CCI Options History — May 2016

In May 2016, CCI traded between $86.28 and $91.26. ATM implied volatility averaged 17.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.5% (HV 20d: 14.7%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2016-05-10: Highest Volume — 20,861 contracts
  • 2016-05-10: Largest IV spike — 30.9% change
  • 2016-05-10: Highest IV Rank — 42.4%
  • 2016-05-11: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.71$86.28$91.26$87.51$90.90
Max Pain$88.21$85.00$90.00$85.00$90.00
ATM IV17.2%14.9%19.5%15.0%17.2%
Expected Move5.0%4.3%5.5%4.3%4.9%
HV 20d14.7%12.6%16.2%14.3%12.6%
HV 60d13.6%12.9%15.4%15.4%12.9%
IV Rank28.5%14.6%42.4%14.9%28.1%
IV Percentile43.0%13.9%69.0%15.5%42.1%
Term Structure-0.5%-1.7%2.3%1.5%-1.1%
VWIV18.1%15.2%21.4%15.8%17.3%
Skew 25d3.7%2.5%4.8%3.1%3.8%
Skew 10d8.5%3.7%11.4%10.6%6.0%
Call IV 25d15.7%13.5%17.7%13.8%14.3%
Put IV 25d19.4%16.8%21.6%16.9%18.1%
Bid-Ask Spread %70.8121.4194.2421.4190.51
Gamma HHI0.260.140.700.230.17
Net GEX15.5M7.8M52.1M11.0M10.6M
Net DEX-104.1M-145.9M-38.6M-56.7M-100.0M
Net VEX-874.4K-1.0M-493.9K-598.6K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.062.200.091.28
Total Volume7,184.9051,24320,86111,6341,243
Total OI65,274.42956,89074,82856,89066,748

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$87.51$85.0015.0%4.3%14.3%14.9%15.8%3.1%1.5%11.0M-56.7M-598.6K0.0921.4110,68994546,58510,305
2016-05-03$86.28$85.0015.4%4.4%14.7%17.5%15.2%4.4%2.3%8.2M-38.6M-545.4K0.0964.2012,2811,09146,63310,389
2016-05-04$87.87$87.5016.1%4.6%15.7%21.6%16.5%3.1%0.8%11.8M-64.7M-610.6K0.0926.3011,0231,04546,87510,635
2016-05-05$87.86$87.5015.7%4.8%15.6%19.0%17.9%3.8%-0.7%11.3M-57.3M-493.9K0.0878.9911,32896246,95310,777
2016-05-06$88.31$87.5015.3%5.0%15.0%17.1%18.8%3.5%-0.9%12.7M-70.9M-613.3K0.0644.4413,56986847,43810,850
2016-05-09$89.51$87.5014.9%4.8%15.6%14.6%18.4%3.6%-0.1%15.6M-111.9M-792.9K0.0626.5412,82882849,51110,900
2016-05-10$90.60$87.5019.5%5.4%16.0%42.4%18.5%2.5%-1.4%14.2M-131.4M-801.6K0.1870.2417,6173,24449,81411,136
2016-05-11$90.13$87.5019.1%5.5%16.2%39.9%19.5%3.9%-1.7%16.7M-138.6M-967.6K0.7859.492,7832,16554,58513,658
2016-05-12$90.46$87.5018.8%5.4%15.8%38.2%19.7%2.8%-1.7%17.0M-144.3M-1.0M1.3666.671,7162,33155,86915,036
2016-05-13$89.83$87.5018.1%5.2%16.1%34.0%19.7%4.8%-0.5%17.7M-136.1M-1.0M1.1182.781,8312,03956,00815,455
2016-05-16$90.31$87.5018.7%5.4%16.2%37.4%21.0%3.5%-1.3%19.3M-145.7M-1.0M0.6083.593,1181,87156,20615,601
2016-05-17$90.15$87.5018.8%5.4%16.1%37.9%21.4%4.6%-0.6%19.3M-139.0M-928.2K0.6081.233,0991,87056,08215,625
2016-05-18$90.42$87.5018.7%5.4%16.0%37.3%18.9%3.9%-1.2%21.2M-145.9M-989.5K2.2084.271,7833,91656,23015,682
2016-05-19$89.53$90.0018.6%5.3%14.7%37.0%18.6%3.9%-1.0%20.4M-109.5M-997.8K2.0585.371,8093,71456,52918,225
2016-05-20$89.93$90.0017.7%5.1%13.2%31.4%17.7%4.0%-0.4%52.1M-120.4M-1.0M0.7374.722,4781,81456,55218,276
2016-05-23$90.33$90.0017.2%4.9%12.8%28.5%16.0%3.9%-0.7%7.8M-85.8M-978.4K0.3784.512,51393147,28614,481
2016-05-24$91.26$90.0017.2%4.9%13.1%28.6%17.7%4.5%0.5%9.0M-97.6M-1.0M0.7788.921,4201,09547,97714,944
2016-05-25$91.09$90.0016.9%4.8%13.2%26.2%16.9%4.1%-0.9%9.2M-98.9M-979.3K0.2089.062,67353148,05215,419
2016-05-26$90.83$90.0016.8%4.8%12.8%25.7%17.9%2.7%-1.6%9.6M-96.4M-1.0M0.2789.491,98052649,41815,520
2016-05-27$90.87$90.0016.0%4.6%12.7%21.0%16.5%2.6%-0.4%10.7M-96.0M-920.2K0.9094.2469462250,92215,576
2016-05-31$90.90$90.0017.2%4.9%12.6%28.1%17.3%3.8%-1.1%10.6M-100.0M-1.0M1.2890.5154469950,97515,773