CCI Options History — May 2015

In May 2015, CCI traded between $81.48 and $83.98. ATM implied volatility averaged 15.7%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.8% (HV 20d: 14.0%). Max pain ranged from $82.50 to $87.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2015-05-13: Highest Volume — 7,623 contracts
2015-05-11: Largest IV spike — 14.3% change
2015-05-12: Highest IV Rank — 27.8%
2015-05-05: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$82.67	$81.48	$83.98	$83.23	$81.48
Max Pain	$83.13	$82.50	$87.50	$85.00	$82.50
ATM IV	15.7%	14.6%	17.6%	16.4%	15.2%
Expected Move	4.5%	4.2%	4.9%	4.7%	4.4%
HV 20d	14.0%	11.6%	15.3%	12.1%	13.3%
HV 60d	13.5%	12.7%	13.9%	12.8%	13.8%
IV Rank	15.0%	5.9%	27.8%	21.0%	9.5%
IV Percentile	25.1%	4.8%	56.0%	36.5%	16.7%
Term Structure	-0.6%	-1.8%	0.6%	0.6%	-1.1%
VWIV	15.7%	14.0%	18.5%	16.0%	15.1%
Skew 25d	2.5%	1.9%	3.8%	2.2%	1.9%
Skew 10d	5.7%	1.5%	8.6%	1.5%	4.2%
Call IV 25d	14.6%	13.3%	16.6%	15.1%	14.7%
Put IV 25d	17.1%	15.5%	19.1%	17.3%	16.6%
Bid-Ask Spread %	61.81	20.38	89.46	89.46	30.35
Gamma HHI	0.26	0.19	0.29	0.25	0.27
Net GEX	3.8M	1.5M	6.8M	3.8M	3.6M
Net DEX	-2.1M	-25.0M	15.1M	3.2M	3.7M
Net VEX	-269.8K	-333.9K	-213.1K	-245.7K	-244.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.06	1.32	0.72	0.40
Total Volume	2,855.7	259	7,623	2,057	3,116
Total OI	29,564.9	27,034	33,250	27,048	29,736

Daily Data (20 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
2015-05-01	$83.23	$85.00	16.4%	4.7%	12.1%	21.0%	16.0%	2.2%	0.6%	3.8M	3.2M	-245.7K	0.72	89.46	1,195	862	18,994	8,054
2015-05-04	$83.12	$87.50	16.4%	4.8%	11.6%	21.5%	16.8%	2.2%	-0.8%	3.5M	5.6M	-236.1K	0.07	82.08	1,816	125	18,988	8,046
2015-05-05	$81.59	$85.00	17.1%	4.9%	12.6%	25.2%	17.0%	2.5%	-0.5%	1.5M	15.0M	-215.3K	0.74	79.96	1,231	906	20,028	8,155
2015-05-06	$81.99	$85.00	16.6%	4.8%	12.9%	22.2%	16.7%	2.2%	-0.5%	1.5M	15.1M	-213.1K	0.23	83.71	4,739	1,096	20,058	8,208
2015-05-07	$82.71	$82.50	16.0%	4.8%	13.4%	19.2%	18.5%	2.8%	-0.7%	2.4M	4.3M	-244.8K	0.23	84.54	5,916	1,346	20,149	8,393
2015-05-08	$83.67	$82.50	14.7%	4.6%	14.0%	12.2%	16.2%	2.5%	-0.3%	3.9M	-6.6M	-273.6K	1.32	85.43	134	177	21,429	8,682
2015-05-11	$82.70	$82.50	16.9%	4.7%	14.4%	23.8%	16.2%	2.1%	-0.8%	2.0M	3.8M	-245.8K	0.44	83.28	180	79	21,335	8,770
2015-05-12	$82.93	$82.50	17.6%	4.7%	14.3%	27.8%	17.5%	2.7%	-0.5%	2.3M	1.4M	-249.1K	0.44	83.23	3,228	1,420	21,316	8,826
2015-05-13	$82.28	$82.50	16.1%	4.6%	14.2%	19.7%	15.6%	2.4%	-0.4%	1.5M	2.3M	-291.2K	0.14	75.35	6,687	936	23,285	9,202
2015-05-14	$82.84	$82.50	15.5%	4.4%	14.5%	16.2%	15.4%	2.6%	-0.3%	3.0M	-8.2M	-318.9K	0.45	82.32	2,144	960	23,362	9,338
2015-05-15	$83.79	$82.50	14.6%	4.2%	15.3%	6.1%	15.8%	2.9%	0.5%	6.4M	-19.9M	-333.3K	0.78	37.23	1,577	1,230	23,818	9,432
2015-05-18	$83.59	$82.50	15.6%	4.5%	14.9%	11.5%	15.2%	2.7%	-0.9%	6.2M	-19.9M	-325.8K	0.06	38.17	1,137	68	20,901	7,949
2015-05-19	$83.98	$82.50	14.9%	4.3%	14.9%	7.4%	14.9%	2.5%	0.0%	6.8M	-25.0M	-333.9K	0.46	87.12	374	172	21,072	7,995
2015-05-20	$82.95	$82.50	15.3%	4.4%	15.3%	10.0%	14.8%	2.3%	-1.0%	5.9M	-13.7M	-308.6K	0.33	46.26	2,503	834	21,313	8,136
2015-05-21	$82.23	$82.50	14.9%	4.3%	15.1%	7.5%	14.3%	2.9%	-0.9%	4.4M	-2.2M	-271.5K	0.62	44.24	1,315	819	20,907	8,172
2015-05-22	$82.00	$82.50	14.6%	4.2%	15.0%	5.9%	14.0%	2.2%	-0.6%	4.3M	-1.4M	-267.4K	0.80	48.01	1,190	947	20,763	8,228
2015-05-26	$81.92	$82.50	15.5%	4.4%	14.4%	11.1%	15.6%	3.8%	-0.5%	4.0M	1.3M	-258.9K	0.82	31.58	1,119	918	20,921	8,320
2015-05-27	$82.04	$82.50	15.3%	4.4%	13.9%	10.1%	14.4%	2.7%	-1.1%	4.1M	144.6K	-258.4K	0.59	23.41	1,499	881	21,027	8,360
2015-05-28	$82.31	$82.50	15.7%	4.5%	13.6%	12.3%	14.7%	2.9%	-1.8%	4.5M	-1.9M	-259.6K	0.71	20.38	1,309	929	21,258	8,372
2015-05-29	$81.48	$82.50	15.2%	4.4%	13.3%	9.5%	15.1%	1.9%	-1.1%	3.6M	3.7M	-244.4K	0.40	30.35	2,230	886	21,318	8,418