IMCG Options History — January 2024 In January 2024, IMCG traded between $62.44 and $65.03. ATM implied volatility averaged 21.0%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.4% (HV 20d: 14.6%). Max pain ranged from $56.00 to $61.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2024-01-16 : Highest Volume — 2 contracts2024-01-10 : Largest IV drop — 28.0% change2024-01-09 : Highest IV Rank — 29.2%2024-01-03 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $63.63 $62.44 $65.03 $63.41 $63.98 Max Pain $56.48 $56.00 $61.00 $61.00 $56.00 ATM IV 21.0% 17.6% 25.9% 23.3% 21.7% Expected Move 5.7% 5.0% 7.1% 6.7% 6.2% HV 20d 14.6% 13.2% 16.4% 14.8% 13.3% HV 60d 16.5% 15.1% 17.9% 17.7% 15.1% IV Rank 19.3% 12.7% 29.2% 23.9% 20.8% IV Percentile 57.7% 27.0% 89.3% 75.0% 70.2% Term Structure -2.9% -7.8% 0.9% -7.3% -4.6% VWIV 18.3% 18.3% 18.3% 18.3% 18.3% Skew 25d 0.4% -8.6% 2.0% 0.3% -0.3% Skew 10d -4.7% -17.3% 12.8% 12.8% -17.3% Call IV 25d 21.4% 18.8% 25.7% 25.3% 25.6% Put IV 25d 21.8% 17.1% 26.1% 25.6% 25.3% Bid-Ask Spread % 137.46 135.17 140.91 137.31 135.23 Gamma HHI 0.35 0.24 0.48 0.24 0.48 Net GEX 2.8K 894 4.2K 3.7K 1.1K Net DEX -67.9K -77.8K -59.2K -75.4K -60.0K Net VEX -72 -116 -36 -116 -41 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.095 0 2 0 0 Total OI 31.143 28 34 33 28
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 P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-01-02 $63.41 $61.00 23.3% 6.7% 14.8% 23.9% 0.0% 0.3% -7.3% 3.7K -75.4K -116 0.00 137.31 N/A N/A 0 0 18 15 2024-01-03 $62.44 $61.00 24.6% 7.1% 16.1% 26.6% 0.0% -8.6% -7.8% 3.8K -67.4K -116 0.00 135.17 N/A N/A 0 0 18 15 2024-01-04 $62.64 $56.00 23.1% 5.2% 15.6% 23.4% 0.0% 0.5% 0.8% 3.9K -69.8K -114 0.00 135.80 N/A N/A 0 0 18 15 2024-01-05 $62.47 $56.00 23.5% 5.3% 15.7% 24.3% 0.0% -0.7% -1.6% 3.9K -68.7K -111 0.00 135.64 N/A N/A 0 0 18 15 2024-01-08 $63.42 $56.00 24.7% 5.0% 16.4% 26.7% 0.0% 1.7% 0.9% 3.9K -76.5K -97 0.00 136.52 N/A N/A 0 0 18 15 2024-01-09 $63.34 $56.00 25.9% 5.2% 16.4% 29.2% 0.0% 1.3% -0.5% 4.0K -75.8K -94 0.00 138.32 N/A N/A 0 0 18 15 2024-01-10 $63.49 $56.00 18.7% 5.4% 16.1% 14.7% 0.0% 1.3% -4.1% 3.8K -76.9K -94 0.00 140.91 N/A N/A 0 0 18 15 2024-01-11 $63.52 $56.00 17.6% 5.1% 16.1% 12.7% 0.0% 1.6% -0.0% 4.1K -77.8K -85 0.00 137.15 N/A N/A 0 0 18 15 2024-01-12 $63.41 $56.00 18.1% 5.2% 14.6% 13.6% 0.0% -0.0% -3.9% 3.8K -72.3K -78 0.00 136.57 N/A N/A 0 0 17 15 2024-01-16 $62.94 $56.00 18.9% 5.4% 13.9% 15.2% 18.3% 0.6% -2.2% 4.2K -71.1K -61 0.00 137.26 N/A N/A 0 2 17 15 2024-01-17 $62.55 $56.00 19.3% 5.5% 13.9% 15.9% 0.0% -0.0% -1.9% 3.8K -66.0K -71 0.00 138.35 N/A N/A 0 0 17 17 2024-01-18 $63.19 $56.00 19.1% 5.5% 14.3% 15.6% 0.0% 2.0% -2.5% 3.8K -68.5K -74 0.00 138.44 N/A N/A 0 0 17 17 2024-01-19 $63.80 $56.00 18.4% 5.3% 14.5% 14.1% 0.0% 1.6% -0.8% 4.0K -74.9K -58 0.00 136.92 N/A N/A 0 0 17 17 2024-01-22 $64.53 $56.00 19.2% 5.5% 13.8% 15.7% 0.0% 1.2% -2.1% 918 -60.8K -49 0.00 138.09 N/A N/A 0 0 11 17 2024-01-23 $64.49 $56.00 20.2% 5.8% 13.4% 17.8% 0.0% 0.8% -3.6% 894 -60.9K -46 0.00 140.19 N/A N/A 0 0 11 17 2024-01-24 $64.11 $56.00 20.2% 5.8% 13.5% 17.8% 0.0% 0.6% -3.7% 969 -59.2K -48 0.00 135.57 N/A N/A 0 0 11 17 2024-01-25 $64.24 $56.00 20.0% 5.7% 13.2% 17.4% 0.0% 1.0% -3.5% 957 -59.9K -47 0.00 138.54 N/A N/A 0 0 11 17 2024-01-26 $64.22 $56.00 20.7% 5.9% 13.2% 18.8% 0.0% 0.9% -4.2% 969 -59.5K -47 0.00 139.88 N/A N/A 0 0 11 17 2024-01-29 $64.91 $56.00 21.0% 6.0% 13.7% 19.4% 0.0% 1.2% -4.2% 985 -62.8K -37 0.00 135.91 N/A N/A 0 0 11 17 2024-01-30 $65.03 $56.00 22.3% 6.4% 13.6% 21.9% 0.0% 1.2% -4.5% 951 -62.8K -36 0.00 138.97 N/A N/A 0 0 11 17 2024-01-31 $63.98 $56.00 21.7% 6.2% 13.3% 20.8% 0.0% -0.3% -4.6% 1.1K -60.0K -41 0.00 135.23 N/A N/A 0 0 11 17
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