CCI Options History — January 2015

In January 2015, CCI traded between $78.85 and $88.05. ATM implied volatility averaged 18.9%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.4% (HV 20d: 16.5%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-01-22: Highest Volume — 11,035 contracts
  • 2015-01-12: Largest IV spike — 23.6% change
  • 2015-01-06: Highest IV Rank — 50.6%
  • 2015-01-15: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.07$78.85$88.05$79.57$86.56
Max Pain$78.38$75.00$80.00$75.00$80.00
ATM IV18.9%15.6%21.8%18.8%17.3%
Expected Move5.5%4.5%6.2%5.9%5.0%
HV 20d16.5%13.0%21.2%14.5%21.2%
HV 60d21.2%17.2%23.3%23.1%17.2%
IV Rank34.8%17.0%50.6%34.3%26.5%
IV Percentile54.2%15.1%85.3%51.6%39.3%
Term Structure-0.1%-2.1%2.0%1.8%1.0%
VWIV20.0%15.3%23.6%20.7%19.4%
Skew 25d3.0%0.9%7.1%1.8%2.8%
Skew 10d8.4%4.2%18.0%5.5%10.4%
Call IV 25d18.3%14.1%21.0%19.4%17.4%
Put IV 25d21.4%17.4%24.8%21.1%20.2%
Bid-Ask Spread %67.8356.4984.2764.7581.39
Gamma HHI0.290.240.440.250.24
Net GEX11.4M168.3K20.3M12.6M5.0M
Net DEX-80.4M-149.5M-7.7M-45.9M-74.3M
Net VEX-577.1K-751.6K-403.3K-751.6K-403.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.012.560.590.55
Total Volume3,611.8519411,0358,1022,125
Total OI72,095.949,60989,63887,42852,279

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$79.57$75.0018.8%5.9%14.5%34.3%20.7%1.8%1.8%12.6M-45.9M-751.6K0.5964.755,0813,02149,56637,862
2015-01-05$79.00$77.5020.8%6.1%14.7%45.5%21.6%1.4%-1.4%10.9M-28.5M-692.3K2.2859.436915749,47237,997
2015-01-06$78.85$77.5021.8%6.0%14.4%50.6%20.7%1.4%-1.0%9.9M-22.1M-689.7K0.1962.253416549,40338,144
2015-01-07$80.50$77.5017.7%5.9%16.2%28.6%22.8%2.7%-0.4%17.8M-64.2M-672.7K0.0168.924,5414749,46438,139
2015-01-08$81.65$77.5017.3%5.6%16.8%26.5%21.0%4.3%-0.7%20.0M-120.8M-654.1K1.5766.311,2181,91549,40138,181
2015-01-09$81.65$77.5016.4%5.6%14.7%21.5%23.6%2.9%-0.9%19.4M-113.9M-648.7K1.9562.429201,79048,50438,251
2015-01-12$81.53$77.5020.3%5.7%14.2%42.6%20.9%0.9%-0.3%18.7M-105.4M-623.7K1.6761.591,1631,94748,49238,257
2015-01-13$81.26$80.0021.6%6.0%13.6%49.7%20.4%2.6%-0.9%18.1M-93.1M-608.4K0.5266.773,4021,75648,31238,363
2015-01-14$81.58$80.0020.8%6.0%13.4%45.4%22.6%2.7%-1.1%20.3M-109.9M-626.9K2.5666.077942,02950,81838,409
2015-01-15$81.59$77.5021.6%6.2%13.1%49.9%22.0%3.3%-1.7%19.4M-111.5M-604.9K0.9456.491,8761,76850,62038,605
2015-01-16$82.63$77.5020.9%6.0%13.2%46.0%20.3%7.1%-2.1%20.1M-149.5M-583.2K0.0461.342,97612651,02638,612
2015-01-20$82.01$77.5021.5%6.2%13.0%49.0%20.6%4.2%0.3%1.5M-20.6M-558.4K0.1262.253,12837120,02731,277
2015-01-21$81.36$77.5020.1%5.8%13.2%41.6%20.5%3.5%0.5%168.3K-7.7M-557.2K0.4265.8471830118,05431,555
2015-01-22$85.16$77.5017.2%4.9%19.9%25.8%18.1%2.3%1.0%3.4M-58.4M-495.8K0.1062.199,9991,03618,28931,692
2015-01-23$86.71$80.0016.3%4.7%20.4%20.6%16.5%2.2%0.6%7.8M-114.8M-536.2K0.4271.602,29496726,16332,114
2015-01-26$88.05$80.0015.6%4.5%20.6%17.0%15.3%3.9%2.0%8.0M-132.5M-530.6K0.0167.599,83711026,84732,265
2015-01-27$87.80$80.0015.9%4.6%20.7%18.5%17.2%3.6%1.3%5.1M-86.8M-418.4K0.9681.45999519,36432,332
2015-01-28$87.26$80.0018.8%5.4%21.0%34.2%18.0%3.6%-1.1%4.8M-79.8M-434.5K0.7983.681,12289019,38032,380
2015-01-29$86.75$80.0016.7%4.8%21.2%23.1%17.7%3.8%1.1%4.5M-68.6M-451.0K0.5784.271,36477919,49132,511
2015-01-30$86.56$80.0017.3%5.0%21.2%26.5%19.4%2.8%1.0%5.0M-74.3M-403.3K0.5581.391,36775819,69632,583