CIGI Options History — March 2024

In March 2024, CIGI traded between $117.22 and $124.76. ATM implied volatility averaged 29.2%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 3.7% (HV 20d: 32.8%). Max pain ranged from $115.00 to $120.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.14.

Notable Days

  • 2024-03-05: Highest Volume — 21 contracts
  • 2024-03-25: Largest IV spike — 47.7% change
  • 2024-03-11: Highest IV Rank — 46.2%
  • 2024-03-01: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.82$117.22$124.76$117.22$122.73
Max Pain$116.75$115.00$120.00$115.00$115.00
ATM IV29.2%19.0%41.8%31.5%24.2%
Expected Move7.8%5.5%9.0%9.0%6.9%
HV 20d32.8%17.8%49.6%49.6%17.8%
HV 60d35.4%33.6%36.9%36.8%33.6%
IV Rank20.5%0.0%46.2%25.2%10.6%
IV Percentile39.7%0.0%86.9%54.4%14.3%
Term Structure6.1%-0.0%13.0%-0.0%7.7%
VWIV25.8%19.5%31.3%25.9%24.4%
Skew 25d1.9%-1.8%5.6%2.9%2.2%
Skew 10d1.2%-6.1%6.7%-4.3%6.7%
Call IV 25d26.9%22.2%32.3%27.6%23.9%
Put IV 25d28.8%24.0%32.3%30.5%26.1%
Bid-Ask Spread %103.8690.02107.7690.02102.95
Gamma HHI0.230.140.410.190.15
Net GEX125.9K35.7K288.4K109.5K54.4K
Net DEX-2.0M-2.8M-1.6M-1.6M-2.1M
Net VEX-10.0K-13.6K-7.2K-11.6K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.000.000.00
Total Volume4.8502121
Total OI1,439.71,2301,6321,5731,249

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$117.22$115.0031.5%9.0%49.6%25.2%25.9%2.9%-0.0%109.5K-1.6M-11.6K0.0090.02N/AN/A201,104469
2024-03-04$118.75$120.0032.0%7.9%49.5%26.4%31.3%4.2%6.7%152.4K-2.3M-13.6K0.0097.53N/AN/A201,106469
2024-03-05$117.37$120.0032.4%8.5%48.8%27.1%0.0%1.8%2.4%148.1K-1.9M-13.2K0.17103.73N/AN/A1831,108469
2024-03-06$117.44$120.0039.1%8.9%48.3%40.7%0.0%-1.8%4.3%124.9K-2.0M-12.1K0.00107.30N/AN/A001,124472
2024-03-07$117.84$120.0030.3%8.7%48.0%22.9%0.0%0.9%4.7%138.6K-1.8M-10.9K1.00106.72N/AN/A221,124472
2024-03-08$117.33$120.0039.0%8.0%37.8%40.5%0.0%0.8%6.7%117.6K-1.8M-11.6K0.00105.24N/AN/A001,124474
2024-03-11$117.53$120.0041.8%8.6%36.9%46.2%0.0%0.8%5.3%150.0K-1.9M-11.7K0.00106.75N/AN/A001,124474
2024-03-12$119.13$120.0030.5%8.1%36.8%23.3%29.8%3.0%6.6%202.7K-2.1M-11.1K0.0095.75N/AN/A2001,124474
2024-03-13$119.59$115.0029.1%8.4%35.1%20.5%24.9%2.0%2.9%208.2K-2.5M-11.3K0.25106.87N/AN/A1231,141474
2024-03-14$119.55$115.0029.7%8.5%32.4%21.6%0.0%2.2%3.1%271.0K-2.1M-9.9K0.00106.87N/AN/A061,153476
2024-03-15$119.03$115.0025.6%7.3%28.7%13.2%24.7%1.9%7.9%288.4K-1.8M-8.9K0.00102.43N/AN/A301,153479
2024-03-18$118.65$115.0027.3%7.8%28.7%16.8%0.0%1.4%4.8%41.5K-1.7M-8.0K0.08105.12N/AN/A121896334
2024-03-19$119.22$115.0027.8%8.0%26.5%17.8%0.0%0.4%6.7%51.7K-1.6M-9.1K0.17107.24N/AN/A61908333
2024-03-20$122.82$115.0023.5%6.7%28.4%9.1%0.0%2.2%10.4%100.7K-2.4M-9.2K0.00107.76N/AN/A00913333
2024-03-21$124.76$115.0028.5%8.2%27.3%19.1%0.0%-0.1%2.4%141.7K-2.8M-9.8K0.00104.43N/AN/A20913333
2024-03-22$122.52$115.0019.5%5.6%19.3%0.8%19.5%0.4%11.5%62.0K-2.2M-7.6K0.00104.40N/AN/A10915333
2024-03-25$121.77$115.0028.8%8.3%19.1%19.8%0.0%5.6%4.8%59.2K-1.9M-8.2K0.00104.58N/AN/A00916333
2024-03-26$120.67$115.0023.4%6.7%19.4%8.8%0.0%3.6%13.0%35.7K-1.8M-7.4K0.00107.28N/AN/A00916333
2024-03-27$122.54$115.0019.0%5.5%17.8%0.0%0.0%4.1%9.6%59.4K-2.1M-7.4K0.00104.16N/AN/A00916333
2024-03-28$122.73$115.0024.2%6.9%17.8%10.6%24.4%2.2%7.7%54.4K-2.1M-7.2K0.00102.95N/AN/A10916333