IMCG Options History — June 2023 In June 2023, IMCG traded between $57.08 and $61.02. ATM implied volatility averaged 21.5%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 7.4% (HV 20d: 14.1%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2023-06-06 : Highest Volume — 20 contracts2023-06-05 : Largest IV spike — 39.1% change2023-06-12 : Highest IV Rank — 52.5%2023-06-01 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $59.20 $57.08 $61.02 $57.08 $61.02 Max Pain $59.22 $59.00 $60.00 $60.00 $59.00 ATM IV 21.5% 12.4% 39.0% 24.5% 17.9% Expected Move 4.8% 3.6% 7.0% 7.0% 5.1% HV 20d 14.1% 12.8% 15.4% 14.1% 13.2% HV 60d 15.4% 13.9% 18.5% 17.9% 13.9% IV Rank 17.2% 0.0% 52.5% 21.9% 11.2% IV Percentile 42.1% 0.0% 96.5% 64.9% 25.3% Term Structure -0.8% -12.4% 5.7% -12.4% 2.3% VWIV 15.0% 15.0% 15.0% 15.0% 15.0% Skew 25d 2.7% -4.4% 6.9% 5.1% 6.9% Skew 10d 5.4% -4.8% 16.6% 16.6% -4.8% Call IV 25d 15.7% 12.9% 18.7% 15.9% 15.1% Put IV 25d 18.3% 11.5% 22.2% 20.9% 22.0% Bid-Ask Spread % 126.22 114.10 133.59 128.13 128.32 Gamma HHI 0.81 0.55 1.00 1.00 0.55 Net GEX 8.9K 1.7K 12.0K 1.7K 10.7K Net DEX -71.2K -114.2K -11.2K -11.2K -114.2K Net VEX -233 -311 -53 -53 -274 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 1.381 0 20 0 0 Total OI 25.905 7 34 7 33
Daily Data (21 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 2023-06-01 $57.08 $60.00 24.5% 7.0% 14.1% 21.9% 0.0% 5.1% -12.4% 1.7K -11.2K -53 0.00 128.13 N/A N/A 0 0 7 0 2023-06-02 $58.31 $60.00 19.2% 5.5% 15.4% 10.8% 0.0% 5.4% -4.5% 2.4K -14.3K -57 0.00 129.02 N/A N/A 0 0 7 0 2023-06-05 $58.13 $0.00 26.7% 4.5% 14.7% 26.7% 0.0% 2.5% -2.6% 2.4K -13.6K -54 0.00 133.59 N/A N/A 0 0 7 0 2023-06-06 $58.51 $0.00 23.7% 4.4% 14.8% 20.2% 0.0% 3.2% 0.0% 2.5K -15.6K -56 0.00 121.73 N/A N/A 20 0 7 0 2023-06-07 $58.37 $0.00 28.0% 4.5% 14.8% 29.2% 0.0% -2.1% -1.5% 8.3K -65.8K -260 0.00 128.99 N/A N/A 0 0 27 0 2023-06-08 $58.49 $0.00 28.8% 4.1% 14.8% 31.1% 0.0% -4.1% -0.1% 8.7K -70.4K -259 0.00 127.05 N/A N/A 0 0 27 0 2023-06-09 $58.41 $0.00 28.6% 4.0% 14.6% 30.5% 0.0% -0.7% 0.6% 9.5K -63.7K -249 0.00 128.57 N/A N/A 0 0 27 0 2023-06-12 $58.96 $0.00 39.0% 4.3% 14.8% 52.5% 0.0% -4.4% -3.4% 10.1K -72.0K -254 0.00 125.72 N/A N/A 0 0 27 0 2023-06-13 $59.61 $0.00 28.6% 3.6% 14.9% 30.5% 0.0% 1.6% 2.0% 11.3K -88.5K -251 0.00 118.34 N/A N/A 0 0 27 0 2023-06-14 $59.53 $0.00 17.7% 5.1% 13.9% 7.7% 0.0% 4.8% -2.6% 10.8K -87.4K -248 0.00 131.17 N/A N/A 0 0 27 0 2023-06-15 $60.38 $0.00 12.4% 3.6% 14.2% 0.0% 0.0% 1.1% 5.7% 10.7K -98.2K -244 0.00 114.10 N/A N/A 7 0 27 0 2023-06-16 $60.06 $0.00 16.4% 4.7% 14.0% 8.0% 0.0% 2.9% -1.1% 12.0K -108.2K -311 0.00 128.32 N/A N/A 0 0 34 0 2023-06-20 $59.64 $0.00 17.4% 5.0% 14.3% 10.1% 0.0% 4.4% 1.0% 10.6K -92.5K -298 0.00 124.79 N/A N/A 0 0 31 0 2023-06-21 $59.49 $0.00 16.7% 4.8% 14.3% 8.8% 15.0% 4.7% -0.2% 10.6K -87.4K -290 0.00 123.13 N/A N/A 0 2 31 0 2023-06-22 $59.26 $59.00 19.6% 5.6% 13.3% 14.7% 0.0% 5.4% -5.1% 10.9K -76.0K -296 0.00 131.38 N/A N/A 0 0 31 2 2023-06-23 $58.81 $59.00 15.3% 4.4% 13.0% 5.9% 0.0% 4.6% 5.2% 8.8K -69.6K -294 0.00 122.23 N/A N/A 0 0 31 2 2023-06-26 $59.05 $59.00 18.9% 5.4% 13.1% 13.3% 0.0% 3.6% 0.7% 10.8K -70.3K -284 0.00 127.35 N/A N/A 0 0 31 2 2023-06-27 $59.94 $59.00 17.7% 5.1% 13.2% 10.7% 0.0% 3.8% -0.1% 11.5K -91.6K -290 0.00 124.62 N/A N/A 0 0 31 2 2023-06-28 $59.88 $59.00 16.6% 4.8% 13.2% 8.5% 0.0% 4.8% -0.9% 11.1K -89.2K -288 0.00 129.18 N/A N/A 0 0 31 2 2023-06-29 $60.20 $59.00 16.9% 4.8% 12.8% 9.1% 0.0% 2.6% -0.0% 11.7K -96.4K -282 0.00 124.85 N/A N/A 0 0 31 2 2023-06-30 $61.02 $59.00 17.9% 5.1% 13.2% 11.2% 0.0% 6.9% 2.3% 10.7K -114.2K -274 0.00 128.32 N/A N/A 0 0 31 2
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