CCI Options History — June 2016

In June 2016, CCI traded between $90.64 and $101.27. ATM implied volatility averaged 16.4%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 6.6% (HV 20d: 9.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2016-06-14: Highest Volume — 10,186 contracts
  • 2016-06-08: Largest IV drop — 15.8% change
  • 2016-06-14: Highest IV Rank — 36.8%
  • 2016-06-14: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.04$90.64$101.27$90.64$101.27
Max Pain$88.30$85.00$90.00$90.00$90.00
ATM IV16.4%13.9%18.6%16.9%15.1%
Expected Move4.6%4.0%5.3%4.9%4.3%
HV 20d9.8%8.9%11.3%11.3%10.4%
HV 60d12.4%12.0%12.8%12.6%12.5%
IV Rank23.5%8.4%36.8%26.7%15.9%
IV Percentile32.2%4.0%61.1%38.9%14.7%
Term Structure1.9%-0.9%3.4%-0.9%3.0%
VWIV19.3%13.8%25.1%18.0%17.6%
Skew 25d3.9%1.3%6.1%3.4%6.1%
Skew 10d8.9%3.6%12.2%5.8%11.4%
Call IV 25d14.9%10.2%17.2%14.9%10.2%
Put IV 25d18.8%16.3%21.6%18.3%16.3%
Bid-Ask Spread %81.8776.3788.3888.2485.20
Gamma HHI0.190.160.230.160.23
Net GEX13.1M10.5M14.7M10.5M11.1M
Net DEX-181.0M-298.7M-95.7M-95.7M-298.7M
Net VEX-1.1M-1.2M-975.8K-1.0M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.092.721.580.63
Total Volume3,286.0451,20310,1861,2032,629
Total OI69,200.59166,09872,51867,00270,975

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$90.64$90.0016.9%4.9%11.3%26.7%18.0%3.4%-0.9%10.5M-95.7M-1.0M1.5888.2446773651,00415,998
2016-06-02$91.76$85.0016.7%4.8%10.3%25.1%16.2%3.5%2.0%11.7M-113.6M-1.0M2.7277.865241,42351,08516,172
2016-06-03$92.86$85.0016.6%4.6%10.8%24.9%16.7%2.3%1.5%12.0M-134.8M-1.0M1.3981.7471198951,14216,536
2016-06-06$93.12$87.5016.3%4.2%10.8%23.0%17.4%3.7%2.9%12.7M-136.9M-975.8K2.1881.145171,12851,20317,161
2016-06-07$93.93$87.5016.5%4.2%10.3%24.1%14.5%2.7%2.7%12.5M-152.5M-989.0K0.3380.422,71289751,29417,661
2016-06-08$93.97$87.5013.9%4.0%9.6%8.4%14.2%3.2%2.6%14.5M-172.2M-1.1M0.5577.371,47981653,37417,863
2016-06-09$94.44$87.5014.5%4.1%9.3%11.8%13.8%3.0%2.8%14.4M-174.7M-1.0M0.5181.011,53777753,39718,009
2016-06-10$94.12$87.5015.1%4.3%9.5%15.5%19.7%3.4%2.6%14.7M-174.5M-1.1M1.0783.9477883253,47518,063
2016-06-13$94.42$87.5017.1%4.9%8.9%27.6%22.4%5.0%2.0%14.0M-181.7M-1.2M0.3676.912,52491753,52618,120
2016-06-14$93.60$87.5018.6%5.3%9.7%36.8%25.1%4.4%0.8%13.6M-159.0M-1.1M0.0979.579,34684054,17118,347
2016-06-15$93.95$87.5016.7%4.8%9.6%25.4%22.3%3.9%2.0%12.9M-156.6M-1.1M0.1587.915,56784551,14318,421
2016-06-16$94.63$87.5017.2%4.9%9.8%28.1%19.4%4.7%1.4%14.2M-168.0M-1.1M0.3378.652,66287051,13118,372
2016-06-17$94.39$87.5017.0%4.9%8.9%27.3%18.4%4.7%1.4%12.6M-169.7M-1.2M0.3079.212,53075651,12918,518
2016-06-20$94.34$87.5016.1%4.6%8.9%21.8%22.3%4.4%1.9%13.7M-164.7M-1.1M0.5679.612,1961,21950,54515,553
2016-06-21$95.42$90.0016.3%4.7%9.5%23.0%18.6%4.7%1.0%14.4M-180.6M-1.1M0.6576.372,1621,40250,72115,976
2016-06-22$95.29$90.0017.4%5.0%9.1%29.5%21.5%5.1%0.5%13.2M-171.7M-1.0M0.6380.061,9301,21550,92816,710
2016-06-23$95.98$90.0016.5%4.7%9.2%24.3%22.2%4.4%0.6%14.3M-198.6M-1.1M0.2987.541,94757450,93916,833
2016-06-24$96.66$90.0017.1%4.9%9.1%27.9%22.3%4.5%1.3%13.5M-217.6M-1.2M0.6088.382,2751,36250,98216,844
2016-06-27$97.09$90.0017.8%5.1%9.0%32.1%23.5%5.1%2.0%13.4M-220.9M-1.1M0.7883.752,4351,89451,22017,568
2016-06-28$98.86$90.0016.1%4.6%10.3%21.6%18.6%2.4%3.4%12.8M-256.6M-1.2M0.6582.341,8741,22051,62218,246
2016-06-29$100.24$90.0015.0%4.3%10.5%15.3%19.2%1.3%3.2%12.0M-283.0M-1.2M0.6183.851,7271,05251,70018,736
2016-06-30$101.27$90.0015.1%4.3%10.4%15.9%17.6%6.1%3.0%11.1M-298.7M-1.2M0.6385.201,6111,01851,80319,172