CCI Options History — June 2015

In June 2015, CCI traded between $80.43 and $83.60. ATM implied volatility averaged 16.5%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.6% (HV 20d: 12.9%). Max pain ranged from $82.50 to $82.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2015-06-16: Highest Volume — 8,624 contracts
  • 2015-06-04: Largest IV spike — 30.7% change
  • 2015-06-09: Highest IV Rank — 45.0%
  • 2015-06-04: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.40$80.43$83.60$82.27$80.43
Max Pain$82.50$82.50$82.50$82.50$82.50
ATM IV16.5%13.3%21.3%16.8%17.0%
Expected Move4.6%3.8%5.3%4.8%4.9%
HV 20d12.9%12.2%14.2%13.8%12.4%
HV 60d13.4%12.4%14.1%13.9%12.4%
IV Rank17.2%0.0%45.0%18.8%21.2%
IV Percentile34.6%0.0%86.9%42.5%45.6%
Term Structure1.0%-2.4%2.7%-2.4%1.8%
VWIV15.7%13.5%18.5%16.9%17.8%
Skew 25d1.7%1.0%2.8%2.3%2.1%
Skew 10d3.9%-1.7%8.4%8.4%3.7%
Call IV 25d15.7%13.4%17.8%15.4%16.4%
Put IV 25d17.4%14.5%20.5%17.7%18.5%
Bid-Ask Spread %66.7422.7787.1922.7783.74
Gamma HHI0.300.250.350.290.31
Net GEX6.7M3.8M10.4M5.0M3.8M
Net DEX-15.1M-34.2M1.2M-5.1M-5.8M
Net VEX-303.3K-340.9K-249.7K-267.7K-292.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.151.440.600.31
Total Volume4,343.6822018,6242,3763,399
Total OI33,45128,06540,30230,32731,785

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$82.27$82.5016.8%4.8%13.8%18.8%16.9%2.3%-2.4%5.0M-5.1M-267.7K0.6022.771,48289421,8818,446
2015-06-02$82.35$82.5016.1%4.6%13.8%14.8%15.9%1.8%-2.0%4.9M-4.0M-263.8K0.6523.211227921,8798,518
2015-06-03$81.92$82.5016.0%4.6%12.2%14.2%13.8%2.1%-1.0%4.1M1.2M-249.7K0.1528.227,0041,04921,9708,600
2015-06-04$83.60$82.5020.9%5.3%14.0%42.8%18.5%2.8%-0.7%7.4M-34.2M-339.2K0.2355.316,8331,56922,6988,699
2015-06-05$82.79$82.5019.0%5.0%14.2%31.3%18.3%2.0%0.2%7.6M-28.8M-340.9K0.2857.494,1591,17924,8768,605
2015-06-08$82.70$82.5020.5%5.1%13.6%40.3%18.4%2.1%0.1%7.6M-24.7M-320.2K0.3463.463,4201,18025,1048,682
2015-06-09$81.94$82.5021.3%5.0%13.3%45.0%18.2%1.9%1.0%6.2M-13.9M-306.1K0.2463.874,3391,05825,0148,848
2015-06-10$82.26$82.5016.8%4.8%13.4%18.8%15.3%1.7%1.1%7.0M-16.9M-322.4K0.4070.542,9261,16626,1218,875
2015-06-11$83.01$82.5016.9%4.8%13.5%19.1%15.2%2.0%1.3%8.7M-27.3M-329.5K0.3873.263,0031,15126,2789,035
2015-06-12$82.71$82.5016.6%4.7%13.3%17.2%15.2%1.8%1.6%8.3M-22.5M-319.0K0.3572.533,0211,05326,4959,026
2015-06-15$82.62$82.5016.9%4.8%12.6%19.0%14.7%1.8%1.4%7.5M-16.7M-301.5K0.6572.784,6623,04126,5259,055
2015-06-16$82.95$82.5016.4%4.7%12.7%16.2%16.3%1.6%1.7%9.2M-4.9M-304.7K0.2172.967,1331,49128,61911,087
2015-06-17$82.69$82.5016.8%4.8%12.6%18.5%15.0%1.5%1.2%5.9M-2.2M-320.3K0.5177.853,3231,69628,61011,588
2015-06-18$83.58$82.5015.1%4.3%12.4%8.6%14.1%1.4%2.0%10.4M-15.9M-324.4K0.5477.123,1601,71628,62411,466
2015-06-19$82.87$82.5014.1%4.0%12.4%2.8%13.5%1.5%2.7%6.6M-6.6M-309.4K0.5078.682,8641,43728,80611,496
2015-06-22$82.82$82.5013.9%4.0%12.4%1.9%14.3%1.6%2.2%6.3M-24.4M-297.2K0.8381.4284470120,6607,405
2015-06-23$82.89$82.5013.9%4.0%12.3%1.9%14.6%1.1%2.2%6.8M-24.6M-294.2K1.4480.817431,06820,8797,427
2015-06-24$82.32$82.5013.7%3.9%12.6%0.9%14.1%1.2%2.3%6.2M-18.7M-288.3K0.2779.842,85377420,9587,819
2015-06-25$81.99$82.5013.3%3.8%12.7%0.0%13.5%1.4%2.6%6.9M-19.9M-303.9K1.2087.1964377222,9537,938
2015-06-26$81.48$82.5014.0%4.0%12.3%4.3%14.4%1.3%2.4%6.0M-13.4M-299.3K1.3164.2065585823,1288,038
2015-06-29$80.56$82.5016.8%4.8%12.4%19.8%16.8%1.0%1.1%4.4M-3.3M-278.4K0.2680.933,9981,04323,2088,198
2015-06-30$80.43$82.5017.0%4.9%12.4%21.2%17.8%2.1%1.8%3.8M-5.8M-292.7K0.3183.742,59580423,2888,497