CIGI Options History — November 2023

In November 2023, CIGI traded between $85.61 and $108.51. ATM implied volatility averaged 28.4%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 25.0% (HV 20d: 53.4%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2023-11-02: Highest Volume — 125 contracts
  • 2023-11-06: Largest IV drop — 30.6% change
  • 2023-11-01: Highest IV Rank — 45.8%
  • 2023-11-01: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$100.81$85.61$108.51$92.37$103.95
Max Pain$89.05$80.00$95.00$90.00$90.00
ATM IV28.4%22.3%45.3%45.3%30.8%
Expected Move8.1%6.4%13.0%13.0%8.8%
HV 20d53.4%22.5%57.9%22.5%57.4%
HV 60d37.5%25.0%39.7%25.0%39.7%
IV Rank16.2%5.6%45.8%45.8%20.5%
IV Percentile32.9%5.6%91.3%91.3%50.4%
Term Structure0.7%-10.5%7.1%-6.5%-9.6%
VWIV35.7%23.9%64.7%64.7%30.0%
Skew 25d3.4%-5.0%12.2%8.1%-1.7%
Skew 10d4.5%-14.5%34.8%16.0%-0.8%
Call IV 25d31.2%23.2%44.9%44.9%30.9%
Put IV 25d34.6%26.6%53.0%53.0%29.2%
Bid-Ask Spread %93.4577.12107.9788.42107.94
Gamma HHI0.370.160.720.580.18
Net GEX41.9K-886120.1K92.3K-886
Net DEX-2.5M-4.8M169.9K-786.1K-1.4M
Net VEX-10.7K-13.1K-8.5K-8.5K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.004.500.020.00
Total Volume18.95201251060
Total OI1,021.3336991,2481,004734

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$92.37$90.0045.3%13.0%22.5%45.8%64.7%8.1%-6.5%92.3K-786.1K-8.5K0.0288.42N/AN/A1042687317
2023-11-02$85.61$95.0043.9%10.1%34.4%43.4%32.6%-2.3%1.1%80.1K169.9K-9.3K0.1978.08N/AN/A10520785319
2023-11-03$96.19$80.0034.0%7.9%55.2%25.9%55.8%12.2%3.8%89.1K-3.0M-13.1K3.3380.60N/AN/A310885333
2023-11-06$96.56$80.0023.6%8.6%55.2%7.8%32.9%7.0%1.1%85.7K-2.9M-12.5K4.5081.55N/AN/A418886322
2023-11-07$96.34$80.0023.4%8.1%55.1%7.5%25.8%7.7%1.6%83.5K-3.1M-12.5K0.0085.79N/AN/A01890335
2023-11-08$96.46$95.0028.8%8.3%55.1%16.9%28.7%8.3%3.8%85.7K-3.2M-12.3K4.0089.49N/AN/A624890336
2023-11-09$95.17$90.0026.7%7.7%55.2%13.3%0.0%2.6%7.1%120.1K-2.6M-12.5K0.0088.47N/AN/A03895345
2023-11-10$94.97$90.0026.3%7.5%54.1%12.5%0.0%-0.8%5.2%78.1K-3.1M-12.1K0.5093.72N/AN/A21895347
2023-11-13$96.92$90.0025.4%7.3%54.4%11.0%23.9%2.5%7.1%61.0K-3.4M-11.6K1.0097.76N/AN/A33897347
2023-11-14$103.00$90.0024.4%7.0%57.9%9.3%27.2%5.8%5.1%19.7K-4.5M-10.5K0.0887.30N/AN/A373899349
2023-11-15$104.86$90.0025.5%7.3%56.6%11.2%0.0%2.1%5.5%14.0K-4.8M-10.1K0.0092.19N/AN/A00890350
2023-11-16$103.48$90.0024.9%7.2%56.7%10.2%0.0%-5.0%-2.6%10.0K-4.7M-10.5K0.0096.71N/AN/A60890350
2023-11-17$103.53$90.0024.2%6.9%56.6%9.0%0.0%7.6%-3.5%9.0K-4.7M-10.1K0.0097.80N/AN/A03890350
2023-11-20$104.50$90.0023.0%6.6%56.5%6.8%0.0%0.5%0.4%6.6K-1.5M-9.6K0.00101.17N/AN/A01456243
2023-11-21$105.81$90.0022.3%6.4%56.5%5.6%0.0%-0.3%6.3%8.2K-1.5M-9.7K0.00104.01N/AN/A00456244
2023-11-22$107.81$90.0024.5%7.0%56.1%9.4%0.0%4.0%-2.2%6.6K-1.7M-9.6K0.00101.38N/AN/A034456244
2023-11-24$108.51$90.0026.6%7.6%56.1%13.1%30.0%-4.5%7.1%8.3K-1.6M-10.2K0.00102.17N/AN/A50456278
2023-11-27$107.56$90.0030.1%8.6%56.1%19.3%0.0%-2.7%-10.5%151-1.6M-9.9K0.0077.12N/AN/A00456278
2023-11-28$106.87$90.0031.8%9.1%56.3%22.1%0.0%9.1%-2.6%11.5K-1.6M-10.2K0.00107.97N/AN/A00456278
2023-11-29$106.57$90.0031.0%8.9%56.4%20.7%0.0%11.4%-2.0%11.0K-1.5M-10.5K0.00102.71N/AN/A00456278
2023-11-30$103.95$90.0030.8%8.8%57.4%20.5%0.0%-1.7%-9.6%-886-1.4M-9.9K0.00107.94N/AN/A00456278