CIGI Options History — August 2024

In August 2024, CIGI traded between $131.76 and $145.47. ATM implied volatility averaged 26.5%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 3.1% (HV 20d: 29.6%). Max pain ranged from $115.00 to $135.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2024-08-12: Highest Volume — 203 contracts
  • 2024-08-14: Largest IV drop — 50.9% change
  • 2024-08-13: Highest IV Rank — 62.1%
  • 2024-08-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$138.60$131.76$145.47$139.74$143.19
Max Pain$130.23$115.00$135.00$115.00$135.00
ATM IV26.5%19.0%49.6%27.2%19.1%
Expected Move6.8%5.5%9.3%7.8%5.5%
HV 20d29.6%20.4%34.3%28.1%20.4%
HV 60d27.7%27.0%28.3%27.0%27.3%
IV Rank15.2%0.0%62.1%16.7%0.1%
IV Percentile26.5%0.4%96.4%31.7%0.8%
Term Structure2.5%-3.5%6.5%-3.5%-1.3%
VWIV27.4%18.8%36.2%34.7%29.5%
Skew 25d1.7%-6.0%6.7%3.1%-0.6%
Skew 10d1.5%-9.5%14.2%-2.2%-3.6%
Call IV 25d25.4%21.6%32.7%31.7%26.5%
Put IV 25d27.0%16.2%35.7%34.9%25.9%
Bid-Ask Spread %110.67102.13113.73111.28113.73
Gamma HHI0.200.120.300.250.12
Net GEX128.0K36.6K334.2K103.0K44.7K
Net DEX-7.1M-13.7M-1.3M-13.7M-1.5M
Net VEX-5.9K-8.6K-4.7K-5.6K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.002.100.002.00
Total Volume17.5450203530
Total OI781.8642491,2351,228332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$139.74$115.0027.2%7.8%28.1%16.7%34.7%3.1%-3.5%103.0K-13.7M-5.6K0.00111.28N/AN/A051,097131
2024-08-02$135.27$115.0028.6%8.2%31.7%19.4%0.0%1.6%1.4%210.3K-12.6M-7.1K0.00111.69N/AN/A031,097133
2024-08-05$132.73$130.0032.4%9.3%33.2%27.3%30.5%0.1%2.1%298.1K-11.5M-8.4K0.00102.13N/AN/A031,097136
2024-08-06$134.39$130.0030.2%7.9%33.3%22.7%0.0%6.7%5.5%260.1K-12.1M-7.6K0.00107.62N/AN/A001,097136
2024-08-07$131.76$130.0032.6%8.5%34.3%27.5%36.2%6.6%3.0%334.2K-11.0M-8.6K0.00105.13N/AN/A011,097136
2024-08-08$134.56$130.0030.7%7.9%31.5%23.7%0.0%3.4%4.8%213.9K-12.5M-6.3K0.00108.30N/AN/A011,097137
2024-08-09$133.87$130.0035.2%7.3%31.4%32.8%0.0%2.2%6.5%288.6K-12.0M-6.9K0.00109.30N/AN/A011,097137
2024-08-12$132.87$130.0043.9%7.5%31.5%50.7%0.0%5.4%5.7%199.3K-12.3M-5.5K0.00109.24N/AN/A20301,097138
2024-08-13$135.97$130.0049.6%7.0%30.9%62.1%27.2%5.4%4.6%111.1K-12.8M-4.8K0.00109.78N/AN/A1001,080138
2024-08-14$135.87$130.0024.3%7.0%30.9%10.8%0.0%-0.9%4.3%172.2K-10.4M-5.2K0.00110.19N/AN/A010926138
2024-08-15$136.94$130.0023.0%6.6%30.9%8.1%0.0%0.7%0.8%149.6K-10.6M-5.0K0.00111.31N/AN/A010926148
2024-08-16$138.01$130.0019.4%5.6%30.9%0.8%19.8%0.3%3.3%37.8K-10.8M-4.7K1.00112.26N/AN/A1010926158
2024-08-19$140.21$130.0021.2%6.1%31.3%4.5%0.0%-6.0%1.6%45.4K-1.4M-4.8K0.00112.22N/AN/A0019653
2024-08-20$139.10$130.0020.9%6.0%31.4%3.8%0.0%-0.6%1.7%43.9K-1.3M-5.0K2.10112.54N/AN/A102119653
2024-08-21$140.84$130.0021.4%6.1%31.2%4.8%24.4%-0.1%4.5%42.1K-1.3M-5.5K0.00111.75N/AN/A0320674
2024-08-22$142.19$135.0019.0%5.5%27.6%0.0%0.0%0.3%4.6%42.6K-1.4M-5.5K0.00113.29N/AN/A1020677
2024-08-23$145.22$135.0020.1%5.8%27.9%2.2%0.0%-1.0%4.6%47.1K-1.7M-5.3K0.00112.47N/AN/A2020777
2024-08-26$145.47$135.0021.4%6.1%27.3%4.8%18.8%5.0%0.5%47.9K-1.6M-5.4K0.00112.78N/AN/A02020777
2024-08-27$145.13$135.0021.5%6.2%25.6%5.0%0.0%5.5%-0.2%44.2K-1.6M-5.2K0.00112.64N/AN/A10020797
2024-08-28$143.24$135.0020.5%5.9%26.2%3.0%25.3%-1.6%1.7%42.4K-1.5M-5.5K0.00111.81N/AN/A01221797
2024-08-29$142.58$135.0021.1%6.1%24.0%4.3%0.0%1.7%-0.6%36.6K-1.4M-5.6K0.00113.34N/AN/A100217105
2024-08-30$143.19$135.0019.1%5.5%20.4%0.1%29.5%-0.6%-1.3%44.7K-1.5M-5.5K2.00113.73N/AN/A1020227105