6.9%24.3%8.4%0.0%-1.4%8.8%90.5K-2.3M-4.8K0.00107.12N/AN/A01389224
2023-09-05$115.91$120.0032.5%7.4%22.2%23.3%30.2%4.0%6.9%111.5K-2.2M-5.9K2.5097.28N/AN/A25389225
2023-09-06$115.63$120.0029.3%6.2%21.9%17.9%0.0%0.7%8.1%96.9K-2.3M-4.5K0.00108.27N/AN/A01391223
2023-09-07$113.59$120.0028.6%7.2%17.3%16.6%0.0%4.4%2.6%160.7K-2.1M-4.6K1.0098.83N/AN/A22391224
2023-09-08$114.06$120.0034.6%6.5%17.4%27.1%0.0%-0.9%9.6%95.6K-1.7M-5.2K0.00105.19N/AN/A00392226
2023-09-11$116.01$120.0045.5%6.8%17.5%46.1%0.0%3.7%2.8%189.8K-2.5M-4.4K0.0096.85N/AN/A00392226
2023-09-12$115.04$120.0042.7%6.7%16.4%41.2%0.0%4.3%10.4%98.3K-2.3M-4.4K0.0092.46N/AN/A00392226
2023-09-13$111.61$120.0026.8%7.7%20.3%13.4%24.6%9.1%3.2%273.5K-1.8M-4.7K0.00100.42N/AN/A05392226
2023-09-14$112.92$120.0023.2%6.6%20.6%7.1%0.0%2.2%5.7%198.6K-2.0M-4.3K0.0097.75N/AN/A02392231
2023-09-15$110.72$120.0024.0%6.9%21.1%8.5%21.0%3.7%2.6%497.3K-1.5M-4.3K0.0096.71N/AN/A03392233
2023-09-18$110.91$120.0024.1%6.9%20.5%8.8%28.7%2.1%7.2%-8.7K33.3K-4.3K0.0395.06N/AN/A1003180225
2023-09-19$108.85$115.0022.0%6.3%21.7%5.1%35.9%9.7%7.6%40.8K-193.9K-4.9K0.00101.80N/AN/A05280222
2023-09-20$108.04$115.0024.0%6.9%21.5%8.6%0.0%8.0%6.8%32.5K-62.0K-5.2K0.0092.63N/AN/A03280227
2023-09-21$103.19$115.0029.7%8.5%25.7%18.5%0.0%6.4%2.4%-2.1K308.5K-4.8K0.0096.00N/AN/A03280230
2023-09-22$102.73$115.0033.4%9.6%25.6%25.0%0.0%-2.6%1.7%3.5K221.5K-5.1K0.0098.14N/AN/A02280230
2023-09-25$102.95$115.0027.6%7.9%25.4%14.8%36.8%3.9%11.4%-449272.5K-4.7K0.0093.61N/AN/A01280232
2023-09-26$98.53$115.0030.7%8.8%28.1%20.3%0.0%9.1%6.4%-11.8K502.6K-4.8K0.0094.88N/AN/A210280232
2023-09-27$96.71$115.0034.7%9.9%27.9%27.2%0.0%8.8%1.4%-23.4K633.1K-4.5K0.0096.93N/AN/A03277231
2023-09-28$96.40$115.0031.9%9.1%27.4%22.4%55.6%9.9%5.7%-17.4K573.8K-4.7K0.0098.52N/AN/A033277231
2023-09-29$95.69$115.0030.7%8.8%26.6%20.2%0.0%-3.1%6.8%-28.8K771.1K-5.2K0.0098.78N/AN/A01277264