CCI Options History — December 2015

In December 2015, CCI traded between $84.75 and $87.90. ATM implied volatility averaged 17.0%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.6% (HV 20d: 14.4%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2015-12-17: Highest Volume — 8,562 contracts
  • 2015-12-09: Largest IV drop — 18.1% change
  • 2015-12-08: Highest IV Rank — 49.4%
  • 2015-12-14: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.13$84.75$87.90$87.28$86.71
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV17.0%14.4%21.1%16.9%15.0%
Expected Move4.7%4.1%5.5%4.9%4.3%
HV 20d14.4%12.8%15.5%14.0%12.8%
HV 60d17.5%16.3%18.5%18.3%16.3%
IV Rank23.6%6.9%49.4%23.1%10.8%
IV Percentile42.4%4.4%84.9%44.0%13.5%
Term Structure1.4%-5.1%3.1%-1.6%2.3%
VWIV18.5%14.3%23.9%17.0%18.1%
Skew 25d3.3%1.0%4.3%4.3%2.3%
Skew 10d8.0%2.2%10.4%8.6%4.8%
Call IV 25d15.3%13.5%18.4%14.4%15.3%
Put IV 25d18.6%16.1%22.5%18.7%17.6%
Bid-Ask Spread %63.3521.1890.5922.9363.08
Gamma HHI0.420.300.610.490.32
Net GEX6.0M3.8M9.1M8.7M5.0M
Net DEX-20.6M-43.0M-5.2M-43.0M-10.8M
Net VEX-208.3K-293.4K-176.8K-209.0K-251.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.125.410.650.46
Total Volume3,222.2737608,5629231,696
Total OI25,014.95520,92428,77523,82827,513

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$87.28$85.0016.9%4.9%14.0%23.1%17.0%4.3%-1.6%8.7M-43.0M-209.0K0.6522.9355836516,3087,520
2015-12-02$85.80$85.0018.8%5.4%15.2%35.1%23.5%1.0%-5.1%7.1M-24.2M-203.1K0.5821.181,40080916,8107,873
2015-12-03$84.80$85.0018.2%4.5%15.5%31.1%20.0%4.3%2.4%6.2M-11.3M-186.9K0.4649.331,18354117,1248,091
2015-12-04$85.09$85.0017.9%4.4%15.3%29.0%21.2%4.1%2.6%6.8M-14.5M-188.1K0.4147.781,43059217,1228,081
2015-12-07$86.44$85.0020.9%4.4%14.4%48.5%16.0%2.7%1.7%8.0M-31.5M-197.0K0.2145.7862613416,3358,133
2015-12-08$86.04$85.0021.1%4.7%14.0%49.4%19.4%3.2%1.5%7.5M-25.5M-196.3K0.3250.582,10567816,1328,188
2015-12-09$85.33$85.0017.3%5.0%14.4%25.2%21.6%4.0%1.1%6.2M-16.0M-196.9K0.3846.661,76767416,5468,390
2015-12-10$85.38$85.0016.8%4.8%14.4%22.2%19.9%4.1%1.7%5.9M-13.5M-187.2K0.3965.321,57061416,1208,344
2015-12-11$84.75$85.0019.0%5.4%14.6%35.9%20.0%4.2%-0.2%4.4M-5.2M-177.0K0.4146.142,12187616,1068,325
2015-12-14$85.33$85.0019.2%5.5%14.5%37.6%19.7%4.2%0.4%5.2M-10.9M-177.9K0.3472.402,71992916,2558,484
2015-12-15$85.86$85.0018.1%5.2%14.2%30.3%23.9%4.1%0.9%6.8M-17.9M-183.8K0.2480.703,48083517,0178,498
2015-12-16$85.98$85.0017.4%5.0%14.1%26.2%18.1%3.9%1.4%9.1M-23.3M-181.6K0.5473.881,74393616,4278,578
2015-12-17$85.86$85.0016.8%4.8%13.6%22.3%15.6%3.2%1.6%4.0M-19.1M-176.8K0.1281.317,65990316,3798,527
2015-12-18$84.94$85.0016.9%4.8%14.1%22.7%19.1%2.5%2.3%3.9M-19.0M-195.4K0.3875.651,74265516,5298,529
2015-12-21$85.89$85.0016.6%4.8%14.2%21.1%14.3%3.4%1.3%6.1M-24.0M-193.8K0.4480.451,47464913,4697,455
2015-12-22$86.98$85.0014.4%4.1%14.9%6.9%15.5%3.1%3.1%7.0M-37.8M-195.5K0.4681.261,41365513,7267,479
2015-12-23$87.31$85.0014.4%4.1%14.7%6.9%15.5%2.3%2.7%7.2M-42.6M-196.7K3.5581.801,3234,70314,0347,502
2015-12-24$86.94$85.0014.4%4.1%14.6%7.1%17.7%3.0%3.0%3.9M-8.5M-293.4K5.1085.481,3066,66414,23314,542
2015-12-28$87.17$85.0015.2%4.4%14.6%12.4%16.7%3.2%2.2%3.8M-8.6M-278.2K5.4190.591,2336,66814,23514,536
2015-12-29$87.90$85.0014.4%4.1%14.8%7.0%14.7%2.1%3.1%5.0M-29.8M-259.4K0.4482.701,24154214,25813,134
2015-12-30$87.08$85.0014.6%4.2%14.2%8.1%19.9%3.3%2.9%5.1M-16.2M-256.3K0.4548.581,15552414,24813,194
2015-12-31$86.71$85.0015.0%4.3%12.8%10.8%18.1%2.3%2.3%5.0M-10.8M-251.6K0.4663.081,16353314,27613,237