IMCG Options History — July 2023

In July 2023, IMCG traded between $60.01 and $63.13. ATM implied volatility averaged 16.3%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.7% (HV 20d: 12.5%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2023-07-19: Highest Volume — 3 contracts
2023-07-24: Largest IV drop — 36.6% change
2023-07-07: Highest IV Rank — 17.0%
2023-07-05: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.05	$60.01	$63.13	$60.98	$62.80
Max Pain	$59.90	$59.00	$60.00	$59.00	$60.00
ATM IV	16.3%	11.3%	20.8%	18.4%	14.6%
Expected Move	4.3%	3.2%	5.6%	5.3%	4.2%
HV 20d	12.5%	11.4%	13.4%	11.4%	12.1%
HV 60d	13.8%	13.0%	14.5%	13.7%	13.0%
IV Rank	8.3%	0.0%	17.0%	12.2%	6.6%
IV Percentile	19.0%	0.0%	46.2%	29.0%	9.8%
Term Structure	2.4%	-2.7%	8.8%	2.1%	8.8%
VWIV	11.2%	10.4%	12.1%	12.1%	10.4%
Skew 25d	0.5%	-6.9%	6.6%	6.5%	-1.5%
Skew 10d	-1.2%	-12.2%	7.4%	-2.1%	0.2%
Call IV 25d	14.8%	11.9%	19.5%	16.3%	13.2%
Put IV 25d	15.3%	10.9%	25.5%	22.7%	11.7%
Bid-Ask Spread %	119.41	109.05	131.08	118.20	120.89
Gamma HHI	0.50	0.37	0.58	0.56	0.43
Net GEX	11.7K	9.4K	14.8K	11.2K	9.4K
Net DEX	-144.5K	-171.2K	-84.0K	-113.6K	-171.2K
Net VEX	-175	-266	-93	-266	-93
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	0.35	0	3	0	0
Total OI	33.4	31	37	33	34

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2023-07-03	$60.98	$59.00	18.4%	5.3%	11.4%	12.2%	0.0%	6.5%	2.1%	11.2K	-113.6K	-266	118.20	N/A	N/A	0	0	31	2
2023-07-05	$60.74	$59.00	19.6%	5.6%	11.5%	14.6%	0.0%	6.6%	0.6%	11.1K	-107.5K	-260	116.17	N/A	N/A	0	0	31	2
2023-07-06	$60.01	$60.00	20.6%	4.1%	12.4%	16.6%	0.0%	0.3%	-1.3%	10.2K	-84.0K	-261	122.55	N/A	N/A	0	0	31	2
2023-07-07	$60.36	$60.00	20.8%	3.9%	12.4%	17.0%	0.0%	-0.2%	-0.8%	12.2K	-101.2K	-255	111.20	N/A	N/A	0	0	31	2
2023-07-10	$61.11	$60.00	20.3%	4.5%	13.0%	16.1%	0.0%	2.9%	4.4%	12.9K	-118.5K	-237	116.13	N/A	N/A	0	0	31	2
2023-07-11	$61.84	$60.00	18.9%	4.2%	13.4%	13.2%	0.0%	-6.9%	2.1%	11.9K	-137.8K	-205	112.40	N/A	N/A	0	0	31	2
2023-07-12	$62.21	$60.00	12.7%	3.6%	13.2%	0.5%	0.0%	2.5%	1.5%	10.1K	-136.9K	-213	121.19	N/A	N/A	0	0	31	2
2023-07-13	$62.67	$60.00	15.8%	4.5%	13.0%	6.9%	0.0%	2.2%	4.2%	10.8K	-158.2K	-163	121.61	N/A	N/A	1	0	31	2
2023-07-14	$62.28	$60.00	14.6%	4.2%	13.3%	4.4%	0.0%	0.9%	2.3%	11.7K	-144.0K	-191	120.92	N/A	N/A	0	0	32	2
2023-07-17	$62.82	$60.00	15.9%	4.6%	12.7%	7.2%	0.0%	1.5%	1.4%	11.8K	-153.9K	-170	109.05	N/A	N/A	0	0	32	2
2023-07-18	$63.05	$60.00	14.6%	4.2%	12.5%	4.4%	0.0%	-0.1%	1.5%	10.7K	-166.1K	-142	112.63	N/A	N/A	0	0	32	2
2023-07-19	$63.13	$60.00	18.9%	5.4%	12.0%	13.2%	0.0%	-0.2%	-2.2%	10.0K	-157.9K	-158	110.20	N/A	N/A	3	0	32	2
2023-07-20	$62.34	$60.00	14.1%	4.1%	13.0%	3.5%	0.0%	-0.8%	3.0%	13.9K	-160.7K	-149	125.26	N/A	N/A	0	0	35	2
2023-07-21	$62.61	$60.00	18.9%	5.4%	12.8%	13.1%	0.0%	-1.4%	-2.7%	13.3K	-166.4K	-138	131.08	N/A	N/A	0	0	35	2
2023-07-24	$62.41	$60.00	12.0%	3.4%	12.5%	0.0%	0.0%	-2.0%	1.6%	12.4K	-158.0K	-132	127.25	N/A	N/A	0	0	31	0
2023-07-25	$62.67	$60.00	14.5%	4.2%	12.5%	5.2%	12.1%	-0.3%	4.0%	11.2K	-167.0K	-109	119.95	N/A	N/A	1	0	31	0
2023-07-26	$62.59	$60.00	17.2%	4.9%	11.7%	10.5%	0.0%	0.2%	4.6%	12.4K	-165.3K	-124	122.85	N/A	N/A	0	0	32	0
2023-07-27	$61.91	$60.00	11.3%	3.2%	12.6%	0.0%	10.4%	-1.8%	6.4%	14.8K	-163.7K	-109	122.74	N/A	N/A	0	2	32	0
2023-07-28	$62.49	$60.00	12.0%	3.4%	12.8%	1.5%	0.0%	1.3%	6.5%	11.6K	-157.3K	-132	125.99	N/A	N/A	0	0	32	2
2023-07-31	$62.80	$60.00	14.6%	4.2%	12.1%	6.6%	0.0%	-1.5%	8.8%	9.4K	-171.2K	-93	120.89	N/A	N/A	0	0	32	2