CCI Options History — February 2015

In February 2015, CCI traded between $86.16 and $88.71. ATM implied volatility averaged 17.0%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.7% (HV 20d: 17.7%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.87.

Notable Days

2015-02-18: Highest Volume — 3,746 contracts
2015-02-05: Largest IV drop — 10.7% change
2015-02-04: Highest IV Rank — 30.8%
2015-02-09: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$87.11	$86.16	$88.71	$86.36	$86.37
Max Pain	$84.21	$80.00	$85.00	$80.00	$85.00
ATM IV	17.0%	16.1%	18.1%	17.4%	16.4%
Expected Move	5.0%	4.7%	5.4%	5.0%	4.7%
HV 20d	17.7%	10.8%	21.6%	21.2%	10.8%
HV 60d	17.0%	16.8%	17.3%	17.0%	17.1%
IV Rank	24.3%	19.6%	30.8%	26.6%	21.5%
IV Percentile	35.9%	24.2%	51.2%	40.1%	29.8%
Term Structure	-0.8%	-2.2%	1.2%	0.3%	-0.8%
VWIV	18.1%	16.4%	20.9%	19.3%	17.6%
Skew 25d	3.0%	1.9%	4.5%	3.7%	3.8%
Skew 10d	7.0%	3.1%	10.8%	10.4%	6.9%
Call IV 25d	16.1%	14.5%	18.4%	17.5%	15.1%
Put IV 25d	19.2%	16.9%	21.3%	21.1%	18.9%
Bid-Ask Spread %	68.80	27.02	94.86	80.54	27.02
Gamma HHI	0.27	0.24	0.33	0.24	0.27
Net GEX	7.3M	4.6M	9.1M	4.6M	8.8M
Net DEX	-80.2M	-116.8M	-49.8M	-63.5M	-53.4M
Net VEX	-362.4K	-451.2K	-312.6K	-451.2K	-343.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.04	1.40	0.30	1.40
Total Volume	1,874.579	455	3,746	455	1,543
Total OI	54,372.579	52,469	57,660	52,469	54,626

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2015-02-02	$86.36	$80.00	17.4%	5.0%	21.2%	26.6%	19.3%	3.7%	0.3%	4.6M	-63.5M	-451.2K	0.30	80.54	349	106	19,810	32,659
2015-02-03	$87.21	$80.00	17.2%	4.9%	20.9%	25.7%	18.7%	1.9%	1.2%	5.9M	-83.2M	-385.2K	0.69	85.75	1,065	736	20,039	32,725
2015-02-04	$86.16	$80.00	18.1%	5.2%	21.6%	30.8%	16.7%	2.9%	0.5%	5.6M	-72.4M	-395.1K	0.56	94.86	1,624	905	20,087	32,760
2015-02-05	$86.68	$85.00	16.2%	5.1%	20.8%	20.2%	18.6%	3.1%	-1.0%	5.7M	-75.0M	-422.2K	0.71	72.25	1,170	831	20,766	32,837
2015-02-06	$86.58	$85.00	17.2%	5.2%	20.4%	25.4%	19.1%	2.4%	-0.2%	6.7M	-79.9M	-372.5K	0.94	71.54	878	827	21,137	32,925
2015-02-09	$86.27	$85.00	16.8%	5.4%	20.6%	23.7%	19.0%	2.8%	-2.2%	6.3M	-72.1M	-382.4K	1.08	65.69	696	750	21,182	33,074
2015-02-10	$87.19	$85.00	16.1%	5.2%	20.7%	19.6%	19.7%	4.5%	-1.3%	6.1M	-79.9M	-411.4K	1.34	72.98	684	917	21,186	33,092
2015-02-11	$87.18	$85.00	17.7%	5.1%	20.6%	28.2%	18.9%	3.4%	-1.3%	6.9M	-85.4M	-368.9K	1.05	77.72	838	883	21,226	33,216
2015-02-12	$87.52	$85.00	16.9%	4.9%	20.6%	24.2%	17.7%	3.3%	-0.9%	7.4M	-92.9M	-357.8K	1.34	67.81	704	943	21,388	33,269
2015-02-13	$87.92	$85.00	16.6%	4.8%	20.5%	22.4%	17.1%	3.1%	-0.5%	7.6M	-95.9M	-357.7K	1.33	70.71	707	938	21,444	33,377
2015-02-17	$87.74	$85.00	17.0%	4.9%	20.3%	24.3%	17.3%	2.7%	-0.7%	8.4M	-98.9M	-312.6K	1.17	69.26	841	982	21,458	33,482
2015-02-18	$88.11	$85.00	17.3%	5.0%	20.0%	26.5%	16.7%	3.0%	-1.6%	7.6M	-102.1M	-325.4K	1.02	77.09	1,853	1,893	21,572	33,649
2015-02-19	$87.79	$85.00	17.2%	4.9%	19.7%	25.5%	17.1%	2.6%	-1.5%	9.1M	-104.1M	-321.1K	0.05	75.94	2,032	95	22,603	34,700
2015-02-20	$88.71	$85.00	16.5%	4.7%	12.4%	21.6%	16.4%	2.5%	-1.4%	8.0M	-116.8M	-320.5K	0.04	75.07	2,667	102	22,876	34,784
2015-02-23	$87.84	$85.00	16.6%	4.8%	11.5%	22.3%	18.5%	2.8%	-1.3%	8.7M	-77.2M	-331.1K	0.79	78.75	977	770	19,980	33,029
2015-02-24	$86.74	$85.00	16.7%	4.8%	11.1%	22.9%	18.0%	3.8%	-0.5%	8.8M	-60.6M	-337.6K	0.91	35.04	888	806	20,671	33,173
2015-02-25	$86.48	$85.00	16.7%	4.8%	11.1%	22.7%	20.9%	2.0%	-0.7%	8.6M	-59.7M	-339.4K	0.86	59.71	902	775	20,687	33,362
2015-02-26	$86.18	$85.00	17.7%	5.1%	10.9%	28.5%	17.0%	3.3%	-1.9%	8.3M	-49.8M	-349.6K	0.88	49.47	1,033	907	20,764	33,464
2015-02-27	$86.37	$85.00	16.4%	4.7%	10.8%	21.5%	17.6%	3.8%	-0.8%	8.8M	-53.4M	-343.5K	1.40	27.02	643	900	20,976	33,650