IMCG Options History — December 2023

In December 2023, IMCG traded between $60.33 and $64.94. ATM implied volatility averaged 23.5%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 9.6% (HV 20d: 13.9%). Max pain ranged from $57.00 to $61.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 3.00.

Notable Days

2023-12-26: Highest Volume — 16 contracts
2023-12-13: Largest IV drop — 67.6% change
2023-12-12: Highest IV Rank — 63.8%
2023-12-01: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.79	$60.33	$64.94	$60.95	$64.55
Max Pain	$60.80	$57.00	$61.00	$57.00	$61.00
ATM IV	23.5%	14.1%	43.4%	23.1%	20.5%
Expected Move	5.2%	4.0%	6.6%	6.6%	5.9%
HV 20d	13.9%	11.2%	17.0%	17.0%	14.0%
HV 60d	17.7%	17.2%	18.2%	17.8%	17.2%
IV Rank	24.4%	5.6%	63.8%	23.4%	18.4%
IV Percentile	57.3%	3.2%	98.4%	71.0%	54.8%
Term Structure	-0.3%	-3.5%	5.1%	-0.6%	-3.5%
VWIV	14.4%	10.2%	17.3%	17.3%	15.8%
Skew 25d	3.6%	-0.0%	15.8%	15.8%	7.3%
Skew 10d	1.7%	-7.2%	7.3%	-7.2%	1.0%
Call IV 25d	17.5%	11.3%	20.9%	12.9%	16.5%
Put IV 25d	21.1%	17.8%	28.6%	28.6%	23.7%
Bid-Ask Spread %	139.00	133.27	142.67	136.01	142.59
Gamma HHI	0.37	0.22	0.53	0.40	0.24
Net GEX	3.7K	2.2K	4.5K	3.7K	3.4K
Net DEX	-89.0K	-121.3K	-74.4K	-79.0K	-85.4K
Net VEX	-100	-134	-62	-114	-103
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.00	0.00	15.00	0.00	15.00
Total Volume	1.2	0	16	1	0
Total OI	20.15	16	33	17	33

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
2023-12-01	$60.95	$57.00	23.1%	6.6%	17.0%	23.4%	0.0%	15.8%	-0.6%	3.7K	-79.0K	-114	0.00	136.01	N/A	N/A	1	0	17	0
2023-12-04	$60.89	$61.00	23.6%	5.2%	15.9%	24.6%	0.0%	0.1%	-1.5%	3.9K	-83.9K	-119	0.00	136.74	N/A	N/A	0	0	18	0
2023-12-05	$60.34	$61.00	27.9%	4.5%	15.8%	33.0%	0.0%	0.4%	-1.3%	4.3K	-82.0K	-117	0.00	141.40	N/A	N/A	0	0	18	0
2023-12-06	$60.33	$61.00	29.7%	5.1%	15.7%	36.7%	0.0%	1.1%	-0.3%	4.2K	-81.0K	-117	0.00	139.96	N/A	N/A	0	0	18	0
2023-12-07	$60.48	$61.00	31.1%	5.2%	15.6%	39.4%	0.0%	1.4%	-0.5%	4.2K	-82.4K	-115	0.00	142.67	N/A	N/A	0	0	18	0
2023-12-08	$60.84	$61.00	31.9%	5.0%	14.9%	41.0%	0.0%	3.4%	0.4%	4.1K	-83.4K	-112	0.00	141.14	N/A	N/A	0	0	18	0
2023-12-11	$61.41	$61.00	39.9%	5.1%	14.6%	56.9%	0.0%	2.5%	-1.2%	3.9K	-90.9K	-91	0.00	140.09	N/A	N/A	0	0	18	0
2023-12-12	$61.76	$61.00	43.4%	4.9%	14.5%	63.8%	0.0%	1.6%	-1.7%	3.6K	-94.3K	-84	0.00	138.75	N/A	N/A	0	0	18	0
2023-12-13	$62.98	$61.00	14.1%	4.0%	11.2%	5.6%	0.0%	1.6%	5.1%	2.9K	-100.6K	-63	0.00	133.27	N/A	N/A	0	0	18	0
2023-12-14	$63.86	$61.00	17.3%	5.0%	11.8%	12.1%	17.3%	1.1%	-0.5%	2.2K	-104.4K	-62	0.00	138.30	N/A	N/A	5	0	18	0
2023-12-15	$63.48	$61.00	15.3%	4.4%	11.8%	8.0%	0.0%	0.4%	4.3%	4.5K	-121.3K	-96	0.00	140.13	N/A	N/A	0	0	23	0
2023-12-18	$63.83	$61.00	18.4%	5.3%	11.8%	14.2%	0.0%	0.9%	-1.8%	3.6K	-94.7K	-86	0.00	141.36	N/A	N/A	1	0	18	0
2023-12-19	$64.31	$61.00	18.4%	5.3%	11.7%	14.2%	0.0%	7.9%	-1.7%	4.3K	-103.8K	-91	0.00	139.29	N/A	N/A	0	0	19	0
2023-12-20	$63.30	$61.00	18.1%	5.2%	13.5%	13.5%	0.0%	-0.0%	-0.7%	4.0K	-74.4K	-110	0.00	135.57	N/A	N/A	0	0	16	0
2023-12-21	$63.92	$61.00	18.7%	5.4%	13.7%	14.8%	0.0%	1.4%	3.9%	3.5K	-78.0K	-107	0.00	139.56	N/A	N/A	0	0	16	0
2023-12-22	$64.24	$61.00	19.3%	5.5%	13.7%	16.0%	10.2%	4.0%	-2.1%	3.5K	-81.7K	-92	0.00	133.81	N/A	N/A	1	0	16	0
2023-12-26	$64.73	$61.00	19.7%	5.7%	13.7%	16.8%	15.8%	0.7%	-2.1%	3.9K	-88.5K	-81	15.00	138.08	N/A	N/A	1	15	17	0
2023-12-27	$64.68	$61.00	20.2%	5.8%	13.5%	17.7%	0.0%	9.2%	2.4%	3.1K	-82.0K	-134	0.00	140.37	N/A	N/A	0	0	18	15
2023-12-28	$64.94	$61.00	20.2%	5.8%	13.5%	17.8%	0.0%	12.2%	-3.2%	3.4K	-88.6K	-101	0.00	140.99	N/A	N/A	0	0	18	15
2023-12-29	$64.55	$61.00	20.5%	5.9%	14.0%	18.4%	0.0%	7.3%	-3.5%	3.4K	-85.4K	-103	0.00	142.59	N/A	N/A	0	0	18	15