CCI Options History — April 2016

In April 2016, CCI traded between $86.01 and $88.07. ATM implied volatility averaged 15.8%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.5% (HV 20d: 12.3%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2016-04-07: Highest Volume — 26,682 contracts
  • 2016-04-22: Largest IV drop — 28.6% change
  • 2016-04-21: Highest IV Rank — 45.3%
  • 2016-04-21: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.28$86.01$88.07$87.20$86.94
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV15.8%12.5%20.0%12.5%14.7%
Expected Move4.9%3.6%5.7%3.6%4.2%
HV 20d12.3%9.8%14.4%12.2%14.2%
HV 60d18.3%15.4%22.2%22.2%15.4%
IV Rank20.0%0.0%45.3%0.0%13.5%
IV Percentile27.3%0.0%73.4%0.0%11.9%
Term Structure0.2%-2.2%3.8%3.8%1.4%
VWIV17.3%14.1%20.9%14.1%14.9%
Skew 25d3.5%2.3%4.3%2.4%3.3%
Skew 10d7.8%3.7%10.6%6.2%10.6%
Call IV 25d15.7%11.9%18.0%11.9%13.9%
Put IV 25d19.2%14.3%21.7%14.3%17.3%
Bid-Ask Spread %34.1217.0478.0423.8424.19
Gamma HHI0.320.150.830.370.21
Net GEX14.2M4.5M61.0M11.7M9.8M
Net DEX-69.3M-121.6M-34.2M-68.2M-52.3M
Net VEX-508.2K-660.9K-241.8K-253.7K-622.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.051.571.220.09
Total Volume11,799.2862,21326,6822,28511,672
Total OI48,489.1927,21360,84227,21356,599

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$87.20$85.0012.5%3.6%12.2%0.0%14.1%2.4%3.8%11.7M-68.2M-253.7K1.2223.841,0291,25618,7828,431
2016-04-04$87.02$85.0013.3%4.6%12.0%4.7%17.4%3.9%-0.1%12.4M-67.4M-246.8K1.5718.618601,35318,9368,502
2016-04-05$86.06$85.0016.1%5.5%11.8%21.8%18.2%4.2%-2.2%11.3M-49.1M-243.1K1.4117.049381,32719,0088,650
2016-04-06$86.96$85.0012.9%4.8%12.0%2.4%17.6%3.8%0.6%13.0M-65.4M-241.8K0.2423.745,8401,39719,0328,708
2016-04-07$86.79$85.0015.3%5.3%11.9%16.6%18.4%3.8%-1.3%12.8M-67.4M-269.9K0.0518.0725,3321,35022,5938,862
2016-04-08$87.99$85.0013.8%5.3%12.7%7.9%16.9%3.7%-1.1%16.9M-121.3M-628.3K0.1158.3512,4721,33947,5058,957
2016-04-11$87.59$85.0015.7%5.4%12.7%19.0%20.2%4.3%-1.1%18.3M-113.7M-617.6K0.3155.8711,2593,45748,2529,028
2016-04-12$87.58$85.0015.7%5.3%12.1%19.3%19.1%3.5%-1.0%18.2M-105.3M-595.7K0.0849.4311,34889448,46311,245
2016-04-13$87.88$85.0018.5%5.3%12.0%35.9%19.0%4.2%-1.4%18.2M-121.6M-660.9K0.0874.2710,86885448,70211,584
2016-04-14$87.15$85.0018.3%5.3%12.3%35.2%19.2%3.9%-1.2%24.0M-90.6M-520.9K0.1045.8611,2191,06848,84511,647
2016-04-15$87.35$85.0017.7%5.1%10.0%31.2%18.0%3.3%-0.5%61.0M-94.3M-535.2K0.0733.6512,32990348,84212,000
2016-04-18$87.52$85.0018.0%5.2%9.8%33.2%16.9%3.9%0.0%4.5M-35.7M-495.3K0.0517.2514,41378636,7248,887
2016-04-19$88.07$85.0018.2%5.2%9.9%34.4%19.5%3.3%-0.4%7.1M-53.6M-611.7K0.1027.5911,2891,09640,3708,969
2016-04-20$87.66$85.0018.9%5.4%10.1%38.8%20.9%3.4%-0.4%6.9M-51.5M-627.0K0.0833.2710,93186240,8269,256
2016-04-21$86.01$85.0020.0%5.7%12.3%45.3%18.7%3.7%-0.9%5.4M-34.2M-545.3K0.0724.1313,31597341,0129,295
2016-04-22$87.72$85.0014.3%4.1%14.1%10.8%14.3%2.4%2.2%9.8M-54.9M-624.9K0.0878.0411,80097642,9799,620
2016-04-25$87.06$85.0014.7%4.2%14.4%13.2%15.2%2.9%1.9%8.5M-45.5M-541.2K0.0921.1311,09499443,5939,853
2016-04-26$87.49$85.0014.5%4.2%14.3%12.1%14.2%2.3%1.8%9.6M-55.6M-627.1K0.0819.8611,15392243,6689,923
2016-04-27$87.80$85.0014.4%4.1%14.1%11.7%15.8%3.3%1.4%9.8M-53.6M-549.6K0.0833.3813,6211,05443,79410,047
2016-04-28$87.07$85.0014.6%4.2%14.4%12.8%14.9%3.6%1.7%10.0M-54.9M-613.8K0.0919.0111,1261,01646,04710,237
2016-04-29$86.94$85.0014.7%4.2%14.2%13.5%14.9%3.3%1.4%9.8M-52.3M-622.5K0.0924.1910,70596746,30010,299