IMCG Options History — February 2024 In February 2024, IMCG traded between $64.87 and $68.66. ATM implied volatility averaged 20.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.5% (HV 20d: 14.7%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-02-15 : Highest Volume — 21 contracts2024-02-07 : Largest IV drop — 23.8% change2024-02-06 : Highest IV Rank — 28.8%2024-02-29 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $66.66 $64.87 $68.66 $64.93 $68.66 Max Pain $65.00 $65.00 $65.00 $65.00 $65.00 ATM IV 20.1% 16.1% 25.8% 21.4% 22.6% Expected Move 5.4% 4.6% 6.5% 4.9% 6.5% HV 20d 14.7% 12.5% 16.9% 12.8% 15.2% HV 60d 14.4% 12.9% 14.8% 14.8% 14.4% IV Rank 17.6% 9.7% 28.8% 20.1% 22.5% IV Percentile 51.0% 13.9% 89.3% 67.9% 75.0% Term Structure -2.1% -7.8% 3.4% 1.8% -7.8% VWIV 21.3% 18.7% 23.9% 23.9% 18.7% Skew 25d 0.7% -3.5% 5.4% 2.0% 1.1% Skew 10d 0.2% -11.7% 4.9% 4.9% -11.7% Call IV 25d 19.4% 11.7% 24.2% 18.0% 24.2% Put IV 25d 20.2% 12.6% 25.3% 20.0% 25.3% Bid-Ask Spread % 138.13 133.56 141.55 134.46 139.31 Gamma HHI 0.46 0.27 0.68 0.48 0.37 Net GEX -2.3K -9.9K 923 923 195 Net DEX -33.4K -66.9K 31.3K -63.6K -19.7K Net VEX -88 -188 -30 -32 -176 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 2.4 0 21 0 1 Total OI 35.05 28 61 28 45
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 2024-02-01 $64.93 $0.00 21.4% 4.9% 12.8% 20.1% 0.0% 2.0% 1.8% 923 -63.6K -32 0.00 134.46 N/A N/A 0 0 11 17 2024-02-02 $65.38 $0.00 21.2% 4.7% 12.9% 19.8% 0.0% 1.5% 0.9% 861 -65.0K -30 0.00 134.70 N/A N/A 0 1 11 17 2024-02-05 $64.87 $0.00 25.0% 5.1% 13.3% 27.2% 0.0% 1.6% -0.5% 438 -56.3K -57 0.00 139.72 N/A N/A 0 0 11 18 2024-02-06 $65.29 $0.00 25.8% 5.1% 12.5% 28.8% 0.0% 1.2% -1.1% 706 -62.4K -40 0.00 140.79 N/A N/A 0 0 11 18 2024-02-07 $65.95 $0.00 19.6% 5.6% 12.8% 16.6% 0.0% 5.4% -6.0% 508 -64.8K -36 0.00 133.56 N/A N/A 0 1 11 18 2024-02-08 $66.38 $0.00 16.9% 4.8% 12.9% 11.2% 0.0% 1.3% -2.5% 377 -66.1K -35 0.00 140.31 N/A N/A 0 0 11 19 2024-02-09 $66.67 $0.00 16.9% 4.8% 12.9% 11.2% 0.0% 0.6% -1.9% 328 -66.5K -34 0.00 141.55 N/A N/A 0 0 11 19 2024-02-12 $66.81 $0.00 17.8% 5.1% 12.8% 13.1% 0.0% 1.0% -2.5% 315 -66.9K -34 0.00 140.48 N/A N/A 0 0 11 19 2024-02-13 $65.56 $0.00 16.1% 4.6% 14.5% 9.7% 0.0% 0.9% -0.3% 203 -64.8K -36 0.00 135.29 N/A N/A 0 10 11 19 2024-02-14 $66.80 $0.00 17.6% 5.0% 15.3% 12.6% 0.0% 2.5% -0.5% -700 -63.4K -67 0.00 138.84 N/A N/A 0 0 11 29 2024-02-15 $67.40 $0.00 17.9% 5.1% 15.3% 13.2% 23.9% 2.6% 3.4% -609 -65.7K -59 0.00 137.10 N/A N/A 0 21 11 29 2024-02-16 $67.02 $65.00 20.2% 5.8% 15.4% 17.7% 0.0% -3.2% 1.2% -7.5K -40.9K -157 0.00 136.12 N/A N/A 0 0 11 50 2024-02-20 $66.38 $65.00 20.7% 5.9% 15.6% 18.8% 0.0% -0.7% -3.2% -8.9K 28.6K -160 0.00 136.22 N/A N/A 0 0 1 33 2024-02-21 $66.16 $65.00 20.7% 5.9% 15.6% 18.8% 18.7% -3.5% -4.3% -9.9K 31.3K -162 0.00 137.49 N/A N/A 0 3 1 33 2024-02-22 $67.56 $65.00 19.4% 5.5% 16.9% 16.1% 0.0% 2.1% -3.3% -5.5K 11.6K -97 0.00 137.30 N/A N/A 1 0 1 33 2024-02-23 $67.70 $65.00 19.8% 5.7% 16.9% 17.0% 0.0% 0.8% -3.7% -5.0K 7.1K -110 0.00 139.03 N/A N/A 0 0 2 33 2024-02-26 $67.77 $65.00 20.8% 6.0% 16.8% 18.9% 0.0% -0.8% -4.3% -5.7K 14.5K -125 0.00 140.71 N/A N/A 0 0 2 33 2024-02-27 $67.93 $65.00 21.3% 6.1% 16.6% 20.0% 0.0% -2.8% -4.4% -5.4K 13.4K -116 0.00 141.43 N/A N/A 10 0 2 33 2024-02-28 $68.06 $65.00 21.1% 6.0% 16.6% 19.5% 0.0% 0.9% -2.1% -1.7K -9.0K -188 0.00 138.28 N/A N/A 0 0 12 33 2024-02-29 $68.66 $65.00 22.6% 6.5% 15.2% 22.5% 0.0% 1.1% -7.8% 195 -19.7K -176 0.00 139.31 N/A N/A 1 0 12 33
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