CCI Options History — February 2016

In February 2016, CCI traded between $81.71 and $86.92. ATM implied volatility averaged 23.3%, placing in the 63.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 4.0% (HV 20d: 27.4%). Max pain ranged from $82.50 to $87.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-02-18: Highest Volume — 6,329 contracts
  • 2016-02-08: Largest IV spike — 22.3% change
  • 2016-02-09: Highest IV Rank — 100.0%
  • 2016-02-08: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$84.97$81.71$86.92$86.92$86.73
Max Pain$83.50$82.50$87.50$87.50$85.00
ATM IV23.3%20.0%29.1%20.0%21.4%
Expected Move6.6%5.7%7.9%5.7%6.1%
HV 20d27.4%20.3%32.8%32.4%20.5%
HV 60d22.5%21.2%23.0%21.6%22.9%
IV Rank63.6%42.6%100.0%42.6%51.5%
IV Percentile88.1%74.6%100.0%79.8%81.3%
Term Structure-1.7%-3.6%0.3%0.3%-2.1%
VWIV23.8%20.1%27.4%21.2%25.2%
Skew 25d5.3%3.9%6.7%3.9%5.3%
Skew 10d12.2%8.9%14.5%12.2%14.1%
Call IV 25d20.8%18.9%25.4%19.2%19.1%
Put IV 25d26.1%23.1%31.2%23.1%24.4%
Bid-Ask Spread %74.9665.2083.8183.6183.81
Gamma HHI0.290.210.380.360.29
Net GEX2.2M-1.4M7.1M-1.3M7.1M
Net DEX-13.6M-58.9M30.7M-29.9M-58.9M
Net VEX-249.5K-290.8K-206.4K-266.5K-286.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.131.340.801.13
Total Volume2,310.051,0866,3291,9811,782
Total OI25,219.2520,14430,67324,57124,846

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$86.92$87.5020.0%5.7%32.4%42.6%21.2%3.9%0.3%-1.3M-29.9M-266.5K0.8083.611,10188013,64410,927
2016-02-02$86.24$87.5023.1%6.6%32.1%62.1%21.3%4.1%-0.6%-1.1M-20.8M-265.0K0.7481.7999173513,67211,192
2016-02-03$86.84$87.5020.8%6.0%31.5%47.4%23.8%4.6%0.3%-1.4M-25.9M-267.0K0.8880.5695183413,84711,307
2016-02-04$86.22$82.5022.8%6.3%31.4%60.0%23.7%5.0%-1.8%-1.4M-19.7M-267.3K0.5866.6393954713,95411,524
2016-02-05$84.02$82.5023.7%6.7%32.0%65.9%23.5%6.6%-2.6%113.2K5.9M-256.6K0.5065.201,08053814,19711,616
2016-02-08$81.75$85.0029.0%7.9%32.8%99.3%27.1%4.8%-3.6%1.5M25.6M-229.0K1.1670.661,0081,16914,34711,600
2016-02-09$82.20$82.5029.1%7.5%32.6%100.0%27.0%6.2%-1.6%1.3M23.5M-230.2K1.3469.7065287114,31811,911
2016-02-10$81.84$82.5026.2%7.5%32.6%81.7%25.8%6.7%-1.9%1.9M26.5M-225.2K0.8471.0362953114,41812,048
2016-02-11$81.71$82.5026.7%7.7%32.1%85.0%26.3%6.7%-2.1%1.8M30.7M-216.9K0.4970.161,02150214,48012,105
2016-02-12$83.18$82.5025.8%7.4%32.5%79.3%27.4%6.2%-2.0%1.7M17.4M-228.5K0.6374.5568743614,87112,188
2016-02-16$83.89$82.5024.7%7.1%24.5%72.2%25.9%5.7%-1.0%2.0M10.7M-212.0K0.6568.3971246314,94012,197
2016-02-17$84.72$82.5021.1%6.1%24.6%49.5%22.0%5.2%-0.6%2.1M4.6M-206.4K0.1970.793,34063015,09712,154
2016-02-18$86.01$82.5022.6%6.5%24.0%59.1%21.6%4.9%-1.6%-575.2K-20.4M-243.6K0.1373.635,57775217,59112,233
2016-02-19$85.39$82.5021.8%6.2%24.1%53.8%20.1%5.3%-1.8%3.5M-12.2M-247.2K0.1376.665,48171018,27412,399
2016-02-22$86.66$82.5020.2%5.8%22.7%43.8%20.4%4.7%-1.7%5.3M-47.5M-259.2K0.3682.301,05237515,0945,050
2016-02-23$86.25$82.5022.7%6.5%22.7%59.8%24.4%4.7%-3.5%5.4M-44.7M-267.4K0.6279.3767141515,6235,124
2016-02-24$86.32$82.5021.4%6.1%20.9%51.2%23.8%4.8%-1.4%5.3M-44.6M-264.9K0.6775.0375049915,6475,208
2016-02-25$86.61$82.5021.1%6.0%20.9%49.1%22.3%4.8%-1.8%5.5M-45.2M-260.6K0.1575.233,70656715,4985,364
2016-02-26$85.81$82.5022.7%6.5%20.3%59.6%23.3%5.1%-3.1%6.4M-47.2M-290.8K1.1780.021,2071,41018,3745,506
2016-02-29$86.73$85.0021.4%6.1%20.5%51.5%25.2%5.3%-2.1%7.1M-58.9M-286.0K1.1383.8183594718,4396,407