CCI Options History — March 2016

In March 2016, CCI traded between $84.85 and $88.31. ATM implied volatility averaged 17.1%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.1% (HV 20d: 15.0%). 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 20 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2016-03-23: Highest Volume — 4,509 contracts
  • 2016-03-09: Largest IV drop — 17.2% change
  • 2016-03-07: Highest IV Rank — 61.6%
  • 2016-03-02: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.18$84.85$88.31$87.42$86.61
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV17.1%12.7%23.0%20.0%12.9%
Expected Move4.7%3.6%5.8%5.7%3.7%
HV 20d15.0%12.0%19.7%19.7%12.0%
HV 60d22.7%22.5%23.0%22.7%22.5%
IV Rank24.3%0.0%61.6%42.4%1.2%
IV Percentile39.5%0.0%89.3%71.8%0.4%
Term Structure2.0%-2.1%3.8%-1.2%3.1%
VWIV18.5%14.2%22.7%21.9%14.6%
Skew 25d3.8%2.1%4.9%4.0%2.1%
Skew 10d7.8%5.1%13.5%9.9%5.7%
Call IV 25d15.2%12.3%18.1%18.1%12.9%
Put IV 25d19.0%15.0%22.1%22.1%15.0%
Bid-Ask Spread %43.7914.2386.6786.6715.82
Gamma HHI0.330.290.460.290.37
Net GEX7.8M5.2M12.8M7.7M11.3M
Net DEX-48.7M-77.0M-25.8M-66.0M-59.8M
Net VEX-256.4K-289.0K-225.5K-285.3K-257.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.161.780.931.69
Total Volume2,296.0911,2934,5091,6792,510
Total OI25,667.519,56927,06525,07126,574

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$87.42$85.0020.0%5.7%19.7%42.4%21.9%4.0%-1.2%7.7M-66.0M-285.3K0.9386.6786881118,5646,507
2016-03-02$88.31$85.0020.2%5.8%19.7%43.9%21.6%4.9%-2.1%7.7M-77.0M-286.5K0.9986.6467366818,6896,855
2016-03-03$87.84$85.0019.6%5.0%19.7%39.6%18.9%4.0%1.9%7.9M-71.5M-286.5K0.5976.6981148218,8117,098
2016-03-04$87.34$85.0020.1%5.1%19.6%43.0%20.8%4.0%1.7%8.0M-64.2M-289.0K0.7179.4492565719,0077,105
2016-03-07$86.25$85.0023.0%5.4%17.7%61.6%21.2%4.8%1.1%7.3M-49.5M-277.0K0.6975.0882256519,2697,075
2016-03-08$85.61$85.0021.8%5.3%14.6%53.7%20.2%4.5%1.4%6.5M-42.0M-275.9K0.9182.3093484919,3117,048
2016-03-09$85.22$85.0018.0%5.2%14.7%30.0%22.6%4.7%1.7%5.8M-30.6M-256.1K0.8175.9188071119,3547,188
2016-03-10$84.97$85.0017.7%5.1%14.7%28.1%21.0%4.3%2.3%5.7M-28.0M-249.6K0.8338.7480566819,3677,279
2016-03-11$85.61$85.0017.3%5.0%14.7%25.6%21.1%4.2%2.0%6.4M-33.8M-247.1K0.7939.0584766819,4127,295
2016-03-14$84.85$85.0017.3%4.9%14.0%25.1%21.8%4.5%2.1%5.5M-25.8M-232.7K0.6914.2398167919,5117,376
2016-03-15$85.40$85.0017.0%4.9%13.9%23.5%22.7%4.2%2.0%5.7M-28.4M-227.9K0.2517.062,97273319,4817,429
2016-03-16$84.97$85.0016.2%4.6%13.6%18.4%21.3%3.5%2.6%5.2M-31.6M-235.0K0.3956.101,93175619,5037,397
2016-03-17$86.72$85.0015.5%4.4%14.5%13.7%17.6%3.6%2.2%12.8M-59.1M-236.4K0.3433.462,02069119,5747,404
2016-03-18$86.26$85.0014.6%4.2%14.4%8.6%15.6%3.2%2.9%5.8M-52.2M-228.4K0.3227.682,51280019,6297,436
2016-03-21$86.05$85.0016.4%4.7%13.4%19.8%14.8%3.7%1.7%5.9M-41.9M-225.5K0.1617.502,44539314,5165,053
2016-03-22$86.04$85.0015.8%4.5%13.3%16.2%14.2%3.5%2.5%7.9M-49.3M-243.4K0.6625.782,3151,52916,6455,148
2016-03-23$85.78$85.0015.3%4.4%13.3%12.9%14.3%3.5%2.4%8.9M-49.4M-264.4K0.8525.732,4352,07418,2356,296
2016-03-24$85.61$85.0015.0%4.3%13.3%10.6%14.9%3.3%2.8%9.1M-45.0M-266.4K1.6119.089091,46718,3156,549
2016-03-28$85.69$85.0015.8%4.5%12.9%16.1%16.5%3.1%2.9%9.1M-45.8M-253.6K1.7824.528511,51518,2696,705
2016-03-29$86.38$85.0013.5%3.9%12.6%1.6%15.4%3.0%3.4%10.3M-54.9M-258.7K1.1923.279691,15518,3077,835
2016-03-30$86.97$85.0012.7%3.6%12.5%0.0%14.5%2.9%3.8%11.2M-66.0M-258.5K1.3022.639691,25918,3817,883
2016-03-31$86.61$85.0012.9%3.7%12.0%1.2%14.6%2.1%3.1%11.3M-59.8M-257.9K1.6915.829321,57818,5348,040