IMCG Options History — December 2022

In December 2022, IMCG traded between $52.88 and $57.72. ATM implied volatility averaged 29.1%. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 5.9% (HV 20d: 23.2%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days.

Notable Days

  • 2022-12-15: Highest Volume — 1 contracts
  • 2022-12-14: Largest IV drop — 53.9% change
  • 2022-12-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.94$52.88$57.72$57.72$53.66
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV29.1%15.5%56.3%31.8%16.4%
Expected Move6.6%4.4%9.1%9.1%4.7%
HV 20d23.2%22.0%24.2%23.6%22.0%
Term Structure-0.6%-8.9%8.5%-8.9%-0.9%
Skew 25d4.8%0.8%10.3%5.2%1.9%
Skew 10d7.0%-3.0%23.7%13.9%13.0%
Call IV 25d18.9%13.8%34.4%32.3%15.9%
Put IV 25d23.7%17.1%38.3%37.5%17.8%
Bid-Ask Spread %135.10126.58148.29148.29126.58
Gamma HHI1.001.001.001.001.00
Net GEX-103-3110-3110
Net DEX2.5K05.5K4.1K0
Net VEX-1-40-40
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.0480100
Total OI0.5240110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$57.72$60.0031.8%9.1%0.0%0.0%0.0%5.2%-8.9%-3114.1K-40.00148.29N/AN/A0001
2022-12-02$57.53$60.0031.2%9.0%0.0%0.0%0.0%3.9%-8.6%-3064.2K-40.00145.66N/AN/A0001
2022-12-05$56.09$0.0035.7%6.5%0.0%0.0%0.0%2.4%0.4%-2124.7K-20.00136.09N/AN/A0001
2022-12-06$55.16$0.0033.6%6.7%0.0%0.0%0.0%6.4%1.4%-1485.0K-20.00133.09N/AN/A0001
2022-12-07$55.19$0.0030.0%6.4%0.0%0.0%0.0%3.5%2.9%-1335.1K-10.00132.11N/AN/A0001
2022-12-08$55.70$0.0038.6%5.7%23.6%0.0%0.0%3.9%5.9%-1874.8K-20.00137.95N/AN/A0001
2022-12-09$55.42$0.0041.6%6.1%22.8%0.0%0.0%1.7%-2.5%-1694.9K-10.00140.19N/AN/A0001
2022-12-12$56.09$0.0051.7%8.2%22.6%0.0%0.0%6.1%-8.3%-2074.8K-10.00133.69N/AN/A0001
2022-12-13$56.86$0.0056.3%6.0%22.5%0.0%0.0%5.8%2.9%-2644.6K-10.00131.00N/AN/A0001
2022-12-14$56.25$0.0026.0%7.5%22.3%0.0%0.0%1.9%-3.4%-2085.0K-10.00133.98N/AN/A0001
2022-12-15$54.81$0.0023.5%6.7%23.6%0.0%0.0%7.0%-2.9%-235.5K00.00131.66N/AN/A0101
2022-12-16$54.23$0.0025.0%7.2%23.2%0.0%0.0%8.3%8.5%0000.00138.45N/AN/A0000
2022-12-19$53.34$0.0026.0%7.4%23.5%0.0%0.0%7.6%-3.9%0000.00132.55N/AN/A0000
2022-12-20$53.66$0.0021.5%6.2%23.6%0.0%0.0%4.6%-0.8%0000.00132.60N/AN/A0000
2022-12-21$54.33$0.0026.4%7.6%23.6%0.0%0.0%6.6%-3.4%0000.00141.78N/AN/A0000
2022-12-22$53.36$0.0021.2%6.1%24.0%0.0%0.0%7.5%4.4%0000.00129.48N/AN/A0000
2022-12-23$53.73$0.0015.5%4.4%24.2%0.0%0.0%3.5%5.2%0000.00127.65N/AN/A0000
2022-12-27$53.66$0.0016.3%4.7%23.3%0.0%0.0%0.8%-0.7%0000.00134.87N/AN/A0000
2022-12-28$52.88$0.0023.6%6.8%23.8%0.0%0.0%10.3%-4.9%0000.00134.99N/AN/A0000
2022-12-29$54.11$0.0019.3%5.5%22.6%0.0%0.0%1.3%4.7%0000.00134.53N/AN/A0000
2022-12-30$53.66$0.0016.4%4.7%22.0%0.0%0.0%1.9%-0.9%0000.00126.58N/AN/A0000