CXM Options History — September 2023

In September 2023, CXM traded between $13.79 and $16.16. ATM implied volatility averaged 41.5%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 8.7% (HV 20d: 32.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2023-09-06: Highest Volume — 2,295 contracts
  • 2023-09-07: Largest IV drop — 55.7% change
  • 2023-09-06: Highest IV Rank — 34.2%
  • 2023-09-01: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.93$13.79$16.16$15.39$13.79
Max Pain$14.88$12.50$15.00$12.50$15.00
ATM IV41.5%26.2%84.5%61.7%38.6%
Expected Move11.0%9.5%17.7%17.7%11.1%
HV 20d32.8%25.4%37.1%28.5%36.2%
HV 60d36.7%35.7%39.4%37.0%36.5%
IV Rank10.4%1.9%34.2%21.6%8.8%
IV Percentile18.6%0.4%94.8%67.9%11.5%
Term Structure-1.6%-16.6%1.8%-16.6%-2.0%
VWIV38.1%28.8%63.2%63.2%40.4%
Skew 25d4.8%-10.3%15.4%6.1%1.6%
Skew 10d9.8%-16.5%26.0%26.0%8.9%
Call IV 25d34.5%24.6%64.3%64.3%38.8%
Put IV 25d39.2%25.7%70.3%70.3%40.3%
Bid-Ask Spread %31.184.0354.2827.8052.04
Gamma HHI0.360.300.390.360.39
Net GEX80.4K48.5K120.7K88.2K59.5K
Net DEX-2.1M-4.3M-633.7K-2.9M-633.7K
Net VEX-12.0K-13.9K-10.1K-12.9K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.013.140.040.98
Total Volume526.95372,295435166
Total OI7,333.55,6569,0915,6567,065

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$15.39$12.5061.7%17.7%28.5%21.6%63.2%6.1%-16.6%88.2K-2.9M-12.9K0.0427.80419164,5411,115
2023-09-05$15.89$15.0076.6%13.3%29.6%29.8%45.9%4.9%-3.7%103.4K-3.5M-12.8K0.0441.651,025414,7801,125
2023-09-06$15.77$15.0084.5%14.0%25.7%34.2%47.8%4.0%-4.2%118.9K-3.7M-13.7K0.2628.321,8194765,3271,132
2023-09-07$15.98$15.0037.4%10.6%25.6%8.1%35.3%2.4%-2.7%120.7K-3.8M-13.9K0.3047.791,2113696,4781,986
2023-09-08$16.16$15.0026.2%10.1%25.4%1.9%32.8%4.1%-0.5%96.0K-4.3M-13.1K0.196.09149286,8182,134
2023-09-11$15.95$15.0031.5%10.1%26.6%4.9%33.9%2.5%-0.2%90.2K-3.9M-12.8K0.0547.40376196,8232,127
2023-09-12$14.80$15.0041.5%9.7%37.0%10.4%33.7%12.0%0.8%80.5K-1.7M-12.3K1.545.545668726,9472,112
2023-09-13$14.77$15.0034.8%10.0%36.9%6.7%34.4%13.7%-0.0%80.1K-1.7M-12.1K0.2812.70235666,9732,018
2023-09-14$14.98$15.0033.2%9.5%37.1%5.8%28.8%15.4%0.7%89.9K-2.0M-12.3K0.0913.38209197,0222,025
2023-09-15$14.93$15.0033.1%9.5%35.4%5.8%33.7%0.2%0.9%88.0K-1.6M-11.9K3.144.572216937,0602,031
2023-09-18$14.89$15.0033.9%9.7%35.4%6.2%33.9%-10.3%-0.2%74.6K-1.7M-11.8K0.124.035164,7781,580
2023-09-19$14.77$15.0033.6%9.6%34.5%6.1%32.8%1.9%1.8%72.0K-1.6M-11.7K0.3347.5539134,7811,581
2023-09-20$14.75$15.0033.4%9.6%34.0%5.9%33.4%1.6%1.3%71.0K-1.5M-11.5K0.0349.194014,7781,589
2023-09-21$14.38$15.0036.5%10.5%35.2%7.7%36.5%9.4%-1.0%58.9K-1.1M-10.8K0.3253.18234754,7951,590
2023-09-22$14.39$15.0035.8%10.3%35.1%7.3%35.8%-2.3%0.7%61.4K-1.2M-11.4K0.0423.295724,9071,624
2023-09-25$14.27$15.0038.2%10.9%33.9%8.6%38.2%8.3%-0.7%56.2K-962.3K-10.8K0.0341.193714,9091,626
2023-09-26$14.02$15.0041.1%11.8%34.4%10.2%41.1%1.9%-3.5%48.5K-715.4K-10.4K0.0116.0553044,9111,625
2023-09-27$14.32$15.0039.7%11.4%35.0%9.4%40.4%7.8%-1.1%72.5K-1.3M-11.5K0.0147.6641345,2711,627
2023-09-28$14.30$15.0039.3%11.3%34.8%9.2%39.8%10.2%-1.8%77.1K-1.3M-11.6K0.1954.283165,4321,627
2023-09-29$13.79$15.0038.6%11.1%36.2%8.8%40.4%1.6%-2.0%59.5K-633.7K-10.1K0.9852.0484825,4381,627