CIGI Options History — October 2023

In October 2023, CIGI traded between $87.28 and $95.98. ATM implied volatility averaged 40.3%, placing in the 37.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 15.5% (HV 20d: 24.8%). Max pain ranged from $90.00 to $115.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.99.

Notable Days

  • 2023-10-20: Highest Volume — 322 contracts
  • 2023-10-18: Largest IV spike — 40.2% change
  • 2023-10-24: Highest IV Rank — 58.4%
  • 2023-10-24: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.41$87.28$95.98$93.22$90.61
Max Pain$96.14$90.00$115.00$115.00$90.00
ATM IV40.3%31.6%52.5%31.6%52.2%
Expected Move11.7%9.1%15.1%9.1%15.0%
HV 20d24.8%20.2%28.2%26.7%21.5%
HV 60d30.5%24.6%33.3%33.3%24.6%
IV Rank37.0%21.9%58.4%21.9%57.7%
IV Percentile74.2%46.4%97.2%46.4%96.8%
Term Structure-2.8%-13.7%9.7%4.6%-8.3%
VWIV42.2%32.7%53.7%34.1%53.7%
Skew 25d5.3%-1.9%14.4%12.4%7.2%
Skew 10d13.2%-7.9%32.5%23.2%7.4%
Call IV 25d41.3%28.6%54.4%31.5%51.2%
Put IV 25d46.6%33.2%62.0%43.9%58.4%
Bid-Ask Spread %89.4170.95106.7596.8275.27
Gamma HHI0.320.190.550.210.55
Net GEX-8.7K-49.7K78.2K-36.2K58.1K
Net DEX542.1K-454.2K1.2M909.4K-454.2K
Net VEX-5.9K-8.9K-4.5K-4.9K-8.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.0015.000.000.21
Total Volume35.318032280
Total OI683.3645411,0045411,004

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$93.22$115.0031.6%9.1%26.7%21.9%0.0%12.4%4.6%-36.2K909.4K-4.9K0.0096.82N/AN/A80277264
2023-10-03$93.00$115.0035.1%10.1%26.5%28.0%0.0%3.8%3.5%-33.7K884.0K-5.1K0.0095.27N/AN/A05281264
2023-10-04$93.77$115.0034.5%9.9%27.2%26.9%0.0%1.5%1.9%-40.1K882.2K-4.8K1.50106.75N/AN/A23281269
2023-10-05$94.88$95.0032.5%10.1%28.1%23.3%34.1%2.5%-2.0%-35.5K786.5K-5.1K6.0093.86N/AN/A16283272
2023-10-06$95.38$95.0034.3%11.1%28.2%26.5%0.0%7.0%-0.5%-36.1K783.5K-5.1K0.0086.07N/AN/A00284272
2023-10-09$95.98$95.0037.0%10.3%27.2%31.2%0.0%3.5%1.5%-38.7K774.1K-5.0K0.0093.28N/AN/A00284271
2023-10-10$94.97$95.0033.3%11.8%27.2%24.7%0.0%5.9%-5.7%-39.1K807.5K-4.9K0.0089.41N/AN/A00284271
2023-10-11$95.11$95.0037.9%10.9%26.3%32.8%0.0%6.3%-2.1%-39.6K786.1K-4.9K0.0092.49N/AN/A10284271
2023-10-12$94.16$95.0032.4%9.3%25.2%23.3%38.7%-1.9%9.7%-41.7K835.3K-4.7K0.00103.70N/AN/A06285271
2023-10-13$91.47$95.0038.9%11.1%25.9%34.5%38.0%5.0%-1.5%-40.9K961.4K-4.7K0.0092.12N/AN/A010285277
2023-10-16$92.41$95.0035.3%10.1%26.6%28.4%0.0%5.3%-0.1%-49.7K955.3K-4.5K0.0094.77N/AN/A01285277
2023-10-17$91.26$95.0032.4%9.3%26.4%23.2%32.7%4.1%-2.2%-46.4K991.4K-4.5K0.2089.39N/AN/A102285276
2023-10-18$88.83$95.0045.4%13.0%27.2%45.9%53.7%12.9%-5.2%-37.7K1.1M-4.5K15.0091.73N/AN/A230295278
2023-10-19$87.82$95.0048.9%14.0%23.6%52.0%0.0%0.1%-13.4%-41.3K1.2M-5.1K0.0095.24N/AN/A01297306
2023-10-20$87.28$95.0041.5%11.9%23.6%39.0%44.6%4.1%-5.4%-41.1K1.2M-5.0K0.0788.59N/AN/A30220297307
2023-10-23$87.61$90.0052.0%14.9%23.7%57.4%0.0%0.2%-5.9%38.9K-194.5K-7.7K0.0090.05N/AN/A2890456300
2023-10-24$88.77$90.0052.5%15.1%20.7%58.4%0.0%4.8%-13.7%45.6K-286.7K-7.8K0.0086.11N/AN/A70641300
2023-10-25$87.77$90.0045.3%13.0%20.2%45.8%53.7%3.4%-3.6%65.6K-159.0K-8.0K0.8679.04N/AN/A2219648300
2023-10-26$88.83$90.0038.5%11.0%21.1%33.9%0.0%8.9%0.6%78.2K-245.9K-8.9K0.0083.28N/AN/A10670314
2023-10-27$88.03$90.0047.1%13.5%21.1%48.9%0.0%4.9%-7.0%54.7K-131.9K-8.4K0.0072.78N/AN/A00670314
2023-10-30$89.87$90.0048.2%13.8%21.2%50.9%0.0%14.4%-5.9%65.4K-370.8K-8.2K0.2170.95N/AN/A245670314
2023-10-31$90.61$90.0052.2%15.0%21.5%57.7%0.0%7.2%-8.3%58.1K-454.2K-8.3K0.0075.27N/AN/A00687317