CCI Options History — December 2014

In December 2014, CCI traded between $75.13 and $82.21. ATM implied volatility averaged 20.6%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.6% (HV 20d: 15.0%). Max pain ranged from $70.00 to $82.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2014-12-05: Highest Volume — 7,803 contracts
  • 2014-12-09: Largest IV spike — 9.5% change
  • 2014-12-18: Highest IV Rank — 60.2%
  • 2014-12-17: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$78.27$75.13$82.21$82.21$78.70
Max Pain$79.76$70.00$82.50$82.50$75.00
ATM IV20.6%18.2%23.5%19.2%19.0%
Expected Move5.8%5.4%6.4%5.7%5.9%
HV 20d15.0%11.6%17.4%11.6%13.9%
HV 60d23.0%22.5%23.2%22.5%23.0%
IV Rank44.2%31.4%60.2%36.8%35.3%
IV Percentile69.2%47.2%92.1%55.2%53.6%
Term Structure-0.3%-2.6%3.1%-0.7%3.1%
VWIV21.1%18.0%23.9%20.3%21.5%
Skew 25d2.1%0.5%3.8%1.3%1.6%
Skew 10d5.1%-1.2%10.1%-0.6%-1.2%
Call IV 25d20.8%17.8%24.0%17.8%19.9%
Put IV 25d22.9%19.1%26.8%19.1%21.4%
Bid-Ask Spread %73.1353.2385.3669.3759.11
Gamma HHI0.230.210.260.240.26
Net GEX6.0M-2.7M12.6M12.6M10.5M
Net DEX-7.7M-116.6M71.2M-116.6M-24.8M
Net VEX-870.5K-1.0M-740.9K-1.0M-766.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.1611.041.1011.04
Total Volume3,473.3641067,8032,8572,613
Total OI89,286.90984,51193,37088,04185,784

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$82.21$82.5019.2%5.7%11.6%36.8%20.3%1.3%-0.7%12.6M-116.6M-1.0M1.1069.371,3621,49549,17938,862
2014-12-02$80.01$82.5020.3%5.6%15.1%42.7%20.8%1.9%-1.1%8.4M-51.3M-1.0M1.3981.541,5042,08449,22338,892
2014-12-03$79.83$82.5019.3%5.6%14.4%36.9%20.4%2.1%-0.9%8.2M-36.8M-981.8K1.1482.651,4791,68249,26339,157
2014-12-04$79.95$82.5019.4%5.6%13.2%37.8%23.9%2.7%-0.2%8.3M-38.6M-981.8K0.7178.05624449,38939,320
2014-12-05$79.28$82.5018.6%5.5%13.4%33.3%20.1%1.8%-0.3%7.3M-20.7M-960.7K0.2576.956,2461,55749,42539,339
2014-12-08$79.15$82.5019.6%5.7%13.4%39.0%20.1%2.1%-0.6%8.1M-33.3M-971.0K0.6572.982,3591,53551,85439,391
2014-12-09$78.94$82.5021.5%5.6%13.4%49.2%20.1%2.5%-0.8%7.1M-16.8M-950.0K0.8570.291,7961,52052,37439,439
2014-12-10$77.35$82.5020.6%5.7%15.1%44.0%21.2%1.0%-0.8%3.7M12.4M-923.6K0.9378.691,6931,57152,79439,328
2014-12-11$76.70$82.5021.4%5.7%14.4%48.8%21.0%3.1%-1.5%2.8M37.3M-871.6K1.0082.361,5261,53352,87139,428
2014-12-12$76.00$82.5022.7%6.1%14.6%55.7%22.3%1.0%-0.4%584.5K51.3M-854.4K1.8175.791,3842,50852,65139,408
2014-12-15$75.76$82.5022.9%6.4%14.5%56.7%22.4%1.4%-0.5%-617.4K68.4M-821.8K1.5269.491,5652,37552,69240,395
2014-12-16$75.42$82.5023.4%6.3%14.5%59.3%20.9%2.8%-0.8%-922.9K71.2M-794.0K0.2571.295,5421,40452,80240,568
2014-12-17$75.13$82.5022.9%6.4%14.0%56.6%21.8%0.5%-0.7%-330.6K63.9M-825.6K0.2384.935,5171,26252,70940,573
2014-12-18$76.44$82.5023.5%6.0%15.8%60.2%22.0%3.3%-2.6%1.3M33.7M-865.7K0.3681.834,3441,54952,68340,446
2014-12-19$77.30$80.0021.9%6.0%16.4%51.4%21.1%2.7%-0.9%-2.7M20.4M-839.3K0.1685.3684113152,63540,148
2014-12-22$78.40$0.0020.8%6.1%17.0%45.5%18.0%3.8%1.3%6.5M-7.0M-804.8K0.8283.111,4971,22947,67836,833
2014-12-23$79.26$77.5019.5%6.1%17.4%38.2%21.3%1.9%1.9%9.3M-31.6M-795.1K0.3762.553,3321,21847,77636,834
2014-12-24$79.05$77.5018.2%5.4%17.3%31.4%19.3%3.0%-0.6%11.2M-41.8M-818.5K0.9264.911,2791,17749,33936,068
2014-12-26$79.11$70.0019.3%5.6%17.3%36.9%23.1%1.3%0.6%10.2M-38.8M-788.4K1.1553.231,0251,17849,40536,059
2014-12-29$79.07$70.0019.4%5.5%17.0%37.9%20.9%2.6%-0.2%11.1M-40.0M-772.5K1.3566.139361,26049,51836,061
2014-12-30$78.92$70.0019.6%5.6%16.7%39.0%21.2%1.9%-1.1%10.2M-30.8M-740.9K0.7958.301128849,57036,149
2014-12-31$78.70$75.0019.0%5.9%13.9%35.3%21.5%1.6%3.1%10.5M-24.8M-766.1K11.0459.112172,39649,54936,235