IMCG Options History — November 2023

In November 2023, IMCG traded between $54.05 and $59.85. ATM implied volatility averaged 20.2%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.1% (HV 20d: 20.1%). Max pain ranged from $54.00 to $57.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2023-11-14: Highest Volume — 7 contracts
2023-11-20: Largest IV spike — 36.9% change
2023-11-03: Highest IV Rank — 27.2%
2023-11-30: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.81	$54.05	$59.85	$54.05	$59.85
Max Pain	$56.86	$54.00	$57.00	$54.00	$57.00
ATM IV	20.2%	15.0%	25.0%	22.1%	24.5%
Expected Move	5.5%	4.3%	7.0%	6.3%	7.0%
HV 20d	20.1%	17.3%	23.6%	18.3%	17.6%
HV 60d	17.2%	15.2%	18.2%	15.2%	17.4%
IV Rank	17.7%	7.4%	27.2%	21.5%	26.2%
IV Percentile	46.6%	8.0%	77.4%	65.0%	77.4%
Term Structure	-2.0%	-8.2%	8.9%	-2.4%	-7.0%
VWIV	15.1%	15.1%	15.1%	15.1%	15.1%
Skew 25d	1.0%	-6.9%	5.5%	4.7%	5.4%
Skew 10d	-0.1%	-19.6%	6.5%	3.6%	-19.6%
Call IV 25d	18.3%	11.2%	26.7%	26.1%	23.1%
Put IV 25d	19.3%	14.5%	30.8%	30.8%	28.5%
Bid-Ask Spread %	134.64	127.42	141.57	138.87	129.70
Gamma HHI	0.44	0.36	0.54	0.53	0.40
Net GEX	4.1K	2.8K	4.9K	3.3K	4.3K
Net DEX	-59.5K	-85.7K	-26.9K	-26.9K	-75.3K
Net VEX	-111	-147	-62	-100	-117
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	0.429	0	7	0	0
Total OI	15.429	13	20	13	17

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2023-11-01	$54.05	$54.00	22.1%	6.3%	18.3%	21.5%	0.0%	4.7%	-2.4%	3.3K	-26.9K	-100	138.87	N/A	N/A	0	13
2023-11-02	$55.34	$57.00	22.3%	6.3%	20.4%	21.8%	0.0%	5.5%	-4.1%	3.7K	-37.1K	-103	133.88	N/A	N/A	0	13
2023-11-03	$56.55	$57.00	25.0%	5.4%	21.2%	27.2%	0.0%	2.1%	-0.3%	3.6K	-45.4K	-99	138.46	N/A	N/A	0	13
2023-11-06	$56.02	$57.00	24.8%	4.9%	21.3%	26.9%	0.0%	-2.5%	-3.5%	4.0K	-43.6K	-93	135.98	N/A	N/A	0	13
2023-11-07	$56.55	$57.00	23.2%	5.6%	21.2%	23.7%	0.0%	2.8%	-3.0%	3.8K	-45.1K	-94	132.35	N/A	N/A	0	13
2023-11-08	$56.48	$57.00	17.2%	4.9%	21.2%	11.7%	0.0%	1.8%	-0.9%	3.9K	-45.8K	-91	135.67	N/A	N/A	0	13
2023-11-09	$55.94	$57.00	17.7%	5.1%	20.8%	12.8%	0.0%	5.1%	2.1%	4.1K	-42.6K	-92	128.95	N/A	N/A	0	13
2023-11-10	$56.72	$57.00	19.1%	5.5%	21.2%	15.7%	0.0%	-2.2%	-1.3%	3.7K	-47.6K	-85	132.31	N/A	N/A	0	13
2023-11-13	$56.70	$57.00	16.1%	4.6%	20.3%	9.7%	0.0%	2.0%	0.0%	4.3K	-51.0K	-74	133.73	N/A	N/A	0	13
2023-11-14	$58.63	$57.00	20.5%	5.9%	23.6%	18.3%	0.0%	4.9%	-6.8%	2.8K	-61.0K	-62	138.63	N/A	N/A	7	13
2023-11-15	$58.73	$57.00	15.0%	4.3%	22.1%	7.4%	0.0%	-1.3%	0.3%	4.9K	-85.7K	-130	135.22	N/A	N/A	0	20
2023-11-16	$58.39	$57.00	18.6%	5.3%	21.4%	14.5%	0.0%	1.2%	3.1%	4.7K	-74.3K	-147	139.01	N/A	N/A	0	20
2023-11-17	$58.69	$57.00	15.3%	4.4%	20.8%	8.1%	0.0%	5.4%	8.9%	4.8K	-79.4K	-140	139.60	N/A	N/A	0	20
2023-11-20	$59.22	$57.00	21.0%	6.0%	20.7%	19.3%	15.1%	4.2%	-8.2%	3.7K	-61.2K	-130	131.67	N/A	N/A	2	15
2023-11-21	$59.06	$57.00	23.3%	6.7%	20.8%	24.0%	0.0%	-1.7%	-6.4%	4.1K	-67.6K	-145	129.82	N/A	N/A	0	17
2023-11-22	$59.31	$57.00	21.0%	6.0%	18.5%	19.3%	0.0%	-6.8%	-4.2%	4.3K	-70.2K	-135	141.57	N/A	N/A	0	17
2023-11-24	$59.45	$57.00	22.1%	6.3%	18.2%	21.5%	0.0%	-6.9%	-5.0%	4.4K	-71.8K	-132	136.32	N/A	N/A	0	17
2023-11-27	$59.48	$57.00	16.7%	4.8%	17.3%	10.8%	0.0%	1.6%	1.3%	4.5K	-73.6K	-121	127.42	N/A	N/A	0	17
2023-11-28	$59.22	$57.00	16.8%	4.8%	17.7%	11.1%	0.0%	-0.5%	0.9%	4.7K	-71.3K	-126	134.96	N/A	N/A	0	17
2023-11-29	$59.59	$57.00	21.4%	6.2%	17.6%	20.2%	0.0%	-3.9%	-4.7%	4.4K	-73.2K	-122	133.35	N/A	N/A	0	17
2023-11-30	$59.85	$57.00	24.5%	7.0%	17.6%	26.2%	0.0%	5.4%	-7.0%	4.3K	-75.3K	-117	129.70	N/A	N/A	0	17