IMCG Options History — September 2024 In September 2024, IMCG traded between $68.19 and $72.88. ATM implied volatility averaged 21.1%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 7.5% (HV 20d: 13.6%). Max pain ranged from $67.00 to $67.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2024-09-27 : Highest Volume — 2 contracts2024-09-26 : Largest IV spike — 36.1% change2024-09-10 : Highest IV Rank — 44.1%2024-09-26 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $70.90 $68.19 $72.88 $69.44 $72.75 Max Pain $67.00 $67.00 $67.00 $67.00 $67.00 ATM IV 21.1% 18.2% 27.1% 22.2% 19.3% Expected Move 5.7% 5.2% 7.2% 6.4% 5.5% HV 20d 13.6% 12.7% 16.4% 16.4% 13.2% HV 60d 16.3% 16.1% 16.6% 16.1% 16.6% IV Rank 27.9% 20.1% 44.1% 30.9% 23.1% IV Percentile 55.0% 28.6% 92.1% 72.2% 42.1% Term Structure 0.2% -5.4% 3.2% -2.2% 2.1% VWIV 25.3% 25.3% 25.3% 25.3% 25.3% Skew 25d 2.0% -0.3% 6.8% -0.3% 1.5% Skew 10d 7.0% 1.1% 13.2% 1.4% 1.9% Call IV 25d 20.1% 18.0% 24.5% 24.5% 22.3% Put IV 25d 22.1% 19.1% 29.3% 24.2% 23.8% Bid-Ask Spread % 153.42 143.22 164.50 146.74 152.53 Gamma HHI 0.41 0.33 0.59 0.50 0.59 Net GEX 367 -158 2.5K 483 2.5K Net DEX -7.5K -34.5K -2.7K -6.2K -34.5K Net VEX -42 -101 -36 -37 -101 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 0.2 0 2 1 0 Total OI 3 2 8 2 8
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 2024-09-03 $69.44 $0.00 22.2% 6.4% 16.4% 30.9% 25.3% -0.3% -2.2% 483 -6.2K -37 0.00 146.74 N/A N/A 0 1 2 0 2024-09-04 $69.34 $67.00 23.8% 6.8% 15.3% 35.1% 0.0% 1.4% -5.3% 47 -4.5K -40 0.00 153.70 N/A N/A 0 0 2 1 2024-09-05 $68.91 $0.00 23.9% 5.9% 14.9% 35.4% 0.0% 2.5% 0.6% -36 -3.9K -40 0.00 151.48 N/A N/A 0 0 2 1 2024-09-06 $68.19 $0.00 24.5% 5.4% 14.0% 37.1% 0.0% 1.8% 3.2% -143 -2.7K -39 0.00 143.22 N/A N/A 0 0 2 1 2024-09-09 $68.88 $0.00 26.3% 5.7% 14.3% 41.8% 0.0% 1.8% 1.1% -44 -4.3K -38 0.00 152.79 N/A N/A 0 0 2 1 2024-09-10 $69.08 $0.00 27.1% 5.9% 14.2% 44.1% 0.0% 2.2% 0.4% -158 -4.1K -38 0.00 152.85 N/A N/A 0 0 2 1 2024-09-11 $69.44 $0.00 18.6% 5.3% 13.2% 21.2% 0.0% -0.1% 2.5% 20 -3.9K -38 0.00 148.96 N/A N/A 0 0 2 1 2024-09-12 $70.12 $0.00 18.8% 5.4% 13.6% 21.6% 0.0% 2.1% 1.0% 118 -5.1K -39 0.00 152.96 N/A N/A 0 0 2 1 2024-09-13 $70.78 $0.00 18.3% 5.2% 12.7% 20.3% 0.0% 1.8% 1.1% 206 -5.8K -39 0.00 156.69 N/A N/A 0 0 2 1 2024-09-16 $71.28 $0.00 19.0% 5.4% 12.9% 22.3% 0.0% 3.1% 2.1% 239 -6.0K -38 0.00 155.46 N/A N/A 0 0 2 1 2024-09-17 $71.29 $0.00 19.0% 5.4% 12.8% 22.3% 0.0% 1.4% 0.1% 239 -6.4K -38 0.00 152.54 N/A N/A 0 0 2 1 2024-09-18 $71.28 $0.00 23.8% 6.8% 12.8% 35.2% 0.0% 1.9% -5.4% 235 -6.0K -38 0.00 159.48 N/A N/A 0 0 2 1 2024-09-19 $72.39 $0.00 18.4% 5.3% 13.4% 20.7% 0.0% 3.2% 2.8% 414 -7.6K -37 0.00 151.94 N/A N/A 0 0 2 1 2024-09-20 $72.15 $0.00 18.2% 5.2% 13.4% 20.1% 0.0% 2.5% 2.7% 385 -7.1K -37 0.00 153.51 N/A N/A 0 0 2 1 2024-09-23 $72.50 $0.00 19.0% 5.4% 12.8% 22.2% 0.0% 1.5% 0.7% 500 -7.6K -37 0.00 154.90 N/A N/A 0 0 2 0 2024-09-24 $72.68 $0.00 18.6% 5.3% 12.8% 21.2% 0.0% 1.6% 1.3% 509 -7.7K -37 0.00 156.18 N/A N/A 0 0 2 0 2024-09-25 $72.03 $0.00 18.5% 5.3% 13.3% 20.9% 0.0% 0.8% -0.2% 505 -7.7K -36 0.00 152.14 N/A N/A 0 0 2 0 2024-09-26 $72.68 $0.00 25.2% 7.2% 13.3% 38.9% 0.0% 6.8% -4.3% 508 -8.0K -36 0.00 164.50 N/A N/A 1 0 2 0 2024-09-27 $72.88 $0.00 19.8% 5.7% 13.2% 24.5% 0.0% 1.8% -0.8% 790 -11.5K -54 0.00 155.74 N/A N/A 2 0 3 0 2024-09-30 $72.75 $0.00 19.3% 5.5% 13.2% 23.1% 0.0% 1.5% 2.1% 2.5K -34.5K -101 0.00 152.53 N/A N/A 0 0 8 0
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