CCI Options History — November 2015

In November 2015, CCI traded between $83.63 and $87.94. ATM implied volatility averaged 17.4%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 2.1% (HV 20d: 19.5%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2015-11-20: Highest Volume — 12,053 contracts
  • 2015-11-13: Largest IV spike — 13.4% change
  • 2015-11-13: Highest IV Rank — 41.1%
  • 2015-11-13: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.79$83.63$87.94$87.77$85.91
Max Pain$84.25$80.00$85.00$80.00$85.00
ATM IV17.4%15.4%19.8%15.4%18.4%
Expected Move5.0%4.4%5.7%4.4%5.3%
HV 20d19.5%15.4%22.5%20.2%15.7%
HV 60d20.2%18.3%21.5%21.2%18.3%
IV Rank25.8%13.3%41.1%13.3%32.5%
IV Percentile48.4%17.9%76.2%17.9%65.9%
Term Structure-1.2%-2.6%0.9%0.7%-2.6%
VWIV17.5%15.2%23.0%15.5%17.6%
Skew 25d3.7%2.8%4.9%2.8%4.9%
Skew 10d7.6%5.1%11.3%11.3%8.4%
Call IV 25d15.7%13.9%17.0%14.6%15.2%
Put IV 25d19.4%17.4%20.7%17.4%20.1%
Bid-Ask Spread %59.8516.9886.0516.9831.17
Gamma HHI0.510.320.830.420.47
Net GEX7.6M3.6M11.1M5.6M7.2M
Net DEX-46.2M-85.6M-22.4M-82.9M-26.9M
Net VEX-208.4K-236.7K-186.9K-207.8K-202.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.062.160.490.06
Total Volume2,058.4512312,0531,897985
Total OI26,078.4523,02728,41824,03923,644

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$87.77$80.0015.4%4.4%20.2%13.3%15.5%2.8%0.7%5.6M-82.9M-207.8K0.4916.981,27062716,5757,464
2015-11-03$87.94$80.0015.7%4.5%19.8%15.3%15.2%3.8%0.9%5.6M-85.6M-208.5K0.6622.8878251516,8857,571
2015-11-04$87.26$80.0015.5%4.5%20.2%14.1%16.3%3.0%0.5%6.1M-78.0M-216.4K0.5927.2179947316,9117,610
2015-11-05$86.54$85.0016.1%4.8%20.6%18.1%16.8%3.8%-1.2%6.6M-69.7M-216.9K1.7379.501,3652,35716,8977,672
2015-11-06$84.72$85.0017.2%5.0%22.1%25.0%17.1%3.3%-1.1%6.9M-34.2M-219.9K0.1283.732,01723817,2619,333
2015-11-09$83.94$85.0017.3%5.0%22.5%25.1%16.3%3.7%-1.1%7.8M-23.4M-209.3K0.1582.136539617,9279,407
2015-11-10$84.36$85.0017.6%5.2%22.4%27.6%16.4%3.7%-1.4%8.2M-29.5M-213.6K0.2675.341,55740418,3469,450
2015-11-11$84.39$85.0017.8%5.1%22.0%28.4%17.1%3.5%-1.3%8.1M-31.1M-212.1K0.2681.371,55440418,3469,468
2015-11-12$84.19$85.0017.4%5.0%21.9%26.2%17.6%3.8%-1.3%8.6M-29.1M-209.6K0.4078.871,06042018,4609,669
2015-11-13$83.63$85.0019.8%5.7%22.0%41.1%18.4%4.0%-2.3%8.7M-22.4M-204.2K0.4482.901,05046118,4879,689
2015-11-16$84.58$85.0018.8%5.4%22.1%35.0%18.5%3.9%-1.2%10.2M-31.0M-191.8K0.0679.322441518,4819,666
2015-11-17$85.06$85.0018.3%5.2%22.1%31.4%17.9%4.3%-1.1%11.1M-40.1M-186.9K0.3683.651,17042618,4359,674
2015-11-18$85.89$85.0018.4%5.3%22.3%32.3%15.9%4.6%-2.1%9.6M-60.6M-188.0K0.1786.052,48843018,6849,697
2015-11-19$86.09$85.0018.1%5.2%16.2%30.5%18.1%3.8%-2.0%9.6M-59.2M-193.0K0.4584.3796243518,7009,718
2015-11-20$86.99$85.0017.1%4.9%15.8%24.0%17.0%3.7%-1.4%3.6M-74.8M-187.3K0.0772.8011,27378018,6979,720
2015-11-23$87.40$85.0017.2%4.9%15.4%24.5%16.2%4.0%-1.5%7.3M-45.4M-236.7K1.3249.05537015,8017,226
2015-11-24$86.73$85.0016.6%4.8%15.6%21.0%18.7%3.0%-1.1%7.3M-37.9M-228.2K2.1626.6013228515,8397,268
2015-11-25$86.34$85.0016.6%4.7%15.7%20.7%20.0%3.6%-1.4%7.4M-32.3M-221.0K0.8424.6791876815,9307,532
2015-11-27$86.07$85.0018.0%5.2%15.7%29.8%23.0%3.9%-1.4%7.1M-30.1M-213.9K0.4828.371,10552815,9377,492
2015-11-30$85.91$85.0018.4%5.3%15.7%32.5%17.6%4.9%-2.6%7.2M-26.9M-202.8K0.0631.179325316,1577,487