CCI Options History — June 2014

In June 2014, CCI traded between $73.26 and $76.29. ATM implied volatility averaged 15.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 8.0% (HV 20d: 7.7%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2014-06-13: Highest Volume — 3,269 contracts
  • 2014-06-13: Largest IV spike — 15.4% change
  • 2014-06-13: Highest IV Rank — 26.5%
  • 2014-06-19: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.61$73.26$76.29$76.29$74.26
Max Pain$69.29$67.50$70.00$67.50$70.00
ATM IV15.7%14.5%18.0%15.2%15.0%
Expected Move6.0%5.6%6.3%6.2%5.6%
HV 20d7.7%6.9%12.0%12.0%7.0%
HV 60d13.7%12.4%14.3%14.2%12.4%
IV Rank15.4%9.7%26.5%13.0%12.3%
IV Percentile7.5%1.6%20.6%3.2%5.2%
Term Structure1.7%-0.2%3.0%1.0%2.9%
VWIV20.7%18.5%25.7%25.7%21.2%
Skew 25d1.7%0.3%4.9%1.9%2.3%
Skew 10d4.3%1.8%6.8%1.9%5.9%
Call IV 25d15.5%12.8%18.4%14.6%14.2%
Put IV 25d17.2%15.8%19.1%16.6%16.5%
Bid-Ask Spread %46.8725.3185.1346.6539.93
Gamma HHI0.250.210.280.260.23
Net GEX3.6M2.7M4.9M3.7M3.3M
Net DEX-37.5M-50.2M-24.4M-50.2M-34.4M
Net VEX-372.0K-429.4K-327.0K-410.0K-328.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.026.230.290.27
Total Volume766.857783,26940785
Total OI32,299.71429,50235,49030,03530,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$76.29$67.5015.2%6.2%12.0%13.0%25.7%1.9%1.0%3.7M-50.2M-410.0K0.2946.653159222,3107,725
2014-06-03$75.61$67.5016.3%6.1%8.7%18.4%19.3%2.1%0.1%3.4M-42.6M-386.9K0.0225.312,6125222,5857,753
2014-06-04$75.47$67.5016.0%6.2%8.6%16.9%0.0%2.7%0.1%3.9M-48.0M-429.4K0.9437.44716724,7307,758
2014-06-05$75.76$67.5015.9%6.2%7.1%16.3%0.0%4.9%0.5%4.0M-47.8M-427.0K0.4134.371646824,7777,751
2014-06-06$75.90$67.5014.8%6.0%6.9%11.3%19.9%2.2%1.5%4.2M-49.6M-423.2K0.1326.443824824,8867,748
2014-06-09$75.77$67.5015.3%6.0%6.9%13.4%19.8%2.0%2.0%4.3M-48.7M-419.5K1.9635.535510825,1317,746
2014-06-10$75.38$70.0015.0%5.9%7.0%12.1%19.6%2.4%1.8%3.9M-43.5M-402.0K1.6439.8010717525,1427,784
2014-06-11$74.84$70.0014.9%5.9%7.3%11.4%0.0%2.5%2.5%3.3M-39.6M-404.6K1.8928.66275125,1517,899
2014-06-12$74.35$70.0015.6%6.0%7.5%14.8%0.0%1.9%2.2%2.9M-33.3M-375.0K4.0263.464116525,1607,916
2014-06-13$73.80$70.0018.0%6.1%7.6%26.5%20.3%0.7%-0.2%2.7M-27.2M-352.6K0.0264.383,1917825,1578,051
2014-06-16$73.26$70.0017.3%5.9%7.8%23.5%22.0%0.3%0.8%3.5M-28.9M-392.0K6.2338.772751,71227,4318,059
2014-06-17$73.26$70.0017.0%6.0%7.7%21.7%20.7%0.7%0.8%3.3M-24.4M-343.1K0.2134.4977416127,4087,969
2014-06-18$73.59$70.0016.9%5.9%7.9%21.1%0.0%2.4%2.0%3.8M-26.3M-361.3K0.7371.151,4581,06627,3038,064
2014-06-19$73.99$70.0016.2%6.3%7.5%17.8%20.5%1.5%1.9%4.9M-32.8M-361.1K0.5150.211748827,1997,791
2014-06-20$74.03$70.0015.5%5.7%7.6%14.4%22.2%1.1%2.3%4.8M-32.4M-340.0K0.7457.9832123926,7817,377
2014-06-23$74.06$70.0015.1%5.9%7.5%12.7%18.6%1.2%3.0%2.9M-33.2M-327.0K0.1645.992864622,5806,922
2014-06-24$74.21$70.0014.9%5.8%7.2%11.8%21.4%0.7%3.0%3.2M-35.4M-336.3K0.2343.263628422,7976,960
2014-06-25$74.49$70.0015.2%6.0%7.3%12.9%21.0%0.8%2.7%3.4M-36.9M-327.9K0.7585.1317713323,0387,007
2014-06-26$74.31$70.0014.8%6.0%7.3%11.0%18.5%1.1%2.7%3.3M-36.8M-333.4K1.2569.03486023,1057,035
2014-06-27$74.24$70.0014.5%5.8%7.2%9.7%0.0%1.2%2.9%3.3M-35.7M-329.9K0.2246.3156112523,0967,058
2014-06-30$74.26$70.0015.0%5.6%7.0%12.3%21.2%2.3%2.9%3.3M-34.4M-328.9K0.2739.93671823,0967,058