CCI Options History — April 2015

In April 2015, CCI traded between $83.53 and $86.65. ATM implied volatility averaged 18.0%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.2% (HV 20d: 13.9%). Max pain ranged from $82.50 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-04-13: Highest Volume — 7,853 contracts
  • 2015-04-23: Largest IV drop — 27.4% change
  • 2015-04-14: Highest IV Rank — 53.9%
  • 2015-04-14: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.29$83.53$86.65$83.57$83.53
Max Pain$84.88$82.50$85.00$82.50$85.00
ATM IV18.0%14.0%22.4%17.1%17.1%
Expected Move5.3%4.0%6.4%4.9%4.9%
HV 20d13.9%11.9%16.3%16.2%12.4%
HV 60d14.7%12.2%16.8%16.7%13.0%
IV Rank30.3%8.3%53.9%25.2%24.9%
IV Percentile49.9%1.6%88.9%46.8%47.6%
Term Structure-1.4%-4.0%1.8%1.8%-0.2%
VWIV18.9%14.7%22.3%18.8%16.0%
Skew 25d2.4%1.1%3.3%2.6%2.0%
Skew 10d5.3%2.3%8.3%4.0%4.8%
Call IV 25d17.7%14.0%21.5%15.5%16.0%
Put IV 25d20.1%15.3%24.6%18.1%18.0%
Bid-Ask Spread %66.7429.4795.7589.5095.75
Gamma HHI0.360.260.440.290.26
Net GEX6.9M3.5M11.0M5.2M3.9M
Net DEX-22.6M-40.0M1.7M-8.2M1.7M
Net VEX-281.1K-307.7K-251.3K-283.2K-251.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.232.390.790.52
Total Volume3,078.333787,8533,2322,502
Total OI42,197.8119,62857,45354,79826,452

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$83.57$82.5017.1%4.9%16.2%25.2%18.8%2.6%1.8%5.2M-8.2M-283.2K0.7989.501,8021,43019,65335,145
2015-04-02$84.29$85.0014.9%5.2%16.3%13.2%19.2%2.9%-1.3%6.5M-15.9M-291.2K0.6944.301,9601,34619,70835,324
2015-04-06$85.00$85.0015.4%5.2%15.6%16.1%19.5%2.9%-1.4%7.8M-22.7M-279.6K0.5443.051,80098019,73835,314
2015-04-07$85.66$85.0015.4%5.3%15.7%15.9%18.7%2.4%-1.6%9.0M-33.9M-291.5K0.5439.361,83398919,76735,309
2015-04-08$85.37$85.0018.4%5.3%15.2%32.3%19.1%3.1%-1.5%8.8M-28.4M-282.6K2.3944.37235519,71935,242
2015-04-09$85.19$85.0018.2%5.2%15.2%31.3%19.7%3.2%-1.3%8.9M-26.3M-280.7K0.7345.201,5221,11519,87035,257
2015-04-10$84.58$85.0018.2%5.2%14.7%31.1%18.9%2.4%-1.4%7.5M-16.2M-269.3K0.7146.031,5091,07219,88135,372
2015-04-13$85.00$85.0022.3%6.4%14.2%53.5%22.3%3.0%-3.3%8.1M-24.9M-278.8K0.2373.376,3951,45819,88135,400
2015-04-14$85.37$85.0022.4%6.4%13.7%53.9%21.6%3.3%-4.0%10.0M-32.5M-276.3K0.5171.972,5081,28321,61835,580
2015-04-15$85.90$85.0022.0%6.3%13.9%51.9%21.8%3.0%-4.0%11.0M-39.9M-276.9K0.6273.752,0061,23921,64235,685
2015-04-16$85.94$85.0022.0%6.3%13.3%51.7%21.5%2.8%-3.7%10.4M-40.0M-273.2K0.5974.982,0221,19921,76835,685
2015-04-17$85.73$85.0020.9%6.0%13.1%45.9%20.4%2.3%-3.1%3.5M-39.4M-270.5K0.2875.692,75376221,74635,707
2015-04-20$86.41$85.0020.2%5.8%12.8%42.2%20.5%2.8%-1.8%4.0M-19.8M-273.4K0.3531.502,04271212,6576,971
2015-04-21$85.76$85.0020.7%5.9%12.9%44.9%21.1%2.2%-2.2%4.0M-16.8M-277.7K0.2329.473,21473413,5997,118
2015-04-22$86.00$85.0019.3%5.5%12.8%37.2%19.7%2.1%-1.6%5.2M-21.7M-297.8K0.5279.072,5881,33515,4447,235
2015-04-23$86.65$85.0014.0%4.0%11.9%8.3%16.1%1.8%0.6%7.1M-29.6M-307.7K1.1884.851,2301,45416,8757,855
2015-04-24$85.97$85.0014.8%4.2%12.4%12.6%14.7%1.1%0.1%6.8M-23.8M-299.5K0.6186.101,30580017,0657,927
2015-04-27$84.87$85.0015.3%4.4%13.3%15.0%15.9%1.4%-0.0%5.1M-8.1M-276.6K0.7185.871,39398517,2677,977
2015-04-28$85.64$85.0015.1%4.3%13.5%14.1%15.1%1.7%0.4%6.3M-15.6M-289.3K0.3992.762,35591117,3177,934
2015-04-29$84.65$85.0015.2%4.4%11.9%14.8%16.3%1.4%0.5%6.1M-12.5M-275.2K0.7694.521,14987518,4747,976
2015-04-30$83.53$85.0017.1%4.9%12.4%24.9%16.0%2.0%-0.2%3.9M1.7M-251.3K0.5295.751,64286018,4378,015