CCI Options History — September 2015

In September 2015, CCI traded between $76.42 and $82.37. ATM implied volatility averaged 21.5%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.6% (HV 20d: 22.1%). Max pain ranged from $77.50 to $82.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.76.

Notable Days

2015-09-30: Highest Volume — 2,885 contracts
2015-09-28: Largest IV spike — 10.3% change
2015-09-02: Highest IV Rank — 63.8%
2015-09-02: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.02	$76.42	$82.37	$81.38	$78.93
Max Pain	$79.88	$77.50	$82.50	$82.50	$77.50
ATM IV	21.5%	18.9%	24.5%	24.4%	22.3%
Expected Move	6.1%	5.4%	7.0%	7.0%	6.4%
HV 20d	22.1%	19.0%	24.3%	22.5%	19.2%
HV 60d	17.9%	16.8%	19.1%	16.8%	19.1%
IV Rank	46.6%	32.2%	63.8%	63.7%	51.2%
IV Percentile	79.4%	61.1%	93.3%	93.3%	84.9%
Term Structure	0.6%	-0.9%	2.2%	-0.7%	2.2%
VWIV	22.1%	19.0%	27.6%	27.6%	21.1%
Skew 25d	5.1%	3.4%	8.5%	8.3%	7.5%
Skew 10d	10.1%	5.1%	16.3%	12.5%	11.2%
Call IV 25d	19.4%	12.5%	23.8%	23.8%	14.7%
Put IV 25d	24.5%	21.0%	32.1%	32.1%	22.2%
Bid-Ask Spread %	78.80	69.25	87.17	86.99	87.17
Gamma HHI	0.24	0.16	0.65	0.25	0.21
Net GEX	2.5M	-7.6M	6.1M	5.0M	3.1M
Net DEX	1.9M	-22.2M	16.2M	-17.9M	-1.7M
Net VEX	-195.1K	-293.2K	-136.8K	-272.9K	-167.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.76	0.04	1.55	1.25	0.42
Total Volume	1,674.571	1,130	2,885	1,372	2,885
Total OI	28,119.762	24,443	30,603	29,174	26,129

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
2015-09-01	$81.38	$82.50	24.4%	7.0%	22.5%	63.7%	27.6%	8.3%	-0.7%	5.0M	-17.9M	-272.9K	1.25	86.99	611	761	21,945	7,229
2015-09-02	$82.11	$82.50	24.5%	7.0%	22.7%	63.8%	23.8%	6.8%	-0.9%	5.4M	-22.2M	-293.2K	0.86	84.33	784	676	21,967	7,245
2015-09-03	$82.36	$82.50	22.4%	6.3%	22.7%	51.9%	23.5%	5.2%	0.8%	6.1M	-22.1M	-275.6K	1.22	69.25	608	739	22,164	7,242
2015-09-04	$81.26	$82.50	22.9%	6.5%	23.2%	54.9%	24.2%	5.3%	0.9%	4.9M	-11.3M	-260.2K	1.08	71.53	669	722	22,180	7,246
2015-09-08	$82.37	$82.50	23.2%	6.1%	23.2%	56.3%	21.5%	5.4%	0.4%	6.0M	-16.5M	-253.4K	0.07	75.39	1,843	122	22,153	7,269
2015-09-09	$80.74	$82.50	22.5%	6.5%	23.9%	52.8%	23.8%	4.6%	-0.4%	4.6M	-6.9M	-233.0K	1.22	74.55	534	651	22,372	7,329
2015-09-10	$79.25	$82.50	22.4%	6.4%	24.2%	52.0%	23.1%	3.9%	-0.8%	2.8M	4.5M	-209.0K	0.79	75.55	962	761	22,386	7,359
2015-09-11	$78.50	$82.50	23.3%	6.7%	24.3%	57.0%	24.2%	3.9%	-0.2%	1.8M	12.3M	-185.0K	0.87	76.31	751	653	22,455	7,432
2015-09-14	$78.78	$82.50	22.3%	6.4%	23.6%	51.3%	24.7%	5.3%	-0.4%	2.1M	10.7M	-184.4K	0.47	71.54	1,351	630	22,423	7,459
2015-09-15	$78.37	$82.50	21.1%	6.0%	23.4%	44.3%	21.1%	4.5%	0.1%	1.2M	15.5M	-168.9K	0.04	72.56	1,979	86	22,490	7,469
2015-09-16	$78.35	$77.50	20.3%	5.8%	23.3%	40.0%	20.6%	4.3%	0.3%	1.8M	11.6M	-169.7K	0.69	74.92	921	638	22,592	7,502
2015-09-17	$77.98	$77.50	20.0%	5.7%	23.2%	38.2%	20.6%	3.7%	0.6%	1.6M	11.1M	-167.7K	1.55	83.71	683	1,060	22,802	7,467
2015-09-18	$77.43	$77.50	20.0%	5.7%	23.1%	38.2%	19.1%	3.4%	0.9%	-7.6M	16.2M	-162.8K	0.58	78.32	1,040	605	22,830	7,773
2015-09-21	$77.63	$77.50	18.9%	5.4%	22.4%	32.2%	19.5%	3.4%	1.5%	1.7M	10.4M	-156.4K	0.88	80.83	696	609	17,546	6,897
2015-09-22	$76.42	$77.50	19.6%	5.6%	20.5%	36.2%	21.6%	3.6%	1.5%	1.1M	15.2M	-136.8K	0.86	77.01	644	553	17,671	6,904
2015-09-23	$76.88	$77.50	18.9%	5.4%	20.7%	32.3%	19.0%	5.3%	1.9%	1.5M	12.6M	-149.1K	0.34	73.39	1,643	563	17,822	6,884
2015-09-24	$76.79	$77.50	19.1%	5.5%	19.3%	33.0%	21.2%	4.8%	2.1%	1.7M	10.9M	-154.9K	1.05	83.64	550	580	18,849	6,917
2015-09-25	$78.72	$77.50	19.4%	5.6%	19.0%	34.8%	19.8%	8.5%	1.1%	3.0M	619.9K	-166.6K	0.66	85.42	907	602	18,935	6,957
2015-09-28	$77.67	$77.50	21.4%	6.1%	19.4%	46.3%	21.8%	4.9%	1.2%	2.6M	3.0M	-170.4K	0.52	86.20	1,390	723	19,231	6,982
2015-09-29	$77.53	$77.50	21.9%	6.3%	19.4%	49.2%	22.4%	4.3%	0.5%	2.4M	5.0M	-158.8K	0.48	86.22	1,338	643	18,914	7,097
2015-09-30	$78.93	$77.50	22.3%	6.4%	19.2%	51.2%	21.1%	7.5%	2.2%	3.1M	-1.7M	-167.9K	0.42	87.17	2,034	851	19,022	7,107