IMCG Options History — March 2023

In March 2023, IMCG traded between $54.64 and $59.11. ATM implied volatility averaged 27.8%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 7.0% (HV 20d: 20.8%). Max pain ranged from $57.00 to $61.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2023-03-07: Highest Volume — 20 contracts
  • 2023-03-15: Largest IV drop — 58.0% change
  • 2023-03-13: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.27$54.64$59.11$57.59$57.28
Max Pain$59.04$57.00$61.00$58.00$57.00
ATM IV27.8%18.6%61.6%19.6%18.6%
Expected Move6.5%4.0%8.6%5.6%5.3%
HV 20d20.8%16.1%24.3%18.4%24.0%
HV 60d20.2%19.1%20.8%19.8%20.5%
Term Structure-0.7%-9.1%8.8%-9.1%-1.4%
VWIV18.0%16.0%22.0%16.0%16.2%
Skew 25d4.9%-0.4%13.9%2.2%1.0%
Skew 10d7.2%-1.1%19.0%8.5%6.4%
Call IV 25d17.7%10.1%26.9%15.2%16.9%
Put IV 25d22.6%14.1%30.8%17.5%17.9%
Bid-Ask Spread %126.91119.03134.59129.24119.03
Gamma HHI0.470.300.730.560.31
Net GEX5.6K81414.9K9.2K2.8K
Net DEX-26.0K-68.3K-6.7K-33.6K-19.7K
Net VEX-87-173-41-128-70
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.08702000
Total OI27.696548359

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$57.59$58.0019.6%5.6%18.4%0.0%0.0%2.2%-9.1%9.2K-33.6K-1280.00129.24N/AN/A00350
2023-03-02$58.20$58.0022.0%6.3%16.3%0.0%0.0%7.5%0.7%11.4K-48.8K-1490.00129.66N/AN/A00350
2023-03-03$59.11$58.0020.3%5.8%16.9%0.0%0.0%9.6%-3.3%14.9K-65.7K-1700.00132.03N/AN/A00350
2023-03-06$58.84$61.0021.1%4.0%16.3%0.0%0.0%1.8%2.9%14.4K-56.8K-1430.00127.84N/AN/A00350
2023-03-07$58.10$61.0029.0%6.1%16.8%0.0%0.0%0.3%-7.9%10.9K-51.0K-1370.00127.61N/AN/A200350
2023-03-08$58.16$61.0030.9%5.7%16.1%0.0%0.0%3.2%0.0%14.7K-68.3K-1730.00132.30N/AN/A00480
2023-03-09$56.78$61.0034.4%6.4%17.8%0.0%0.0%6.2%-5.6%10.0K-43.9K-1290.00125.76N/AN/A00480
2023-03-10$55.00$61.0038.1%6.6%20.5%0.0%0.0%6.7%2.2%5.7K-24.8K-930.00122.10N/AN/A00480
2023-03-13$55.00$61.0057.6%8.6%20.6%0.0%0.0%4.0%-1.4%5.5K-24.5K-810.00123.51N/AN/A00480
2023-03-14$55.50$61.0061.6%7.2%20.2%0.0%0.0%3.1%-1.4%5.9K-23.6K-730.00134.59N/AN/A00480
2023-03-15$54.64$61.0025.9%7.4%20.3%0.0%0.0%3.9%0.3%3.3K-12.5K-510.00126.51N/AN/A00480
2023-03-16$55.72$61.0021.3%6.1%21.5%0.0%0.0%13.9%8.8%3.7K-12.3K-480.00124.52N/AN/A00480
2023-03-17$54.66$61.0020.9%6.0%22.1%0.0%16.0%8.2%4.2%1.5K-6.7K-410.00125.41N/AN/A10480
2023-03-20$55.20$59.0025.7%7.4%22.6%0.0%0.0%12.2%2.6%814-6.9K-440.00120.52N/AN/A0050
2023-03-21$56.31$59.0023.8%6.8%22.9%0.0%22.0%3.9%0.7%943-8.3K-500.00129.17N/AN/A2050
2023-03-22$55.37$57.0024.8%7.1%23.5%0.0%0.0%2.0%-0.1%1.4K-11.7K-600.00127.94N/AN/A0070
2023-03-23$54.76$57.0024.8%7.1%23.4%0.0%16.2%12.2%-0.0%1.2K-12.4K-610.00124.56N/AN/A2070
2023-03-24$54.88$57.0025.6%7.3%23.1%0.0%0.0%-0.4%2.6%1.7K-11.5K-590.00124.49N/AN/A0090
2023-03-27$55.39$57.0025.7%7.4%23.4%0.0%0.0%3.3%-1.6%1.9K-13.7K-650.00130.22N/AN/A0090
2023-03-28$55.20$57.0020.8%6.0%23.3%0.0%0.0%3.6%-3.3%1.9K-10.6K-570.00127.78N/AN/A0090
2023-03-29$56.15$57.0020.6%5.9%24.3%0.0%0.0%4.7%-6.0%2.5K-13.5K-610.00124.33N/AN/A0090
2023-03-30$56.41$57.0025.1%7.2%24.0%0.0%0.0%-0.2%-1.0%2.4K-16.0K-660.00129.81N/AN/A0090
2023-03-31$57.28$57.0018.6%5.3%24.0%0.0%0.0%1.0%-1.4%2.8K-19.7K-700.00119.03N/AN/A0090