CCI Options History — August 2014

In August 2014, CCI traded between $72.85 and $80.00. ATM implied volatility averaged 16.4%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 5.2% (HV 20d: 21.7%). Max pain ranged from $75.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-08-13: Highest Volume — 7,836 contracts
  • 2014-08-13: Largest IV drop — 22.4% change
  • 2014-08-06: Highest IV Rank — 52.0%
  • 2014-08-13: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.71$72.85$80.00$73.47$79.51
Max Pain$85.00$75.00$90.00$75.00$80.00
ATM IV16.4%14.1%20.4%17.5%15.0%
Expected Move5.6%5.3%6.1%5.5%5.5%
HV 20d21.7%16.9%25.1%19.6%16.9%
HV 60d15.1%12.5%15.8%12.5%15.6%
IV Rank28.2%10.3%52.0%32.7%20.0%
IV Percentile19.9%1.2%53.2%27.0%7.1%
Term Structure0.4%-0.1%0.9%0.2%0.7%
VWIV20.9%18.4%23.9%19.8%18.4%
Skew 25d1.8%-2.4%3.2%-2.4%1.7%
Skew 10d5.3%-6.5%11.4%-6.5%5.5%
Call IV 25d16.2%14.3%18.3%17.7%15.4%
Put IV 25d18.0%15.3%20.8%15.3%17.0%
Bid-Ask Spread %60.7129.1790.5089.3770.08
Gamma HHI0.410.240.560.270.54
Net GEX9.5M3.4M14.4M4.4M14.2M
Net DEX-89.5M-125.8M-23.5M-34.7M-123.8M
Net VEX-433.5K-488.0K-329.8K-360.1K-488.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.0311.121.011.47
Total Volume1,6632127,8368121,725
Total OI39,197.09537,24245,22637,24245,226

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$73.47$75.0017.5%5.5%19.6%32.7%19.8%-2.4%0.2%4.4M-34.7M-360.1K1.0189.3740440829,7637,479
2014-08-04$73.07$77.5017.6%5.3%19.6%33.8%22.1%1.7%0.0%3.8M-28.6M-341.2K1.0887.1413014129,9477,580
2014-08-05$72.85$85.0017.5%6.0%19.6%33.0%21.7%1.9%0.1%3.4M-23.5M-329.8K6.3190.502918329,9747,679
2014-08-06$75.96$90.0020.4%5.7%24.8%52.0%20.6%2.5%0.3%7.6M-64.6M-421.4K0.1470.743,00041929,9747,854
2014-08-07$76.60$90.0017.6%5.7%24.9%33.9%22.9%2.8%0.2%9.1M-72.7M-429.4K0.7078.7615310730,5747,988
2014-08-08$77.43$90.0016.3%5.9%25.1%25.2%0.0%2.8%0.6%10.5M-88.3M-445.8K0.1057.491,0119730,5248,075
2014-08-11$77.77$90.0017.8%6.0%25.1%35.2%21.2%2.4%-0.1%11.2M-96.1M-432.7K0.0451.612,5469930,3808,069
2014-08-12$77.52$90.0018.1%5.7%24.9%37.0%20.3%3.2%0.7%11.5M-89.4M-421.2K0.2253.1873816629,8938,094
2014-08-13$77.65$90.0014.1%6.1%24.8%10.3%21.3%2.6%0.4%14.1M-90.0M-411.8K0.2480.746,2951,54129,7078,242
2014-08-14$78.10$90.0016.7%5.9%24.4%27.8%21.5%2.2%0.3%10.4M-103.9M-446.0K0.2858.4956815832,5639,699
2014-08-15$78.46$90.0016.9%6.0%24.0%34.6%23.9%1.8%0.1%9.2M-112.3M-448.6K0.0343.332,9048532,5179,734
2014-08-18$78.53$0.0015.7%5.8%24.0%25.8%0.0%1.6%0.6%8.9M-97.0M-466.1K0.6681.5128318730,6576,862
2014-08-19$78.34$0.0015.7%5.3%24.0%25.3%0.0%1.1%0.4%8.9M-89.8M-440.9K0.2746.8354914630,7237,015
2014-08-20$78.55$0.0016.0%5.6%23.6%28.0%0.0%2.1%0.1%9.2M-90.4M-458.4K0.4535.121878431,0127,185
2014-08-21$80.00$0.0015.6%5.4%19.5%24.3%0.0%1.6%0.9%9.8M-113.9M-466.6K0.0361.562,2166330,8987,167
2014-08-22$79.48$0.0015.7%5.5%19.4%25.8%18.7%1.3%0.5%9.4M-109.8M-477.2K0.2249.0766614631,3477,214
2014-08-25$79.56$82.5015.6%5.4%18.0%24.9%19.0%1.1%0.3%9.8M-103.6M-431.9K0.5742.5252429831,2447,349
2014-08-26$79.57$80.0015.2%5.4%17.6%21.5%18.4%1.7%0.8%9.8M-108.0M-459.7K0.0432.291,1214031,2697,594
2014-08-27$79.72$80.0015.0%5.4%17.6%20.0%0.0%1.6%0.4%10.6M-113.1M-444.4K0.0329.174,25711032,2647,642
2014-08-28$79.75$80.0015.0%5.5%17.4%20.1%0.0%1.7%0.4%14.4M-125.8M-482.6K11.1265.30941,04536,4907,672
2014-08-29$79.51$80.0015.0%5.5%16.9%20.0%0.0%1.7%0.7%14.2M-123.8M-488.0K1.4770.086971,02836,5178,709