CCI Options History — March 2014

In March 2014, CCI traded between $73.42 and $75.74. ATM implied volatility averaged 19.4%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.6% (HV 20d: 16.8%). Max pain ranged from $65.00 to $67.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2014-03-17: Highest Volume — 7,215 contracts
  • 2014-03-20: Largest IV drop — 10.1% change
  • 2014-03-05: Highest IV Rank — 42.7%
  • 2014-03-19: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.54$73.42$75.74$74.75$73.78
Max Pain$65.24$65.00$67.50$65.00$67.50
ATM IV19.4%17.1%22.2%20.8%17.3%
Expected Move6.8%6.6%7.2%6.8%6.7%
HV 20d16.8%13.4%22.8%22.8%13.4%
HV 60d18.7%18.2%19.3%19.3%18.3%
IV Rank28.3%16.2%42.7%35.6%17.1%
IV Percentile26.2%3.6%60.3%39.3%4.8%
Term Structure1.6%-2.8%3.4%-1.0%3.0%
VWIV25.2%22.7%28.2%23.7%23.9%
Skew 25d3.4%1.7%4.9%3.1%1.7%
Skew 10d9.5%2.7%14.2%11.5%2.7%
Call IV 25d18.3%16.3%20.3%20.1%17.4%
Put IV 25d21.7%19.0%23.5%23.2%19.0%
Bid-Ask Spread %28.1410.7445.7023.6834.59
Gamma HHI0.320.230.470.240.27
Net GEX4.7M3.0M7.3M3.6M3.3M
Net DEX-36.3M-49.8M-22.6M-37.0M-29.7M
Net VEX-368.5K-412.4K-330.0K-335.5K-345.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.024.040.180.14
Total Volume1,092.381647,215814208
Total OI38,514.61933,71042,93933,71037,654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$74.75$65.0020.8%6.8%22.8%35.6%0.0%3.1%-1.0%3.6M-37.0M-335.5K0.1823.6869012424,0869,624
2014-03-04$74.80$65.0020.4%6.7%19.6%33.8%23.7%4.2%-1.2%3.7M-36.9M-330.0K0.3521.782428424,2059,675
2014-03-05$74.51$65.0022.2%6.9%19.8%42.7%26.0%3.2%-2.8%3.4M-34.3M-330.6K0.9935.392,2062,18224,2149,727
2014-03-06$74.90$65.0020.9%6.9%19.7%36.4%25.3%1.9%-1.5%4.7M-43.7M-356.6K0.0927.722232026,05811,886
2014-03-07$74.63$65.0020.1%6.6%18.9%32.2%22.7%4.4%1.8%4.6M-37.5M-357.6K0.7521.5527020226,15611,901
2014-03-10$74.74$65.0021.7%6.7%18.4%40.5%0.0%4.8%1.8%4.9M-38.5M-347.9K0.6810.741037026,35812,044
2014-03-11$75.11$65.0020.8%6.7%18.1%35.7%0.0%4.8%1.2%5.3M-43.6M-350.1K0.9625.441,0441,00026,41912,069
2014-03-12$75.74$65.0020.5%6.8%17.9%34.3%28.2%4.9%2.2%5.6M-49.8M-412.4K0.3119.1534310527,43313,069
2014-03-13$75.18$65.0019.1%6.6%18.1%26.9%0.0%3.8%2.2%6.1M-49.2M-399.5K0.1235.761772127,58913,090
2014-03-14$74.94$65.0019.4%6.6%16.9%28.3%0.0%3.6%1.8%5.8M-44.4M-396.4K1.0629.71313327,64913,091
2014-03-17$74.88$65.0019.4%7.0%16.8%28.3%0.0%4.3%1.7%6.4M-41.2M-382.6K0.1238.766,46575027,65213,088
2014-03-18$74.82$65.0018.9%6.7%16.5%25.6%0.0%3.7%1.7%7.3M-41.9M-404.4K0.0315.962,1915828,75413,822
2014-03-19$73.67$65.0020.1%7.2%17.4%32.2%0.0%2.0%1.2%5.4M-22.6M-389.6K0.6245.7032720429,12013,819
2014-03-20$74.17$65.0018.1%6.8%15.2%21.6%26.0%3.0%2.6%6.7M-28.5M-396.4K0.7743.03644929,01113,823
2014-03-21$73.70$65.0018.4%7.0%13.9%23.0%0.0%2.3%2.9%5.5M-23.3M-376.7K0.1630.891983229,01813,848
2014-03-24$74.13$65.0017.4%6.7%14.1%17.9%26.8%3.3%3.4%3.0M-29.2M-362.8K0.8924.4321619323,96811,880
2014-03-25$73.69$65.0018.7%6.8%14.1%24.6%24.6%3.6%3.3%3.1M-28.2M-363.1K0.1927.894759124,12211,883
2014-03-26$73.42$65.0018.4%6.8%13.9%23.2%0.0%2.7%3.1%3.0M-27.9M-365.6K4.0415.9715863824,45411,952
2014-03-27$75.18$65.0017.5%6.7%13.9%18.6%23.9%3.1%3.0%3.6M-39.2M-366.0K0.5824.4854631824,57212,370
2014-03-28$74.61$67.5017.1%6.6%13.9%16.2%0.0%3.5%3.3%3.7M-36.0M-368.1K0.0238.435751425,01512,639
2014-03-31$73.78$67.5017.3%6.7%13.4%17.1%0.0%1.7%3.0%3.3M-29.7M-345.7K0.1434.591822625,01512,639