CIGI Options History — February 2024

In February 2024, CIGI traded between $110.31 and $129.42. ATM implied volatility averaged 35.5%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.9% (HV 20d: 38.4%). Max pain ranged from $110.00 to $125.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2024-02-15: Highest Volume — 1,178 contracts
  • 2024-02-07: Largest IV drop — 38.8% change
  • 2024-02-05: Highest IV Rank — 100.0%
  • 2024-02-06: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$120.18$110.31$129.42$118.46$115.79
Max Pain$114.75$110.00$125.00$110.00$115.00
ATM IV35.5%26.4%68.2%44.6%30.2%
Expected Move9.0%7.6%12.0%9.3%8.6%
HV 20d38.4%21.0%49.5%22.1%49.5%
HV 60d33.5%28.7%37.0%28.7%36.8%
IV Rank33.6%14.9%100.0%54.0%22.5%
IV Percentile56.4%28.6%100.0%93.7%47.6%
Term Structure-0.0%-7.4%6.5%0.0%-1.0%
VWIV37.0%27.0%61.9%41.2%31.5%
Skew 25d3.3%-0.4%11.7%1.7%2.1%
Skew 10d5.7%-6.5%22.5%0.4%14.4%
Call IV 25d31.1%23.4%40.7%32.4%31.4%
Put IV 25d34.4%28.0%43.2%34.1%33.5%
Bid-Ask Spread %89.9980.12103.6884.0893.88
Gamma HHI0.540.200.880.660.21
Net GEX797.5K36.0K3.2M820.7K104.3K
Net DEX-6.7M-22.9M-1.4M-8.4M-1.4M
Net VEX-14.9K-23.3K-7.0K-23.3K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.008.008.000.00
Total Volume143.1501,17890
Total OI2,348.651,1583,2382,9551,567

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$118.46$110.0044.6%9.3%22.1%54.0%0.0%1.7%0.0%820.7K-8.4M-23.3K8.0084.08N/AN/A182,549406
2024-02-02$116.56$110.0049.7%9.6%21.0%64.9%41.2%1.1%-1.9%697.4K-7.5M-23.0K0.3387.43N/AN/A312,549412
2024-02-05$113.71$110.0068.2%11.3%22.9%100.0%39.8%6.0%-7.2%535.4K-6.5M-21.0K0.4083.64N/AN/A1042,551413
2024-02-06$111.81$110.0067.8%12.0%23.2%99.2%48.2%1.5%-7.4%442.7K-6.0M-20.7K0.0080.12N/AN/A1402,561414
2024-02-07$110.31$110.0041.5%11.9%23.2%45.6%0.0%4.3%-4.5%384.9K-3.0M-15.5K0.1391.18N/AN/A4862,571414
2024-02-08$119.79$110.0030.0%8.6%37.7%22.2%61.9%1.9%6.5%1.2M-7.5M-18.4K0.1588.37N/AN/A155232,574404
2024-02-09$122.35$110.0028.4%8.1%38.1%18.9%27.4%5.0%4.3%1.9M-10.0M-17.9K1.0089.48N/AN/A222,720414
2024-02-12$124.17$110.0026.4%7.6%37.9%14.9%27.0%2.8%5.7%2.7M-13.1M-15.4K0.0492.50N/AN/A8032,720414
2024-02-13$120.20$110.0029.3%8.4%40.2%20.7%0.0%2.5%2.6%1.5M-6.1M-12.1K0.0086.72N/AN/A5702,755417
2024-02-14$124.57$110.0030.0%8.6%40.9%22.2%0.0%6.7%1.9%3.2M-13.5M-13.1K0.0086.36N/AN/A6502,772417
2024-02-15$129.42$110.0028.9%8.3%42.1%20.1%0.0%2.8%-0.2%1.5M-22.9M-9.5K0.0084.94N/AN/A1,17352,821417
2024-02-16$129.33$125.0027.3%7.8%41.1%16.7%35.2%6.3%3.3%36.0K-11.7M-7.0K0.0286.31N/AN/A608121,652431
2024-02-20$124.97$125.0028.0%8.0%43.3%18.1%0.0%4.6%-1.7%168.3K-3.0M-12.9K0.0095.72N/AN/A20897262
2024-02-21$123.25$125.0031.4%9.0%43.7%25.0%27.9%-0.1%-6.1%131.9K-2.7M-12.6K1.9492.71N/AN/A85165896262
2024-02-22$126.56$125.0029.3%8.4%44.5%20.8%0.0%2.7%5.8%174.5K-3.3M-13.2K0.0092.89N/AN/A02980409
2024-02-23$119.66$125.0029.0%8.3%49.2%20.2%29.5%1.9%-0.5%76.7K-1.8M-9.9K1.2985.07N/AN/A103133980409
2024-02-26$118.57$115.0029.3%8.4%49.3%20.7%0.0%-0.4%4.8%87.7K-1.8M-13.5K0.0091.68N/AN/A2001,016469
2024-02-27$118.45$115.0030.1%8.6%49.1%22.4%31.5%1.0%-4.3%84.3K-1.8M-12.3K0.05103.00N/AN/A6231,029469
2024-02-28$115.71$115.0030.3%8.7%49.5%22.9%0.0%11.7%-0.4%127.1K-1.9M-14.4K0.00103.68N/AN/A801,091469
2024-02-29$115.79$115.0030.2%8.6%49.5%22.5%0.0%2.1%-1.0%104.3K-1.4M-12.7K0.0093.88N/AN/A001,098469