IMCG Options History — August 2023

In August 2023, IMCG traded between $58.65 and $62.66. ATM implied volatility averaged 18.9%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 6.6% (HV 20d: 12.4%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.11.

Notable Days

2023-08-16: Highest Volume — 12 contracts
2023-08-03: Largest IV spike — 69.8% change
2023-08-07: Highest IV Rank — 24.2%
2023-08-03: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.25	$58.65	$62.66	$62.66	$60.84
Max Pain	$58.40	$58.00	$60.00	$60.00	$58.00
ATM IV	18.9%	13.0%	23.4%	19.5%	20.3%
Expected Move	5.3%	3.7%	6.4%	5.6%	5.8%
HV 20d	12.4%	10.8%	14.5%	12.1%	13.5%
HV 60d	13.1%	12.8%	13.4%	12.9%	12.8%
IV Rank	15.3%	3.4%	24.2%	16.3%	17.9%
IV Percentile	38.6%	2.8%	64.8%	42.3%	48.2%
Term Structure	-1.5%	-5.7%	8.5%	-1.7%	-1.9%
VWIV	19.1%	19.1%	19.1%	19.1%	19.1%
Skew 25d	2.1%	-8.4%	6.9%	6.2%	-0.1%
Skew 10d	0.8%	-4.1%	7.6%	1.8%	-0.4%
Call IV 25d	17.7%	13.9%	23.6%	15.5%	17.8%
Put IV 25d	19.9%	13.8%	25.4%	21.8%	17.7%
Bid-Ask Spread %	130.60	117.02	141.23	127.36	140.82
Gamma HHI	0.62	0.38	1.00	0.49	0.60
Net GEX	12.0K	-286	27.4K	11.0K	2.0K
Net DEX	-59.5K	-156.2K	-1.4K	-156.2K	-11.6K
Net VEX	-71	-156	-11	-121	-41
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	0.33	0.00	0.00
Total Volume	0.783	0	12	0	0
Total OI	22.652	1	34	34	7

Daily Data (23 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
2023-08-01	$62.66	$60.00	19.5%	5.6%	12.1%	16.3%	0.0%	6.2%	-1.7%	11.0K	-156.2K	-121	0.00	127.36	N/A	N/A	0	0	32	2
2023-08-02	$61.61	$60.00	13.0%	3.7%	13.7%	3.4%	0.0%	-8.4%	8.5%	16.3K	-138.6K	-131	0.00	122.08	N/A	N/A	0	0	32	2
2023-08-03	$61.44	$0.00	22.0%	6.4%	12.9%	21.4%	0.0%	6.9%	-5.7%	14.4K	-115.4K	-156	0.00	117.02	N/A	N/A	0	0	32	2
2023-08-04	$60.98	$0.00	19.4%	4.9%	13.1%	16.1%	0.0%	4.6%	-2.0%	17.1K	-108.1K	-150	0.00	125.43	N/A	N/A	0	0	32	2
2023-08-07	$61.39	$0.00	23.4%	5.1%	12.6%	24.2%	0.0%	5.0%	-5.5%	19.7K	-128.8K	-113	0.00	121.63	N/A	N/A	0	0	32	2
2023-08-08	$61.03	$0.00	22.3%	5.7%	12.0%	21.9%	0.0%	1.1%	-3.2%	22.5K	-114.8K	-114	0.00	128.56	N/A	N/A	0	0	32	2
2023-08-09	$60.78	$0.00	18.4%	5.3%	11.8%	14.1%	0.0%	2.2%	-1.1%	17.6K	-100.0K	-124	0.00	132.29	N/A	N/A	0	0	32	2
2023-08-10	$60.49	$0.00	16.1%	4.6%	11.4%	9.5%	0.0%	0.4%	1.1%	21.2K	-90.1K	-115	0.00	129.35	N/A	N/A	0	0	32	2
2023-08-11	$60.47	$0.00	18.4%	5.3%	11.3%	14.1%	0.0%	2.1%	-5.3%	22.2K	-89.0K	-107	0.00	124.69	N/A	N/A	0	0	32	2
2023-08-14	$60.67	$0.00	18.3%	5.2%	10.8%	13.9%	0.0%	3.1%	-2.4%	22.8K	-96.3K	-83	0.00	123.39	N/A	N/A	0	0	32	2
2023-08-15	$59.92	$0.00	17.2%	4.9%	11.2%	11.7%	0.0%	-2.1%	-2.2%	27.4K	-61.7K	-67	0.00	130.71	N/A	N/A	0	0	32	2
2023-08-16	$59.55	$0.00	16.9%	4.9%	11.2%	11.3%	0.0%	-0.5%	-5.0%	26.1K	-43.6K	-52	0.00	129.60	N/A	N/A	12	0	32	2
2023-08-17	$58.65	$0.00	17.7%	5.1%	11.5%	12.8%	0.0%	2.7%	3.5%	14.7K	-25.9K	-36	0.00	128.02	N/A	N/A	0	0	32	2
2023-08-18	$58.91	$0.00	18.8%	5.4%	11.5%	14.9%	0.0%	3.2%	1.2%	15.5K	-48.0K	-18	0.00	130.54	N/A	N/A	0	0	32	0
2023-08-21	$59.03	$0.00	21.5%	6.2%	11.7%	20.3%	19.1%	3.5%	-4.1%	277	-2.6K	-11	0.33	134.22	N/A	N/A	3	1	1	0
2023-08-22	$58.84	$58.00	21.3%	6.1%	11.4%	20.0%	0.0%	1.8%	-3.5%	606	-3.6K	-28	0.00	141.23	N/A	N/A	0	0	4	1
2023-08-23	$59.67	$58.00	18.3%	5.2%	12.9%	14.0%	0.0%	6.9%	-0.8%	780	-4.7K	-28	0.00	136.09	N/A	N/A	0	0	4	1
2023-08-24	$58.80	$58.00	19.2%	5.5%	13.3%	15.9%	0.0%	-4.9%	-3.4%	-286	-1.4K	-17	0.00	133.37	N/A	N/A	0	0	4	1
2023-08-25	$59.27	$58.00	17.5%	5.0%	13.2%	12.5%	0.0%	4.3%	-1.2%	646	-3.3K	-25	0.00	136.66	N/A	N/A	0	0	4	1
2023-08-28	$59.55	$58.00	17.4%	5.0%	13.1%	12.2%	0.0%	2.4%	3.6%	699	-4.1K	-24	0.00	135.51	N/A	N/A	2	0	4	1
2023-08-29	$60.41	$58.00	19.1%	5.5%	14.5%	15.7%	0.0%	6.1%	-3.5%	1.8K	-10.1K	-42	0.00	139.69	N/A	N/A	0	0	6	1
2023-08-30	$60.75	$58.00	19.9%	5.7%	13.5%	17.1%	0.0%	2.9%	-0.9%	1.9K	-10.7K	-41	0.00	135.45	N/A	N/A	0	0	6	1
2023-08-31	$60.84	$58.00	20.3%	5.8%	13.5%	17.9%	0.0%	-0.1%	-1.9%	2.0K	-11.6K	-41	0.00	140.82	N/A	N/A	0	0	6	1