CCI Options History — October 2015

In October 2015, CCI traded between $78.75 and $86.67. ATM implied volatility averaged 17.7%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.9% (HV 20d: 18.6%). Max pain ranged from $77.50 to $80.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2015-10-22: Highest Volume — 5,710 contracts
  • 2015-10-22: Largest IV drop — 27.6% change
  • 2015-10-01: Highest IV Rank — 47.1%
  • 2015-10-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.76$78.75$86.67$78.75$85.60
Max Pain$78.52$77.50$80.00$77.50$80.00
ATM IV17.7%14.0%21.5%21.5%15.4%
Expected Move5.2%4.0%6.2%6.2%4.4%
HV 20d18.6%16.1%21.1%18.8%19.6%
HV 60d19.5%18.2%20.6%18.9%20.6%
IV Rank26.5%4.3%47.1%47.1%13.7%
IV Percentile45.8%2.4%81.3%81.3%18.7%
Term Structure0.3%-1.2%1.9%0.9%1.3%
VWIV18.4%14.4%23.0%23.0%15.4%
Skew 25d3.5%2.0%4.8%4.8%3.8%
Skew 10d9.2%6.7%14.6%10.1%10.1%
Call IV 25d16.7%12.9%19.1%18.5%13.5%
Put IV 25d20.2%16.8%23.3%23.3%17.3%
Bid-Ask Spread %70.9416.0591.9682.4429.48
Gamma HHI0.370.210.500.210.45
Net GEX4.8M2.1M7.3M3.3M7.3M
Net DEX-30.6M-66.6M-2.4M-2.4M-57.7M
Net VEX-186.5K-239.9K-148.8K-174.2K-228.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.201.000.400.84
Total Volume2,292.9556395,7102,1461,508
Total OI24,318.90915,34227,16326,98523,973

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$78.75$77.5021.5%6.2%18.8%47.1%23.0%4.8%0.9%3.3M-2.4M-174.2K0.4082.441,53261419,6637,322
2015-10-02$79.76$77.5018.7%5.4%19.4%30.8%17.5%2.0%1.9%4.0M-8.9M-176.7K0.3289.942,07666219,8337,330
2015-10-05$81.42$77.5021.3%5.7%20.4%46.0%20.4%4.2%0.0%4.9M-20.8M-174.3K0.2279.0752311618,6637,360
2015-10-06$80.82$77.5017.8%5.8%19.9%25.8%21.4%3.5%-0.2%4.7M-16.9M-170.7K0.7975.5585267219,0047,464
2015-10-07$81.10$77.5019.4%5.8%18.6%34.7%19.5%4.0%-0.5%4.9M-18.4M-168.8K0.2877.792,46069919,0717,577
2015-10-08$81.66$77.5018.3%5.4%17.4%28.4%17.2%4.0%-0.0%4.9M-24.4M-171.8K0.4077.771,50860319,1957,605
2015-10-09$81.17$77.5017.2%5.6%17.1%22.3%21.8%3.5%-0.3%4.7M-21.4M-168.3K0.8578.9669058719,2067,547
2015-10-12$81.48$77.5015.9%5.4%17.1%14.9%18.6%3.7%-0.5%4.7M-22.7M-162.1K0.8480.1770659119,2327,639
2015-10-13$81.12$77.5017.0%5.8%17.1%21.0%21.1%2.9%-0.9%4.6M-20.4M-153.4K0.6381.6289756819,2297,648
2015-10-14$80.39$77.5019.8%5.7%17.5%37.0%19.3%3.6%-1.2%2.8M-15.2M-148.8K0.3082.502,24367819,3937,592
2015-10-15$81.24$77.5019.8%5.7%17.6%37.3%18.5%3.5%-1.0%4.9M-17.5M-155.0K0.4578.111,47767019,4057,550
2015-10-16$81.67$77.5018.1%5.2%17.3%30.7%19.9%3.7%0.3%2.1M-17.7M-152.3K0.2680.422,76772619,4217,561
2015-10-19$82.50$77.5018.3%5.3%17.5%32.0%18.0%3.1%0.6%2.6M-13.1M-158.8K0.3084.562,2516799,3096,033
2015-10-20$83.07$80.0018.9%5.4%16.1%35.7%17.9%2.8%-0.3%3.1M-18.3M-173.9K0.2777.893,17084110,5886,198
2015-10-21$83.06$80.0019.3%5.5%16.2%38.1%19.4%3.1%0.3%3.9M-24.2M-199.2K0.7884.651,06882912,4706,487
2015-10-22$86.67$80.0014.0%4.0%21.1%4.3%15.8%3.9%1.6%4.0M-52.0M-196.1K0.2089.044,77493612,9496,681
2015-10-23$85.45$80.0015.4%4.4%21.0%13.3%15.4%3.4%0.7%6.6M-56.7M-239.9K0.6461.541,29383216,2427,060
2015-10-26$86.36$80.0015.6%4.5%20.0%14.8%14.4%4.3%1.4%6.5M-66.6M-235.5K0.8291.961,01183216,6627,191
2015-10-27$85.85$80.0015.9%4.6%20.3%16.8%16.2%2.8%0.6%6.6M-59.4M-231.0K1.0016.051,0031,00416,4647,192
2015-10-28$85.95$80.0016.4%4.7%19.8%19.4%16.8%3.3%0.9%6.7M-60.1M-234.1K0.7435.551,06578516,6217,415
2015-10-29$85.74$80.0016.2%4.6%19.8%18.1%16.3%3.6%0.8%6.9M-59.1M-230.3K0.6625.5999165616,5487,423
2015-10-30$85.60$80.0015.4%4.4%19.6%13.7%15.4%3.8%1.3%7.3M-57.7M-228.2K0.8429.4881869016,5487,425