CCI Options History — January 2014

In January 2014, CCI traded between $70.47 and $74.38. ATM implied volatility averaged 19.8%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 1.8% (HV 20d: 18.0%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2014-01-27: Highest Volume — 7,165 contracts
  • 2014-01-16: Largest IV spike — 22.7% change
  • 2014-01-03: Highest IV Rank — 49.5%
  • 2014-01-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.22$70.47$74.38$71.63$70.96
Max Pain$62.50$62.50$62.50$62.50$62.50
ATM IV19.8%15.1%23.5%22.8%20.9%
Expected Move7.1%6.8%7.4%7.3%7.1%
HV 20d18.0%16.3%20.0%16.5%18.1%
HV 60d16.7%14.6%18.5%18.2%15.6%
IV Rank30.2%5.7%49.5%45.9%36.4%
IV Percentile33.5%0.4%77.4%67.1%41.3%
Term Structure0.2%-0.9%1.7%1.7%1.1%
VWIV23.9%16.1%27.2%16.1%23.8%
Skew 25d2.3%0.1%4.0%1.4%1.4%
Skew 10d6.6%4.0%9.9%8.7%9.9%
Call IV 25d21.6%19.0%24.1%24.1%21.4%
Put IV 25d23.9%21.7%26.2%25.5%22.8%
Bid-Ask Spread %26.6515.3049.4615.3039.30
Gamma HHI0.270.140.470.220.24
Net GEX3.7M545.2K9.0M1.5M2.6M
Net DEX-19.3M-65.2M2.9M-8.3M-4.6M
Net VEX-303.9K-319.4K-272.8K-317.2K-311.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.024.801.470.54
Total Volume1,547.0951227,1653,113122
Total OI42,956.61924,68354,54647,01736,685

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$71.63$62.5022.8%7.3%16.5%45.9%16.1%1.4%1.7%1.5M-8.3M-317.2K1.4715.301,2601,85327,52819,489
2014-01-03$71.24$62.5023.5%7.4%16.3%49.5%0.0%1.6%1.4%861.8K-3.2M-319.4K0.3516.3944315527,82420,478
2014-01-06$71.27$62.5020.7%7.3%16.3%35.2%0.0%2.1%-0.5%1.1M-4.0M-302.1K0.0618.121,6109528,03220,563
2014-01-07$72.77$62.5017.3%7.2%17.7%17.1%0.0%2.5%-0.7%3.8M-24.9M-316.8K0.0815.463,45025929,07520,616
2014-01-08$72.02$62.5017.1%7.2%17.9%16.2%0.0%2.4%-0.8%5.7M-23.6M-316.4K0.2018.063978131,97520,555
2014-01-09$71.77$62.5015.1%7.1%17.9%5.7%0.0%3.0%-0.5%5.9M-19.2M-302.1K1.7918.7527849832,10320,617
2014-01-10$71.85$62.5015.2%7.1%17.4%6.3%0.0%2.7%-0.1%5.8M-20.8M-299.5K1.9819.166412732,26420,590
2014-01-13$71.60$62.5017.5%7.2%17.4%18.6%0.0%3.0%0.2%6.0M-18.3M-285.0K4.8020.6114871032,26720,650
2014-01-14$72.91$62.5016.9%7.2%18.8%15.3%27.2%2.8%0.1%8.4M-39.5M-294.3K0.3040.3147714132,29420,943
2014-01-15$74.28$62.5017.6%6.9%17.9%18.8%0.0%2.9%0.2%9.0M-63.2M-291.1K0.2521.521,85945832,17420,630
2014-01-16$73.72$62.5021.6%7.1%17.8%39.6%22.4%2.7%0.1%6.1M-59.7M-306.8K0.3021.731,22137233,63620,637
2014-01-17$74.22$62.5021.0%7.1%17.8%36.6%0.0%2.5%-0.0%7.2M-65.2M-311.9K0.0725.591,1528133,74420,802
2014-01-21$74.38$62.5021.9%6.9%17.4%41.2%0.0%4.0%-0.3%1.3M-15.1M-298.9K3.4045.3323078317,0717,612
2014-01-22$73.77$62.5021.9%6.9%16.9%41.6%26.0%2.9%-0.9%1.1M-13.7M-307.7K0.2549.463,25980417,2398,320
2014-01-23$73.20$62.5020.1%6.8%17.2%32.1%25.6%2.7%1.0%1.6M-11.2M-308.9K1.6333.4719932420,0058,922
2014-01-24$71.37$62.5020.5%7.0%19.4%34.2%0.0%2.2%0.2%868.7K-1.9M-296.3K4.7223.0515874620,1698,881
2014-01-27$70.84$62.5021.1%7.0%19.5%37.3%26.3%1.5%0.6%545.2K2.9M-272.8K0.0516.966,85031520,2149,223
2014-01-28$71.00$62.5021.1%7.3%19.6%37.5%0.0%1.9%0.0%2.2M-516.3K-301.4K0.6435.0624916026,5909,453
2014-01-29$70.47$62.5020.9%7.2%19.3%36.0%0.0%0.1%1.0%2.4M-4.3M-302.9K0.3134.162668226,4279,569
2014-01-30$71.42$62.5020.4%6.8%20.0%33.4%0.0%1.6%0.9%3.0M-7.9M-317.9K0.0231.807371626,6029,621
2014-01-31$70.96$62.5020.9%7.1%18.1%36.4%23.8%1.4%1.1%2.6M-4.6M-311.9K0.5439.30794327,0499,636