CCI Options History — January 2016

In January 2016, CCI traded between $78.29 and $87.09. ATM implied volatility averaged 23.2%, placing in the 63.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.3% (HV 20d: 23.0%). Max pain ranged from $87.50 to $87.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.12.

Notable Days

2016-01-15: Highest Volume — 7,343 contracts
2016-01-15: Largest IV spike — 24.5% change
2016-01-20: Highest IV Rank — 96.9%
2016-01-20: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$83.02	$78.29	$87.09	$85.52	$85.34
Max Pain	$87.50	$87.50	$87.50	$87.50	$87.50
ATM IV	23.2%	17.7%	28.6%	19.6%	20.5%
Expected Move	6.7%	5.3%	8.2%	5.6%	5.9%
HV 20d	23.0%	13.1%	31.7%	13.1%	31.7%
HV 60d	19.4%	16.6%	21.8%	16.6%	21.2%
IV Rank	63.1%	28.1%	96.9%	40.1%	45.8%
IV Percentile	90.0%	60.7%	99.6%	80.2%	81.0%
Term Structure	-1.4%	-3.5%	1.0%	-0.9%	1.0%
VWIV	20.3%	17.2%	24.2%	19.6%	20.3%
Skew 25d	4.5%	2.8%	6.6%	3.8%	2.8%
Skew 10d	10.3%	6.7%	16.7%	7.1%	9.3%
Call IV 25d	21.3%	17.2%	26.2%	18.2%	19.5%
Put IV 25d	25.8%	20.9%	32.4%	22.1%	22.3%
Bid-Ask Spread %	71.73	45.84	83.46	45.84	83.46
Gamma HHI	0.32	0.20	0.52	0.36	0.31
Net GEX	1.3M	-974.3K	5.3M	4.0M	-433.5K
Net DEX	25.8M	-12.2M	63.7M	10.8M	-11.8M
Net VEX	-207.9K	-263.5K	-136.5K	-225.1K	-261.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.29	2.58	0.46	2.24
Total Volume	3,595.368	1,919	7,343	1,919	3,588
Total OI	25,268.789	16,606	30,977	27,629	24,125

Daily Data (19 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
2016-01-04	$85.52	$87.50	19.6%	5.6%	13.1%	40.1%	19.6%	3.8%	-0.9%	4.0M	10.8M	-225.1K	0.46	45.84	1,317	602	14,308	13,321
2016-01-05	$87.09	$87.50	19.3%	5.3%	14.5%	37.9%	18.9%	3.6%	-0.7%	5.2M	-12.2M	-240.2K	0.38	71.87	1,497	566	14,437	13,389
2016-01-06	$86.28	$87.50	17.7%	5.5%	13.9%	28.1%	19.5%	3.1%	-1.1%	5.3M	-5.5M	-236.5K	0.42	55.82	1,452	606	14,745	13,368
2016-01-07	$84.53	$87.50	20.9%	6.2%	15.6%	48.0%	20.3%	3.1%	-1.5%	3.4M	25.1M	-212.2K	1.73	72.83	1,814	3,132	15,033	13,528
2016-01-08	$82.98	$87.50	22.8%	6.6%	16.7%	60.0%	20.3%	4.9%	-3.5%	74.1K	58.1M	-205.9K	0.29	76.55	1,802	529	14,857	16,120
2016-01-11	$83.86	$87.50	21.0%	6.0%	17.2%	49.0%	20.4%	4.2%	-2.0%	2.5M	35.4M	-185.3K	0.47	75.21	1,326	627	14,798	13,619
2016-01-12	$84.22	$87.50	21.2%	6.0%	17.1%	50.3%	19.2%	4.4%	-1.4%	2.5M	34.6M	-181.7K	0.47	77.47	1,433	680	14,860	13,709
2016-01-13	$82.92	$87.50	23.1%	6.6%	17.7%	62.1%	20.9%	4.4%	-2.6%	314.8K	47.1M	-167.5K	0.46	78.16	2,030	929	14,791	13,803
2016-01-14	$83.96	$87.50	22.2%	6.4%	18.2%	56.7%	21.4%	3.6%	-1.3%	3.3M	35.7M	-186.0K	0.61	74.82	1,534	933	15,427	13,903
2016-01-15	$79.25	$87.50	27.7%	7.9%	27.0%	91.2%	22.4%	5.1%	-3.5%	-974.3K	63.7M	-136.5K	1.31	77.21	3,178	4,165	15,754	13,828
2016-01-19	$79.51	$87.50	26.3%	7.6%	27.2%	82.7%	21.7%	5.8%	-1.4%	-895.1K	51.2M	-156.0K	0.87	73.88	2,601	2,257	6,426	10,180
2016-01-20	$78.29	$87.50	28.6%	8.2%	27.4%	96.9%	23.1%	6.2%	-2.0%	-465.9K	51.8M	-158.1K	1.30	68.25	2,026	2,640	7,894	10,209
2016-01-21	$79.25	$87.50	26.2%	7.5%	27.4%	81.7%	24.2%	5.6%	-1.1%	-15.0K	46.1M	-177.2K	1.34	70.73	1,816	2,442	9,255	10,368
2016-01-22	$81.57	$87.50	23.9%	6.9%	29.3%	67.5%	21.2%	4.8%	-0.6%	93.3K	29.7M	-217.0K	1.03	66.03	2,521	2,593	10,428	10,404
2016-01-25	$81.24	$87.50	27.9%	8.0%	29.2%	92.6%	17.2%	6.6%	-3.0%	824.4K	23.4M	-224.0K	2.58	71.31	1,012	2,610	12,241	10,356
2016-01-26	$83.42	$87.50	26.2%	7.5%	31.1%	82.1%	17.5%	5.0%	-1.6%	378.6K	6.0M	-256.0K	1.63	66.70	1,615	2,640	12,590	10,438
2016-01-27	$83.29	$87.50	25.7%	7.4%	31.0%	78.7%	18.9%	4.8%	-1.0%	653.5K	5.4M	-260.8K	1.67	77.39	1,539	2,576	13,150	10,552
2016-01-28	$84.87	$87.50	20.8%	6.0%	31.7%	47.9%	19.2%	4.5%	0.8%	-486.5K	-5.1M	-263.5K	2.06	79.44	1,204	2,480	13,160	10,733
2016-01-29	$85.34	$87.50	20.5%	5.9%	31.7%	45.8%	20.3%	2.8%	1.0%	-433.5K	-11.8M	-261.3K	2.24	83.46	1,106	2,482	13,307	10,818