CCI Options History — October 2014

In October 2014, CCI traded between $78.03 and $84.76. ATM implied volatility averaged 24.2%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.5% (HV 20d: 20.7%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.37.

Notable Days

  • 2014-10-31: Highest Volume — 35,352 contracts
  • 2014-10-13: Largest IV spike — 23.1% change
  • 2014-10-13: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.60$78.03$84.76$79.98$78.03
Max Pain$79.78$77.50$82.50$77.50$82.50
ATM IV24.2%18.6%30.8%18.6%21.4%
Expected Move6.4%5.8%7.5%6.0%6.1%
HV 20d20.7%13.4%34.5%14.4%34.5%
HV 60d18.4%17.1%22.0%17.1%22.0%
IV Rank71.9%48.5%100.0%48.7%48.5%
IV Percentile84.8%48.8%100.0%48.8%74.2%
Term Structure-1.5%-5.6%2.0%1.2%0.8%
VWIV22.7%20.0%25.9%20.0%20.5%
Skew 25d2.7%-0.6%4.9%2.8%2.0%
Skew 10d6.8%0.9%16.8%6.4%1.0%
Call IV 25d23.8%14.9%30.2%17.1%20.8%
Put IV 25d26.5%19.8%33.6%19.8%22.8%
Bid-Ask Spread %63.1251.8779.5852.4261.14
Gamma HHI0.240.190.370.250.20
Net GEX17.9M9.3M24.7M16.7M9.3M
Net DEX-194.0M-271.3M-46.2M-153.7M-46.2M
Net VEX-1.5M-1.6M-1.4M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.109.609.600.14
Total Volume6,677.39124535,3521,06035,352
Total OI105,424.43594,354113,21999,354113,219

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$79.98$77.5018.6%6.0%14.4%48.7%20.0%2.8%1.2%16.7M-153.7M-1.5M9.6052.4210096063,80935,545
2014-10-02$80.50$77.5019.2%6.0%14.5%53.1%0.0%4.4%1.2%17.1M-157.7M-1.6M0.6051.8720512363,84136,450
2014-10-03$81.21$77.5019.1%6.1%14.7%52.4%0.0%4.9%2.0%16.4M-183.4M-1.6M0.1676.884,04063263,91236,530
2014-10-06$81.25$77.5020.3%6.1%14.7%61.8%0.0%3.1%-0.5%18.7M-202.9M-1.5M0.1255.402192667,31736,206
2014-10-07$80.69$77.5019.4%6.2%14.4%55.2%20.2%2.5%0.1%19.8M-191.7M-1.5M0.1355.624636067,52436,222
2014-10-08$81.54$77.5023.5%6.5%14.8%87.3%23.2%2.3%-1.3%18.0M-205.9M-1.5M2.6061.751,2503,25167,60736,243
2014-10-09$80.60$77.5020.5%6.4%15.3%63.9%24.2%1.2%-0.7%19.8M-183.2M-1.6M2.4265.741,2583,03968,32937,074
2014-10-10$80.16$77.5021.3%6.3%13.4%70.2%22.4%2.4%0.8%20.1M-174.4M-1.6M1.4868.611,5272,25369,02537,091
2014-10-13$78.55$77.5026.2%6.4%15.2%100.0%23.2%-0.6%-3.7%20.0M-123.8M-1.5M0.7279.583,1562,26969,14937,098
2014-10-14$81.55$77.5030.3%6.3%20.0%100.0%22.2%3.1%-5.6%19.2M-213.0M-1.5M0.9761.481,3321,29470,86837,164
2014-10-15$79.62$80.0030.8%7.1%21.8%100.0%25.2%3.9%-2.8%22.4M-136.5M-1.5M0.4872.622,8131,33970,66137,206
2014-10-16$79.25$80.0029.0%7.5%21.7%90.1%25.9%3.4%-2.0%24.7M-126.9M-1.5M0.1373.353734871,64737,203
2014-10-17$80.84$80.0027.8%6.9%22.8%83.7%22.8%2.5%-3.1%24.3M-226.0M-1.5M0.1067.149,93296371,67937,210
2014-10-20$82.40$80.0028.9%7.0%22.9%89.4%24.5%4.2%-2.5%9.8M-158.4M-1.5M0.5762.272,0931,19259,23735,117
2014-10-21$84.75$80.0027.0%6.3%24.6%79.2%22.1%2.3%-2.0%11.6M-226.0M-1.5M0.2154.8117,3713,61259,86535,115
2014-10-22$83.61$82.5024.9%6.7%25.3%67.6%23.2%1.6%-1.0%15.7M-253.3M-1.6M1.5558.842,6114,04969,94734,289
2014-10-23$84.16$82.5023.9%6.2%24.9%62.5%22.0%2.6%-1.9%17.1M-270.5M-1.5M2.5464.151,4503,68171,27535,337
2014-10-24$84.76$82.5023.4%6.1%24.8%59.5%22.2%2.8%-0.2%17.7M-271.3M-1.6M0.7357.844,6343,38171,39635,440
2014-10-27$84.19$82.5024.6%6.1%25.0%65.9%23.1%3.1%-2.5%18.9M-265.3M-1.6M2.7362.111,2733,47874,65735,509
2014-10-28$83.52$82.5025.8%6.0%25.2%72.9%22.4%3.1%-3.5%18.6M-249.9M-1.5M1.4660.612,7484,01174,70735,555
2014-10-29$82.49$82.5025.7%6.7%25.5%72.0%22.2%1.9%-3.1%17.7M-219.7M-1.6M1.0470.593,9374,09874,82536,078
2014-10-30$83.23$82.5025.3%5.8%25.6%70.0%21.9%2.5%-4.3%18.0M-223.4M-1.6M0.9556.935,9875,69774,05436,530
2014-10-31$78.03$82.5021.4%6.1%34.5%48.5%20.5%2.0%0.8%9.3M-46.2M-1.4M0.1461.1431,0594,29375,38337,836