ILCG Options History — January 2023

In January 2023, ILCG traded between $47.69 and $53.09. ATM implied volatility averaged 27.2%. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.3% (HV 20d: 20.9%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days.

Notable Days

  • 2023-01-06: Largest IV spike — 41.1% change
  • 2023-01-05: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.51$47.69$53.09$48.13$52.65
ATM IV27.2%20.8%33.6%30.2%25.5%
Expected Move7.6%6.0%9.3%8.7%7.3%
HV 20d20.9%17.7%23.8%22.8%17.7%
HV 60d22.1%22.0%22.3%22.3%22.1%
Term Structure-3.9%-11.0%6.6%-6.0%-6.8%
Skew 25d3.5%-7.2%14.2%-6.7%3.9%
Skew 10d11.0%-5.0%22.9%0.4%7.6%
Call IV 25d24.2%15.1%37.5%36.9%27.3%
Put IV 25d27.8%20.1%37.5%30.2%31.2%
Bid-Ask Spread %141.92120.11160.28135.85133.28
Gamma HHI1.001.001.001.001.00
Net GEX689478807478657
Net DEX-14.7K-19.2K-10.9K-12.0K-17.5K
Net VEX-56-59-49-59-52
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI55555

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$48.13$0.0030.2%8.7%22.8%0.0%0.0%-6.7%-6.0%478-12.0K-590.00135.85N/AN/A0050
2023-01-04$48.10$0.0031.1%8.9%21.9%0.0%0.0%-0.0%-9.7%590-11.3K-580.00131.94N/AN/A0050
2023-01-05$47.69$0.0023.8%9.3%21.4%0.0%0.0%13.4%-5.9%580-10.9K-580.00120.11N/AN/A0050
2023-01-06$48.84$0.0033.6%8.0%23.4%0.0%0.0%8.1%-1.2%628-11.3K-580.00132.31N/AN/A0050
2023-01-09$49.11$0.0032.0%7.5%23.2%0.0%0.0%7.0%-5.4%772-12.9K-580.00143.76N/AN/A0050
2023-01-10$49.28$0.0030.7%6.4%23.2%0.0%0.0%6.6%-0.2%761-12.4K-580.00142.74N/AN/A0050
2023-01-11$50.11$0.0029.4%8.4%23.8%0.0%0.0%5.0%-11.0%749-13.7K-580.00132.86N/AN/A0050
2023-01-12$50.43$0.0028.1%8.1%23.4%0.0%0.0%2.8%-2.3%681-14.1K-580.00151.88N/AN/A0050
2023-01-13$50.82$0.0021.4%6.1%23.4%0.0%0.0%5.0%0.9%735-14.3K-580.00139.25N/AN/A0050
2023-01-17$50.95$0.0028.7%8.2%20.6%0.0%0.0%3.0%-3.4%638-15.3K-560.00158.45N/AN/A0050
2023-01-18$50.36$0.0030.0%8.6%20.7%0.0%0.0%2.2%-5.4%692-14.9K-560.00160.28N/AN/A0050
2023-01-19$50.03$0.0023.3%6.7%19.8%0.0%0.0%13.7%-3.6%789-14.7K-560.00148.38N/AN/A0050
2023-01-20$50.91$0.0025.3%7.3%20.6%0.0%0.0%-1.6%-3.2%769-14.4K-560.00143.64N/AN/A0050
2023-01-23$51.79$0.0024.2%6.9%20.9%0.0%0.0%-7.2%-1.0%730-16.0K-550.00148.63N/AN/A0050
2023-01-24$51.67$0.0023.6%6.8%18.7%0.0%0.0%7.9%-3.8%807-17.3K-530.00143.21N/AN/A0050
2023-01-25$51.66$0.0028.2%8.1%18.7%0.0%0.0%14.2%-8.7%651-15.6K-540.00141.54N/AN/A0050
2023-01-26$52.38$0.0027.0%7.8%18.8%0.0%0.0%2.4%-2.5%674-18.1K-510.00146.88N/AN/A0050
2023-01-27$53.09$0.0020.8%6.0%17.7%0.0%0.0%-6.5%6.6%647-19.2K-490.00138.85N/AN/A0050
2023-01-30$52.16$0.0027.0%7.8%18.0%0.0%0.0%-2.3%-4.9%746-18.0K-500.00144.47N/AN/A0050
2023-01-31$52.65$0.0025.5%7.3%17.7%0.0%0.0%3.9%-6.8%657-17.5K-520.00133.28N/AN/A0050