CCI Options History — September 2014

In September 2014, CCI traded between $78.39 and $80.64. ATM implied volatility averaged 16.7%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.7% (HV 20d: 12.0%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.49.

Notable Days

  • 2014-09-17: Highest Volume — 30,775 contracts
  • 2014-09-15: Largest IV spike — 9.0% change
  • 2014-09-29: Highest IV Rank — 47.7%
  • 2014-09-23: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.71$78.39$80.64$79.53$80.53
Max Pain$79.40$77.50$80.00$80.00$77.50
ATM IV16.7%15.4%18.5%16.0%18.2%
Expected Move5.7%5.4%6.2%5.5%5.9%
HV 20d12.0%8.0%16.6%16.6%14.2%
HV 60d16.2%15.4%17.0%15.6%17.0%
IV Rank33.7%22.8%47.7%28.2%45.2%
IV Percentile29.7%12.3%48.0%21.0%45.6%
Term Structure2.5%-0.1%4.0%-0.1%2.3%
VWIV19.9%16.7%22.3%18.1%20.8%
Skew 25d2.4%-0.7%4.0%1.1%3.1%
Skew 10d7.2%-4.7%13.5%5.3%13.5%
Call IV 25d16.2%14.7%19.1%16.2%16.4%
Put IV 25d18.6%16.8%20.7%17.2%19.5%
Bid-Ask Spread %61.0539.6675.3752.1960.91
Gamma HHI0.440.240.660.550.25
Net GEX20.0M12.9M61.8M14.3M16.6M
Net DEX-128.6M-168.5M-80.8M-119.1M-163.6M
Net VEX-1.0M-1.6M-445.3K-483.5K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.002.160.040.91
Total Volume4,309.47611830,775183166
Total OI73,284.8146,072101,97946,07299,279

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$79.53$80.0016.0%5.5%16.6%28.2%18.1%1.1%-0.1%14.3M-119.1M-483.5K0.0452.19176736,3469,726
2014-09-03$79.97$80.0015.6%5.4%16.4%24.8%0.0%2.4%-0.0%15.4M-127.8M-482.0K0.0459.208453836,4589,725
2014-09-04$80.24$80.0015.4%5.5%8.7%23.4%16.7%2.8%-0.0%15.9M-134.0M-473.0K0.0272.441,1842936,6419,755
2014-09-05$80.64$80.0015.4%5.7%8.5%23.3%18.4%1.7%3.9%17.0M-147.3M-482.3K2.1639.6611424637,5099,767
2014-09-08$80.53$80.0016.8%5.4%8.0%34.2%0.0%1.9%3.3%17.2M-143.8M-457.5K0.0546.136583537,5629,753
2014-09-09$79.70$80.0016.3%5.5%9.1%30.0%19.8%1.5%3.4%17.4M-123.5M-458.5K0.3267.9548015437,8269,771
2014-09-10$79.92$80.0015.4%5.7%8.9%22.8%0.0%2.5%3.4%19.2M-126.2M-449.7K0.2260.272455538,0819,832
2014-09-11$80.45$80.0016.7%5.5%9.1%33.2%19.8%2.5%2.9%20.0M-140.2M-445.3K1.0560.7710,15110,63038,0469,834
2014-09-12$78.79$80.0015.8%5.5%12.0%26.4%18.5%1.5%4.0%16.3M-97.6M-846.2K1.5462.4424137248,12820,441
2014-09-15$78.39$80.0017.2%5.7%12.0%37.8%20.2%1.4%2.6%12.9M-80.8M-828.0K1.0154.0513713848,14220,586
2014-09-16$79.22$80.0016.6%5.7%12.6%32.5%19.6%3.3%2.7%18.9M-98.8M-845.2K0.0050.9311,3085148,22220,703
2014-09-17$79.72$80.0016.4%5.6%12.7%30.7%21.9%2.8%2.3%32.3M-132.4M-899.0K0.9775.3715,65015,12548,98320,712
2014-09-18$80.18$80.0016.9%5.8%12.8%35.1%0.0%2.9%3.5%36.8M-168.5M-1.5M0.5955.462,4051,41063,52535,656
2014-09-19$79.74$80.0017.0%5.8%11.3%36.1%0.0%1.8%2.7%61.8M-138.0M-1.5M0.0365.0811,67940865,24436,735
2014-09-22$78.58$80.0017.3%6.0%12.2%38.1%22.0%-0.7%2.5%13.7M-119.4M-1.6M0.3471.9750817460,04935,073
2014-09-23$79.38$80.0017.6%6.2%12.8%41.0%22.3%3.5%2.9%13.4M-120.9M-1.6M0.0866.603,83629559,73635,194
2014-09-24$79.75$77.5017.0%5.9%12.9%36.1%21.0%4.0%3.2%15.4M-130.4M-1.6M0.0472.206622563,06335,423
2014-09-25$78.95$77.5017.7%5.9%13.4%41.3%19.6%3.7%2.5%14.7M-118.7M-1.6M0.6657.60714763,69335,426
2014-09-26$79.80$77.5017.5%5.9%13.9%39.9%0.0%3.3%3.1%15.8M-132.6M-1.6M0.0459.504802063,67435,470
2014-09-29$79.81$77.5018.5%6.1%13.9%47.7%0.0%3.7%2.4%16.0M-137.6M-1.6M0.1271.252182663,71535,477
2014-09-30$80.53$77.5018.2%5.9%14.2%45.2%20.8%3.1%2.3%16.6M-163.6M-1.6M0.9160.91877963,78035,499