CCI Options History — April 2014

In April 2014, CCI traded between $71.73 and $75.06. ATM implied volatility averaged 19.9%, placing in the 30.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 4.6% (HV 20d: 15.3%). Max pain ranged from $67.50 to $67.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.90.

Notable Days

  • 2014-04-22: Highest Volume — 15,864 contracts
  • 2014-04-10: Largest IV spike — 46.2% change
  • 2014-04-22: Highest IV Rank — 57.9%
  • 2014-04-10: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.81$71.73$75.06$74.76$72.73
Max Pain$67.50$67.50$67.50$67.50$67.50
ATM IV19.9%15.3%25.1%16.7%17.9%
Expected Move6.6%6.2%7.0%6.6%6.2%
HV 20d15.3%13.9%16.8%14.3%15.2%
HV 60d17.8%16.7%18.5%18.5%16.7%
IV Rank30.4%7.2%57.9%14.0%15.8%
IV Percentile38.1%1.2%90.9%1.6%12.7%
Term Structure-0.5%-3.5%4.4%3.6%0.3%
VWIV26.6%22.4%30.5%26.9%22.4%
Skew 25d3.4%1.4%5.1%3.1%4.5%
Skew 10d8.4%1.9%12.7%10.5%12.7%
Call IV 25d20.0%15.3%24.1%16.0%16.7%
Put IV 25d23.5%18.1%28.5%19.0%21.2%
Bid-Ask Spread %42.8622.1968.5548.9947.64
Gamma HHI0.360.230.580.280.50
Net GEX-433.2K-13.6M5.2M3.9M-11.2M
Net DEX-12.1M-40.6M61.0M-35.2M26.7M
Net VEX-426.5K-561.2K-340.5K-354.6K-508.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0219.580.210.02
Total Volume2,892.14318915,8649381,501
Total OI48,121.71436,25261,23737,73260,663

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$74.76$67.5016.7%6.6%14.3%14.0%0.0%3.1%3.6%3.9M-35.2M-354.6K0.2148.9977516325,06912,663
2014-04-02$74.63$67.5016.7%6.7%14.3%14.3%26.9%1.4%3.5%4.1M-38.0M-361.0K0.1738.5267811425,37512,799
2014-04-03$75.06$67.5015.9%6.6%14.3%10.2%26.7%3.3%4.4%4.5M-40.6M-359.6K0.2425.481633925,55612,823
2014-04-04$74.75$67.5016.2%6.9%14.3%11.7%28.9%2.6%-0.8%4.7M-39.9M-349.4K0.1729.622444225,56512,851
2014-04-07$74.40$67.5017.5%6.7%14.4%18.6%25.8%3.6%-1.2%4.6M-36.1M-341.4K0.0648.258504925,78312,876
2014-04-08$74.61$67.5016.4%6.7%14.3%12.5%0.0%3.6%-0.4%5.0M-38.1M-340.5K1.0632.772,3382,47525,91812,858
2014-04-09$74.45$67.5015.3%6.7%13.9%7.2%0.0%3.3%0.3%5.2M-35.1M-384.9K0.7250.3184960827,63814,378
2014-04-10$73.37$67.5022.4%7.0%14.6%44.2%0.0%2.3%-1.0%3.7M-25.8M-395.0K0.9122.1931128327,66314,505
2014-04-11$72.10$67.5023.6%6.6%15.7%50.6%0.0%2.8%-1.4%1.3M-8.2M-363.0K1.5927.395,0598,06327,68714,522
2014-04-14$73.04$67.5023.8%6.8%16.6%51.3%0.0%4.1%-2.3%4.9M-22.8M-429.0K10.3236.514644,79034,56922,267
2014-04-15$73.50$67.5023.6%6.6%16.8%50.5%0.0%4.9%-1.5%4.5M-24.3M-467.1K0.1944.332915434,50526,732
2014-04-16$74.00$67.5022.4%6.5%16.1%44.0%0.0%3.9%-1.5%3.1M-36.5M-440.0K0.3223.9554817831,89526,489
2014-04-17$73.92$67.5023.6%6.4%15.9%50.1%22.7%3.7%-3.1%2.3M-35.8M-435.8K0.1137.802,06123232,07026,522
2014-04-21$74.75$67.5024.8%6.6%16.2%56.5%0.0%4.3%-3.2%-1.1M-11.2M-428.1K0.5040.2740119916,97019,282
2014-04-22$75.01$67.5025.1%6.6%16.1%57.9%0.0%3.8%-3.5%-809.9K-15.7M-426.9K19.5867.0777115,09317,28519,408
2014-04-23$74.85$67.5023.4%6.5%16.0%49.4%29.2%5.1%-2.5%-4.6M6.9M-525.3K1.0658.683,0323,22017,95034,425
2014-04-24$73.84$67.5017.3%6.4%16.7%17.2%30.5%3.3%0.3%-6.7M10.1M-493.2K0.5853.4738222120,36337,307
2014-04-25$72.78$67.5018.5%6.5%15.0%23.6%0.0%2.4%-0.8%-9.9M36.0M-505.6K0.5852.0623913819,81737,417
2014-04-28$71.73$67.5018.9%6.5%15.6%21.2%22.4%2.8%-0.5%-12.9M61.0M-486.8K0.1246.273,23039819,96437,455
2014-04-29$71.80$67.5018.3%6.3%15.2%17.6%0.0%3.4%0.1%-13.6M48.2M-561.2K1.3068.558210723,03537,637
2014-04-30$72.73$67.5017.9%6.2%15.2%15.8%0.0%4.5%0.3%-11.2M26.7M-508.6K0.0247.641,4673423,00937,654