IMCG Options History — September 2023 In September 2023, IMCG traded between $56.41 and $61.08. ATM implied volatility averaged 21.8%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 8.8% (HV 20d: 13.0%). Max pain ranged from $58.00 to $63.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days.
Notable Days 2023-09-13 : Largest IV drop — 61.2% change2023-09-12 : Highest IV Rank — 59.8%2023-09-28 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $58.72 $56.41 $61.08 $61.08 $57.12 Max Pain $62.75 $58.00 $63.00 $58.00 $63.00 ATM IV 21.8% 13.8% 41.4% 20.9% 21.5% Expected Move 5.1% 4.0% 6.3% 6.0% 6.2% HV 20d 13.0% 11.6% 13.7% 13.3% 12.2% HV 60d 12.8% 12.5% 13.2% 12.8% 13.0% IV Rank 20.9% 5.0% 59.8% 19.2% 20.4% IV Percentile 49.1% 2.9% 97.5% 56.1% 63.1% Term Structure -2.5% -5.9% 0.2% -5.9% -4.3% Skew 25d 1.2% -9.0% 8.8% 0.3% -1.1% Skew 10d 0.5% -2.2% 9.0% -0.7% -0.8% Call IV 25d 16.3% 10.0% 20.2% 18.1% 18.7% Put IV 25d 17.5% 11.2% 25.6% 18.4% 17.6% Bid-Ask Spread % 139.37 136.05 143.09 139.88 136.63 Gamma HHI 0.50 0.36 0.63 0.63 0.54 Net GEX 947 365 2.1K 2.1K 395 Net DEX -4.9K -12.7K -1.8K -12.7K -2.1K Net VEX -21 -41 -9 -41 -9 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 5 3 7 7 3
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-09-01 $61.08 $58.00 20.9% 6.0% 13.3% 19.2% 0.0% 0.3% -5.9% 2.1K -12.7K -41 0.00 139.88 N/A N/A 0 0 6 1 2023-09-05 $60.48 $63.00 24.0% 4.6% 13.5% 25.2% 0.0% 0.3% -1.6% 1.8K -9.6K -36 0.00 141.79 N/A N/A 0 0 6 1 2023-09-06 $60.22 $63.00 19.8% 4.3% 13.5% 17.0% 0.0% 2.5% -0.1% 1.6K -7.8K -32 0.00 140.21 N/A N/A 0 0 6 1 2023-09-07 $59.98 $63.00 29.3% 5.0% 13.5% 35.7% 0.0% 2.0% -0.4% 1.4K -8.7K -35 0.00 143.09 N/A N/A 0 0 6 1 2023-09-08 $59.63 $63.00 29.4% 5.0% 13.5% 36.0% 0.0% 0.5% -3.9% 1.3K -6.5K -30 0.00 141.00 N/A N/A 0 0 6 1 2023-09-11 $59.89 $63.00 34.4% 5.0% 13.6% 45.9% 0.0% 2.4% -5.8% 1.4K -7.0K -27 0.00 142.09 N/A N/A 0 0 6 1 2023-09-12 $59.60 $63.00 41.4% 5.0% 13.6% 59.8% 0.0% 1.3% -4.4% 958 -5.4K -25 0.00 137.31 N/A N/A 0 0 6 1 2023-09-13 $59.26 $63.00 16.1% 4.6% 13.1% 9.6% 0.0% 0.2% -1.0% 798 -3.6K -20 0.00 139.56 N/A N/A 0 0 6 1 2023-09-14 $59.73 $63.00 17.3% 5.0% 13.2% 12.0% 0.0% 5.3% -1.6% 1.2K -5.9K -23 0.00 141.14 N/A N/A 0 0 6 1 2023-09-15 $59.00 $63.00 16.1% 4.6% 12.8% 9.6% 0.0% 4.1% -2.1% 372 -2.9K -18 0.00 141.43 N/A N/A 0 0 6 1 2023-09-18 $58.95 $63.00 13.8% 4.0% 12.7% 5.0% 0.0% -9.0% -0.2% 980 -4.3K -17 0.00 139.32 N/A N/A 0 0 3 0 2023-09-19 $58.79 $63.00 18.4% 5.3% 12.7% 14.2% 0.0% 1.7% -2.2% 925 -3.9K -17 0.00 137.59 N/A N/A 0 0 3 0 2023-09-20 $58.51 $63.00 16.9% 4.8% 12.8% 11.2% 0.0% -0.1% 0.2% 851 -3.3K -15 0.00 136.28 N/A N/A 0 0 3 0 2023-09-21 $57.28 $63.00 17.6% 5.1% 13.7% 12.7% 0.0% -2.0% -3.3% 535 -2.4K -12 0.00 136.75 N/A N/A 0 0 3 0 2023-09-22 $57.25 $63.00 19.0% 5.4% 12.8% 15.3% 0.0% 3.2% -3.4% 516 -2.4K -12 0.00 141.39 N/A N/A 0 0 3 0 2023-09-25 $57.26 $63.00 19.4% 5.6% 12.4% 16.3% 0.0% 8.8% -2.8% 530 -2.5K -12 0.00 141.29 N/A N/A 0 0 3 0 2023-09-26 $56.41 $63.00 20.7% 5.9% 13.0% 18.8% 0.0% -1.8% -1.0% 383 -2.0K -10 0.00 138.16 N/A N/A 0 0 3 0 2023-09-27 $56.65 $63.00 17.5% 5.0% 11.6% 12.4% 0.0% 2.4% -0.1% 365 -1.8K -9 0.00 136.43 N/A N/A 0 0 3 0 2023-09-28 $57.27 $63.00 21.9% 6.3% 12.3% 21.2% 0.0% 3.5% -5.0% 538 -2.4K -10 0.00 136.05 N/A N/A 0 0 3 0 2023-09-29 $57.12 $63.00 21.5% 6.2% 12.2% 20.4% 0.0% -1.1% -4.3% 395 -2.1K -9 0.00 136.63 N/A N/A 0 0 3 0
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