CIGI Options History — January 2024

In January 2024, CIGI traded between $109.52 and $121.76. ATM implied volatility averaged 38.4%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 6.1% (HV 20d: 32.2%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 6.54.

Notable Days

  • 2024-01-04: Highest Volume — 1,003 contracts
  • 2024-01-08: Largest IV spike — 23.8% change
  • 2024-01-18: Highest IV Rank — 56.1%
  • 2024-01-18: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$115.73$109.52$121.76$121.76$117.82
Max Pain$101.43$100.00$115.00$115.00$100.00
ATM IV38.4%25.5%45.6%34.6%41.9%
Expected Move11.5%7.6%13.1%9.9%12.0%
HV 20d32.2%26.6%36.6%30.4%26.6%
HV 60d40.3%36.9%41.0%39.5%36.9%
IV Rank40.9%13.6%56.1%32.8%48.3%
IV Percentile76.8%23.0%95.6%65.9%87.7%
Term Structure-4.4%-9.9%10.5%4.9%-8.0%
VWIV37.2%19.6%45.4%19.6%43.3%
Skew 25d2.6%-5.3%14.3%-5.3%2.0%
Skew 10d5.5%0.0%13.1%2.1%8.2%
Call IV 25d38.4%27.5%44.9%38.9%40.6%
Put IV 25d41.0%28.8%48.5%33.6%42.6%
Bid-Ask Spread %88.7279.77103.85103.8590.77
Gamma HHI0.510.150.710.150.67
Net GEX506.2K15.9K936.3K23.1K824.0K
Net DEX-5.9M-10.2M-1.6M-2.5M-8.2M
Net VEX-23.0K-30.2K-8.2K-8.2K-23.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.540.0093.000.001.71
Total Volume157.76201,0034019
Total OI2,350.3818843,1508982,940

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$121.76$115.0034.6%9.9%30.4%32.8%19.6%-5.3%4.9%23.1K-2.5M-8.2K0.00103.85N/AN/A400587311
2024-01-03$116.78$115.0026.3%7.6%34.9%15.3%0.0%1.2%10.5%15.9K-1.9M-9.1K0.00102.10N/AN/A100573311
2024-01-04$113.96$100.0030.9%11.8%36.3%25.1%39.3%3.2%-3.2%17.5K-1.6M-9.1K0.0082.76N/AN/A1,0030583311
2024-01-05$114.38$100.0025.5%11.5%35.9%13.6%0.0%1.0%-5.4%330.9K-5.4M-23.1K93.0083.35N/AN/A1931,576311
2024-01-08$115.63$100.0031.6%11.1%36.0%26.4%38.7%14.3%-2.1%320.1K-5.5M-25.4K0.0681.35N/AN/A3121,577404
2024-01-09$114.17$100.0038.7%11.3%36.4%41.6%0.0%-3.6%-4.4%310.2K-4.9M-25.0K0.0085.16N/AN/A001,600406
2024-01-10$113.41$100.0042.5%12.2%36.4%49.6%0.0%4.0%-6.8%301.1K-4.5M-23.4K0.0079.77N/AN/A001,600406
2024-01-11$112.56$100.0041.5%11.9%36.6%47.5%45.4%3.8%-5.3%294.6K-3.8M-22.0K0.0082.05N/AN/A031,600406
2024-01-12$111.58$100.0041.8%12.0%33.2%48.0%42.2%2.0%-4.7%276.7K-3.6M-21.7K0.0084.93N/AN/A83911,600408
2024-01-16$111.48$100.0043.0%12.3%28.2%50.6%0.0%5.9%-7.3%470.2K-4.8M-27.2K0.0080.91N/AN/A22202,411409
2024-01-17$109.52$100.0043.2%12.4%28.7%51.0%42.6%5.4%-4.9%397.2K-3.9M-24.0K0.0082.45N/AN/A102,623397
2024-01-18$112.03$100.0045.6%13.1%29.5%56.1%0.0%5.9%-7.3%495.6K-5.0M-26.3K0.0085.81N/AN/A022,622397
2024-01-19$115.71$100.0042.0%12.0%31.6%48.4%44.9%6.0%-9.9%665.8K-7.9M-30.2K0.0080.33N/AN/A1802,622397
2024-01-22$117.33$100.0038.3%11.0%32.1%40.6%22.3%0.2%-5.8%719.1K-7.9M-27.5K11.0090.97N/AN/A1112,354382
2024-01-23$117.04$100.0037.9%10.9%31.8%39.8%35.5%-0.8%-5.3%809.4K-7.6M-26.6K5.0097.02N/AN/A152,354392
2024-01-24$117.93$100.0037.2%10.7%31.5%38.3%36.1%0.5%-3.1%804.4K-8.1M-26.8K0.0197.11N/AN/A20222,355393
2024-01-25$118.84$100.0040.0%11.5%31.3%44.3%35.1%-0.2%-4.6%817.2K-9.1M-26.8K0.0494.05N/AN/A14762,456394
2024-01-26$119.37$100.0041.6%11.9%29.6%47.6%36.6%0.2%-7.6%878.7K-9.5M-26.4K0.0194.06N/AN/A36232,409394
2024-01-29$120.47$100.0040.7%11.7%30.0%45.8%0.0%5.2%-3.3%921.9K-10.2M-25.9K0.0091.60N/AN/A28312,754396
2024-01-30$118.58$100.0041.5%11.9%30.3%47.4%39.1%3.0%-8.4%936.3K-8.7M-24.2K0.3392.75N/AN/A312,540397
2024-01-31$117.82$100.0041.9%12.0%26.6%48.3%43.3%2.0%-8.0%824.0K-8.2M-23.4K1.7190.77N/AN/A7122,542398