CCI Options History — March 2015

In March 2015, CCI traded between $82.69 and $86.80. ATM implied volatility averaged 15.9%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.2% (HV 20d: 12.7%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2015-03-26: Highest Volume — 5,948 contracts
  • 2015-03-11: Largest IV drop — 14.7% change
  • 2015-03-09: Highest IV Rank — 34.6%
  • 2015-03-04: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.43$82.69$86.80$86.44$82.69
Max Pain$83.86$82.50$85.00$85.00$82.50
ATM IV15.9%13.6%18.8%16.8%16.9%
Expected Move4.4%3.9%5.2%4.8%4.9%
HV 20d12.7%9.7%15.6%10.8%15.6%
HV 60d16.1%15.9%16.7%16.1%16.7%
IV Rank18.7%5.9%34.6%23.7%24.2%
IV Percentile23.9%0.4%62.7%36.9%44.8%
Term Structure1.4%-2.7%3.1%-1.1%2.1%
VWIV16.0%14.0%19.2%19.2%19.1%
Skew 25d2.4%1.5%3.4%3.0%2.0%
Skew 10d5.7%3.9%8.2%5.1%3.9%
Call IV 25d14.8%13.3%16.6%16.0%16.1%
Put IV 25d17.2%15.4%19.1%19.1%18.1%
Bid-Ask Spread %25.9715.2267.2629.0522.10
Gamma HHI0.340.270.600.300.27
Net GEX8.5M4.2M12.7M9.9M4.2M
Net DEX-31.1M-57.5M-3.3M-57.5M-3.3M
Net VEX-282.4K-316.2K-229.1K-316.2K-268.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.043.721.240.77
Total Volume1,804.6361005,9481,6243,192
Total OI54,439.40946,90058,35154,78454,544

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$86.44$85.0016.8%4.8%10.8%23.7%19.2%3.0%-1.1%9.9M-57.5M-316.2K1.2429.0572490021,04333,741
2015-03-03$86.33$85.0017.9%5.1%10.7%29.3%18.4%2.4%-1.7%9.7M-53.3M-313.6K1.2922.1571592221,13633,760
2015-03-04$85.79$85.0018.1%5.2%10.3%30.7%18.2%3.4%-2.7%9.8M-45.8M-296.3K1.5621.087211,12621,11733,775
2015-03-05$86.40$82.5016.8%4.3%9.7%23.2%16.5%2.7%1.9%10.8M-55.2M-293.7K1.5423.396771,04521,17733,921
2015-03-06$84.99$82.5017.8%4.5%11.1%28.9%15.6%2.0%1.4%9.1M-33.7M-297.6K1.5526.059481,46621,18733,934
2015-03-09$85.50$82.5018.8%4.5%11.4%34.6%15.4%3.3%1.2%10.0M-39.0M-287.5K0.5528.021216721,37834,475
2015-03-10$84.57$82.5018.1%4.6%11.9%30.9%16.2%2.6%1.3%8.2M-23.6M-275.8K0.2735.302185821,42634,523
2015-03-11$84.92$82.5015.5%4.4%11.3%16.3%15.6%2.7%1.5%9.0M-27.8M-270.4K0.3027.5665319321,41734,558
2015-03-12$85.95$82.5015.2%4.4%12.3%14.7%14.6%2.5%1.6%11.7M-43.0M-272.3K1.0867.26485221,32934,738
2015-03-13$84.91$82.5015.5%4.4%12.8%16.5%16.1%2.8%1.3%9.0M-21.7M-260.0K0.9826.7412312021,36034,769
2015-03-16$85.80$82.5014.9%4.3%13.3%13.2%14.8%2.5%2.2%12.7M-40.3M-229.1K0.0415.222,3869821,40134,796
2015-03-17$85.52$82.5015.8%4.5%13.3%17.9%17.3%2.4%1.3%12.7M-34.4M-267.9K0.0419.803,11411123,55134,800
2015-03-18$86.44$85.0014.6%4.2%13.9%11.7%15.0%2.2%1.5%12.3M-29.9M-261.0K0.2643.241,34534618,24034,863
2015-03-19$85.85$85.0015.1%4.3%14.0%14.2%14.2%1.5%1.8%6.3M-20.0M-261.9K3.7218.6915658018,84534,984
2015-03-20$86.80$85.0013.6%3.9%14.1%5.9%14.0%2.4%2.2%4.7M-25.8M-265.7K0.9018.9827024218,87235,229
2015-03-23$86.25$85.0014.8%4.3%13.8%12.8%14.0%1.7%1.9%4.6M-23.1M-261.0K0.0620.384,02323712,79534,105
2015-03-24$85.84$85.0014.2%4.1%13.2%9.1%17.1%1.8%3.1%6.9M-28.9M-294.8K0.3723.271,58658916,58434,308
2015-03-25$84.64$85.0015.1%4.3%14.0%14.0%14.9%2.3%2.1%6.0M-18.5M-293.5K0.5017.5852426417,96434,693
2015-03-26$84.67$85.0015.1%4.3%14.0%14.3%15.4%2.5%2.5%6.1M-18.6M-310.4K0.4219.644,1871,76118,77834,889
2015-03-27$84.81$85.0014.9%4.3%14.0%13.0%14.7%2.7%2.9%6.7M-21.3M-314.1K0.4222.611355719,27134,942
2015-03-30$84.40$85.0014.8%4.3%14.1%12.7%16.1%2.2%3.1%6.3M-18.5M-302.6K0.8423.181,9541,64819,46234,987
2015-03-31$82.69$82.5016.9%4.9%15.6%24.2%19.1%2.0%2.1%4.2M-3.3M-268.5K0.7722.101,8041,38819,56234,982