IMCG Options History — February 2023 In February 2023, IMCG traded between $57.37 and $60.58. ATM implied volatility averaged 19.2%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.1% (HV 20d: 19.1%). Max pain ranged from $58.00 to $61.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2023-02-15 : Highest Volume — 20 contracts2023-02-28 : Largest IV spike — 34.7% change2023-02-22 : Largest Expected Move — 6.8%Monthly Statistics Metric Avg Min Max Open Close Price $59.10 $57.37 $60.58 $59.95 $57.70 Max Pain $60.78 $58.00 $61.00 $60.00 $58.00 ATM IV 19.2% 15.3% 23.9% 15.3% 21.3% Expected Move 5.3% 4.0% 6.8% 4.4% 6.1% HV 20d 19.1% 18.3% 20.1% 18.7% 19.0% HV 60d 20.9% 19.9% 21.5% 21.5% 19.9% Term Structure 1.0% -11.7% 13.1% 0.7% -11.7% VWIV 17.5% 17.3% 17.8% 17.8% 17.4% Skew 25d 4.3% -2.6% 13.7% -0.7% 2.3% Skew 10d 7.9% -1.8% 19.8% -1.8% 8.7% Call IV 25d 15.8% 10.9% 23.1% 23.1% 15.0% Put IV 25d 20.1% 14.3% 27.1% 22.4% 17.4% Bid-Ask Spread % 125.06 120.61 130.11 127.37 126.50 Gamma HHI 0.67 0.50 1.00 1.00 0.58 Net GEX 7.4K 1.9K 17.1K 1.9K 9.7K Net DEX -38.0K -82.1K -9.4K -9.4K -38.1K Net VEX -128 -230 -15 -15 -142 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.579 0 20 3 0 Total OI 20.737 3 35 3 35
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-02-01 $59.95 $60.00 15.3% 4.4% 18.7% 0.0% 0.0% -0.7% 0.7% 1.9K -9.4K -15 0.00 127.37 N/A N/A 3 0 3 0 2023-02-02 $60.58 $0.00 18.5% 4.0% 18.7% 0.0% 0.0% -2.6% -0.3% 2.2K -22.0K -65 0.00 122.53 N/A N/A 0 0 6 0 2023-02-03 $59.80 $61.00 18.0% 4.7% 19.1% 0.0% 0.0% 3.6% -0.7% 5.3K -36.5K -120 0.00 122.84 N/A N/A 0 0 13 0 2023-02-06 $59.41 $61.00 23.9% 5.1% 18.3% 0.0% 17.8% 2.7% 0.1% 5.3K -32.0K -115 0.00 124.12 N/A N/A 2 0 13 0 2023-02-07 $60.13 $61.00 16.9% 5.1% 18.5% 0.0% 0.0% 5.9% 3.8% 6.4K -43.8K -132 0.00 122.92 N/A N/A 0 0 15 0 2023-02-08 $59.63 $61.00 16.4% 4.7% 19.0% 0.0% 0.0% 9.9% 0.6% 7.4K -41.9K -131 0.00 123.80 N/A N/A 0 0 15 0 2023-02-09 $59.07 $61.00 21.8% 6.3% 18.9% 0.0% 0.0% 5.9% -4.1% 5.7K -33.9K -119 0.00 124.76 N/A N/A 0 0 15 0 2023-02-10 $58.76 $61.00 20.6% 5.9% 19.1% 0.0% 0.0% 9.0% -0.8% 5.2K -30.3K -115 0.00 120.61 N/A N/A 0 0 15 0 2023-02-13 $59.52 $61.00 18.6% 5.3% 19.4% 0.0% 0.0% -0.3% 8.2% 6.4K -36.6K -117 0.00 123.02 N/A N/A 0 0 15 0 2023-02-14 $59.85 $61.00 20.4% 5.9% 19.4% 0.0% 0.0% 2.8% 1.5% 7.9K -39.8K -117 0.00 124.34 N/A N/A 0 0 15 0 2023-02-15 $60.45 $61.00 17.5% 5.0% 18.7% 0.0% 17.3% 6.1% 0.2% 7.3K -47.5K -117 0.00 126.50 N/A N/A 20 0 15 0 2023-02-16 $59.88 $61.00 20.6% 5.9% 18.5% 0.0% 0.0% 1.8% 2.5% 17.1K -82.1K -230 0.00 126.73 N/A N/A 0 0 33 0 2023-02-17 $59.33 $61.00 18.6% 5.3% 18.4% 0.0% 0.0% 8.8% 13.1% 14.3K -68.6K -210 0.00 121.70 N/A N/A 0 0 33 0 2023-02-21 $58.01 $61.00 18.2% 5.2% 19.5% 0.0% 0.0% 7.3% 3.3% 8.7K -35.9K -149 0.00 127.87 N/A N/A 0 0 30 0 2023-02-22 $57.67 $61.00 23.7% 6.8% 19.6% 0.0% 0.0% 13.7% -5.3% 7.5K -42.9K -164 0.00 125.56 N/A N/A 1 0 30 0 2023-02-23 $58.14 $61.00 22.8% 6.5% 19.8% 0.0% 0.0% 4.9% 0.3% 9.3K -35.9K -152 0.00 128.51 N/A N/A 0 0 31 0 2023-02-24 $57.37 $61.00 15.6% 4.5% 20.1% 0.0% 0.0% 1.9% 3.6% 6.4K -20.7K -111 0.00 126.28 N/A N/A 0 0 31 0 2023-02-27 $57.61 $61.00 15.8% 4.5% 19.7% 0.0% 17.4% -1.5% 4.9% 7.0K -24.2K -108 0.00 130.11 N/A N/A 4 0 31 0 2023-02-28 $57.70 $58.00 21.3% 6.1% 19.0% 0.0% 0.0% 2.3% -11.7% 9.7K -38.1K -142 0.00 126.50 N/A N/A 0 0 35 0
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