CCI Options History — August 2015

In August 2015, CCI traded between $80.15 and $86.35. ATM implied volatility averaged 19.6%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.4% (HV 20d: 16.2%). Max pain ranged from $80.00 to $82.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2015-08-20: Highest Volume — 9,065 contracts
2015-08-24: Largest IV spike — 30.3% change
2015-08-24: Highest IV Rank — 90.1%
2015-08-24: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.39	$80.15	$86.35	$81.88	$83.41
Max Pain	$82.14	$80.00	$82.50	$80.00	$82.50
ATM IV	19.6%	14.6%	29.1%	15.2%	24.5%
Expected Move	5.7%	4.2%	8.3%	4.4%	7.0%
HV 20d	16.2%	11.4%	20.6%	16.5%	20.6%
HV 60d	14.1%	13.0%	16.6%	13.5%	16.0%
IV Rank	36.3%	7.4%	90.1%	10.9%	64.1%
IV Percentile	56.3%	4.4%	99.2%	13.9%	93.7%
Term Structure	-1.3%	-5.4%	1.7%	1.3%	-2.4%
VWIV	19.5%	14.8%	27.1%	15.2%	25.9%
Skew 25d	3.0%	0.8%	6.7%	1.4%	5.5%
Skew 10d	5.1%	1.0%	10.5%	4.1%	10.5%
Call IV 25d	18.6%	14.5%	25.9%	15.1%	22.1%
Put IV 25d	21.5%	16.0%	32.6%	16.5%	27.7%
Bid-Ask Spread %	82.36	78.29	87.76	86.01	84.38
Gamma HHI	0.32	0.21	0.44	0.34	0.25
Net GEX	8.1M	3.3M	13.0M	7.1M	6.4M
Net DEX	-49.4M	-109.8M	-8.4M	-21.3M	-34.5M
Net VEX	-282.5K	-320.8K	-258.2K	-271.0K	-304.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.10	1.39	0.21	1.30
Total Volume	2,223.762	116	9,065	116	1,332
Total OI	30,137.667	26,095	35,218	28,339	29,156

Daily Data (21 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
2015-08-03	$81.88	$80.00	15.2%	4.4%	16.5%	10.9%	15.2%	1.4%	1.3%	7.1M	-21.3M	-271.0K	0.21	86.01	96	20	19,912	8,427
2015-08-04	$81.91	$80.00	14.8%	4.3%	16.0%	8.9%	15.8%	0.8%	1.7%	7.4M	-24.5M	-273.2K	1.33	84.36	540	719	19,992	8,436
2015-08-05	$82.26	$80.00	14.6%	4.2%	15.2%	7.4%	14.8%	1.9%	1.5%	7.7M	-26.7M	-271.0K	0.87	84.46	725	631	20,018	8,412
2015-08-06	$82.14	$82.50	15.9%	4.8%	15.3%	14.7%	16.4%	2.5%	-1.2%	7.6M	-25.8M	-269.7K	0.93	78.63	641	598	20,078	8,439
2015-08-07	$82.33	$82.50	15.1%	4.8%	14.9%	10.1%	16.1%	2.8%	-1.1%	8.1M	-29.7M	-270.6K	1.31	79.56	518	677	20,122	8,446
2015-08-10	$83.48	$82.50	15.4%	4.7%	15.4%	11.9%	16.3%	2.4%	-1.0%	9.7M	-46.7M	-261.3K	1.39	82.25	492	686	20,142	8,462
2015-08-11	$84.18	$82.50	14.9%	4.5%	15.5%	9.5%	16.1%	2.0%	-1.1%	9.9M	-60.2M	-264.7K	0.48	80.50	580	277	20,108	8,443
2015-08-12	$84.96	$82.50	16.9%	4.9%	15.6%	20.8%	17.2%	2.4%	-1.0%	9.5M	-73.3M	-272.9K	0.52	78.29	1,585	826	20,472	8,595
2015-08-13	$84.89	$82.50	16.2%	4.6%	15.6%	16.5%	16.3%	2.3%	-0.1%	10.5M	-75.3M	-275.3K	0.78	80.09	1,167	916	21,444	8,621
2015-08-14	$86.02	$82.50	18.3%	5.3%	15.7%	28.9%	18.2%	1.1%	-0.7%	8.6M	-95.8M	-289.2K	0.19	80.79	5,608	1,059	21,892	8,740
2015-08-17	$86.35	$82.50	18.3%	5.3%	15.5%	28.7%	19.1%	1.6%	-1.2%	11.7M	-109.8M	-304.6K	0.57	80.76	1,418	814	25,951	8,928
2015-08-18	$85.33	$82.50	18.2%	5.2%	15.2%	28.2%	18.7%	1.4%	-1.2%	12.4M	-91.7M	-289.7K	1.00	79.86	827	826	26,099	8,941
2015-08-19	$85.43	$82.50	18.6%	5.3%	15.1%	30.1%	17.8%	1.0%	-2.7%	12.1M	-95.0M	-284.5K	0.39	80.90	237	92	26,056	8,944
2015-08-20	$84.47	$82.50	19.1%	5.5%	11.4%	33.2%	19.6%	2.4%	-1.0%	13.0M	-78.2M	-278.3K	0.10	80.50	8,267	798	26,141	9,037
2015-08-21	$82.77	$82.50	22.3%	6.4%	13.3%	51.5%	21.6%	3.3%	-2.0%	4.7M	-39.5M	-283.7K	0.52	79.31	1,399	730	26,102	9,116
2015-08-24	$80.23	$82.50	29.1%	8.3%	17.3%	90.1%	27.1%	6.7%	-5.4%	3.3M	-11.9M	-284.9K	0.43	87.19	1,604	696	19,127	6,968
2015-08-25	$80.15	$82.50	27.3%	7.8%	17.3%	79.8%	24.5%	5.6%	-0.8%	3.6M	-8.4M	-258.2K	0.22	85.79	3,094	671	19,746	7,048
2015-08-26	$81.60	$82.50	27.3%	7.8%	18.6%	79.8%	22.5%	5.5%	-3.4%	4.7M	-15.7M	-287.5K	0.47	87.76	1,212	571	21,463	7,088
2015-08-27	$83.75	$82.50	26.2%	7.5%	20.6%	73.8%	24.6%	5.5%	-3.7%	6.3M	-36.5M	-317.4K	0.54	83.80	1,384	745	21,612	7,084
2015-08-28	$83.64	$82.50	24.3%	7.0%	20.6%	62.9%	25.1%	4.7%	-2.6%	6.4M	-37.3M	-320.8K	0.91	84.41	849	772	21,942	7,141
2015-08-31	$83.41	$82.50	24.5%	7.0%	20.6%	64.1%	25.9%	5.5%	-2.4%	6.4M	-34.5M	-304.4K	1.30	84.38	579	753	21,939	7,217