Health Care

Cigna Group (CI) options and signal

Figures as of 28 Sep 2026

CI is Cigna Group, a Health Care name the model ranks every trading day. The options figures are from the close on 28 Sep 2026. The model's figures are from 25 Sep 2026, one trading day behind the latest, as the Free plan shows them. Every model figure is paper trading.

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At a glance

Figure	Value	Date
IV rank	88 of 100	28 Sep
At the money IV	34.6%	28 Sep
Priced move to 30 Oct	10.2% down, 11.0% up	28 Sep
Call wall and put wall	Both 260	28 Sep
Signal and the desk's view	No signal, view neutral	25 Sep
Last close	271.83	28 Sep
Next report	5 Nov 2026	28 Sep

Options Snapshot

CI's IV rank is 88 of 100 on 28 Sep 2026.

Figure	Value
IV rank	88 of 100
At the money IV	34.6%, near month, 32 days
Put/call ratio, open interest	0.81
Call open interest, strikes captured near the price	29,500 contracts
Put open interest, strikes captured near the price	23,900 contracts
Cost to trade at the money	Fair, 19.6% of the option's mid price

IV rank is where the at the money IV sits among CI's own weekly readings, 0 the lowest and 100 the highest.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Priced Range

On 28 Sep 2026, CI options priced a move of 10.2 percent down and 11.0 percent up by 30 Oct 2026.

Expiry	Days	Down	Up	Range
2 Oct 2026	4	5.2%	5.5%	257.73 to 286.83
9 Oct 2026	11	6.1%	6.0%	255.13 to 288.13
23 Oct 2026	25	8.9%	8.8%	247.73 to 295.63
30 Oct 2026	32	10.2%	11.0%	244.23 to 301.73
20 Nov 2026	53	14.2%	13.4%	233.23 to 308.13
18 Dec 2026	81	15.3%	15.3%	230.13 to 313.53
19 Mar 2027	172	21.4%	23.4%	213.63 to 335.33

The range is one standard deviation either side of the close of 271.83, as the option prices imply it.

A priced move restates option prices at the close and says nothing certain about where the price goes.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Gamma Map

On 28 Sep 2026, CI's call wall and put wall are both at the 260 strike.

Figure	Value
Call wall, most open call gamma	260
Put wall, most open put gamma	260
Net dollar gamma, calls minus puts	minus $1.96 million
Total dollar gamma, both sides	$39.09 million
Close	271.83

Dollar gamma is stated for a one percent move in the price.

Net is calls minus puts under the standard convention, not a record of who holds the contracts.

Net gamma changes sign at 3 strikes, so no single flip strike is named.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility History

On 28 Sep 2026, CI's at the money IV is 34.6 percent against 20 day realized volatility of 26.0 percent.

Figure	Value
At the money IV	34.6%
Realized volatility, 20 trading days	26.0%
Realized volatility, 60 trading days	28.3%
IV against its own weekly record	High, in the top fifth
Weekly readings on record	865, from 8 Jan 2010
Weeks the price moved more than the one week priced move	26.2% of 252 weeks

Realized volatility is worked out from the daily closes the desk holds, not from the option chain.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility Weather

On 28 Sep 2026, CI's at the money IV runs from 52.2 percent at 4 days to 33.5 percent at 172 days.

Days to expiry	At the money IV
4	52.2%
11	36.6%
18	34.6%
25	34.3%
39	41.0%
53	35.4%
81	34.1%
172	33.5%

Near expiries price more volatility than far ones, an inverted term structure.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility Smile

On 28 Sep 2026, at the 32 day expiry, CI's IV ten percent below the price sits 1.6 points above at the money IV.

Strike area	Implied volatility	Against at the money
10% below the price	36.2%	+1.6 points
At the money	34.6%	0.0 points
10% above the price	37.6%	+2.9 points

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Volatility Surface

On 28 Sep 2026, CI's surface spans 10 expiries out to 172 days, with IV from 31.2 to 51.6 percent near the price.

Figure	Value
Expiries captured	10
Nearest expiry	2 Oct 2026, 4 days
Farthest expiry	19 Mar 2027, 172 days
Points within 10% of the price, 7 days out or more	81
Lowest IV among them	31.2%
Highest IV among them	51.6%

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Expiry Ladder

On 28 Sep 2026, CI has 10 captured expiries, from 2 Oct 2026 to 19 Mar 2027.

Expiry	Days	At the money IV	Call open interest	Put open interest
2 Oct 2026	4	52.2%	2,580	2,416
9 Oct 2026	11	36.6%	217	166
16 Oct 2026	18	34.6%	2,458	9,716
23 Oct 2026	25	34.3%	90	99
30 Oct 2026	32	34.6%	474	140
6 Nov 2026	39	41.0%	7	16
20 Nov 2026	53	35.4%	351	271
18 Dec 2026	81	34.1%	2,458	2,187
15 Jan 2027	109	33.7%	19,275	6,944
19 Mar 2027	172	33.5%	1,550	1,948

Open interest is summed over the strikes captured near the price on each expiry.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Strike Table

On 28 Sep 2026, CI's largest open interest sits at the 260 strike, with 14,851 contracts across the captured expiries.

Strike	Call open interest	Put open interest	Total
260	9,535	5,316	14,851
270	1,929	4,852	6,781
250	1,085	4,937	6,022
280	3,750	909	4,659
310	1,704	1,707	3,411
300	2,854	265	3,119

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Since Yesterday

From 25 Sep 2026 to 28 Sep 2026, CI's at the money IV moved from 33.8 percent to 34.6 percent.

Figure	25 Sep	28 Sep	Change
At the money IV	33.8%	34.6%	+0.8 points
Open interest, strikes captured near the price	51,039	53,363	+2,324
Put/call ratio, open interest	0.83	0.81	-0.02

Open interest changes cannot identify buyers or sellers.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Changed Hands

On 28 Sep 2026, 4,749 CI option contracts traded, 1.2 times its own recent average.

Figure	Value
Calls traded	2,660
Puts traded	2,089
Against its recent average	1.2 times
Busier than	17 of its last 20 trading days
Open interest, whole chain	57,524 contracts
Volume to open interest	0.08
Unusual volume flag	No

Traded volume and open interest are shown side by side and never combined. Open interest changes cannot identify buyers or sellers.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Positioning Replay

The replay holds 33 trading days of CI's option positioning, from 11 Aug 2026 to 28 Sep 2026.

Date	Close	Net dollar gamma	Top call strike	Top put strike
11 Aug 2026	273.87	$202,272	280	260
21 Sep 2026	274.47	minus $1.81 million	260	260
28 Sep 2026	271.83	minus $1.96 million	260	260

Each frame restates one nightly capture. Net is calls minus puts, a convention, not who holds the contracts.

From the option chain at the close on 28 Sep 2026. Current on every plan.

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Read-out

On 25 Sep 2026 the desk's view of CI was neutral, paper trading.

Figure	Value
Side	Neutral at 45 trading days, no signal
Level above the close	272.34, the swing high of 9 Sep 2026
Level below the close	263.76, the swing low of 24 Sep 2026
Strategy family	Iron condor (sell both sides, defined risk)
Price target	None. The desk has no price model.

The levels are prices the shares turned at on the chart, with the date of each.

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Rank by Timeframe

On 25 Sep 2026 CI sat at the 31st percentile of the model's 45 trading day ranking, paper trading.

Timeframe	Percentile	Side
10 trading days	6 of 100	Bearish
20 trading days	12 of 100	Bearish
45 trading days	31 of 100	Neutral

100 is the top of the ranking. A name in the middle three fifths is neutral.

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Timeframe Agreement

On 25 Sep 2026 CI's near timeframes were bearish and its long timeframe was neutral, paper trading.

Group	Timeframes	Side	On that side
Near	10 day, 20 day	Bearish	2 of 2
Long	45 day	Neutral	0 of 1

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Signal History

On 25 Sep 2026 CI had carried no signal for at least 18 trading days, paper trading.

Trading day	Signal	45 day percentile
25 Sep 2026	None	31 of 100
24 Sep 2026	None	39 of 100
23 Sep 2026	None	41 of 100
22 Sep 2026	None	28 of 100
21 Sep 2026	None	50 of 100
18 Sep 2026	None	46 of 100
17 Sep 2026	None	70 of 100
16 Sep 2026	None	45 of 100

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Sector Split

On 25 Sep 2026, 32 of 120 Health Care names were bullish and 52 were bearish, paper trading.

Sector	Names	Bullish	Bearish	Neutral
Health Care	120	32	52	36

Paper trading. The model's figures from 25 Sep 2026, one trading day behind, as the Free plan shows them.

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Price Chart

CI closed at 271.83 on 28 Sep 2026.

Figure	Value
Last close	271.83
Change over 5 trading days	-1.0%
Change over 21 trading days	-2.1%
Change over 63 trading days	-2.5%
Change over 252 trading days	-4.3%
52 week high	315.47
52 week low	239.51
20 day moving average	278.15
50 day moving average	280.17
200 day moving average	279.96
RSI, 14 days	44

Worked out from the desk's own daily bars, adjusted for share splits.

From the daily bars through 28 Sep 2026. Current on every plan.

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Earnings Radar

CI reports next on 5 Nov 2026, a date confirmed by the company.

Figure	Value
Next report	5 Nov 2026, before the open
Date	Confirmed by the company
Move after the report of 30 Jul 2026	-3.0%
Move after the report of 30 Apr 2026	-0.6%
Move after the report of 5 Feb 2026	+4.7%
Move after the report of 30 Oct 2025	-17.4%

Earnings calendar as of 28 Sep 2026. Current on every plan.

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Short Volume

On 25 Sep 2026, 36.5 percent of CI's reported volume at the covered venues was marked short.

Figure	Value
Short sale share, 25 Sep	36.5%
Five day average	42.8%
52 week median	46.0%

Short sale volume counts trades marked short at the covered venues, mostly off exchange. It is not the same as short interest.

Short volume as of 25 Sep 2026. Current on every plan.

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Seasonality

In the 36 Septembers on record, CI's average change was minus 1.3 percent, and it rose in 47.2 percent of them.

Month	Average change	Middle change	Share of years up	Years
September	-1.3%	-1.7%	47.2%	36
October	-0.7%	+0.4%	52.8%	36
November	+5.6%	+7.3%	77.8%	36

Each figure is a month end to month end change in past years. A past month says nothing certain about the next one.

Monthly history through 28 Sep 2026. Current on every plan.

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Questions

What is CI's IV rank?: CI's IV rank is 88 of 100 on 28 Sep 2026.
What move are CI options pricing?: On 28 Sep 2026, CI options priced a move of 10.2 percent down and 11.0 percent up by 30 Oct 2026.
Where are CI's call wall and put wall?: On 28 Sep 2026, CI's call wall and put wall are both at the 260 strike.
What was the desk's latest view of CI on the Free plan?: On 25 Sep 2026 the desk's view of CI was neutral, paper trading.
When does CI report earnings next?: CI reports next on 5 Nov 2026, a date confirmed by the company.

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