CCI Options History — July 2016

In July 2016, CCI traded between $95.98 and $102.50. ATM implied volatility averaged 16.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.6% (HV 20d: 13.0%). Max pain ranged from $90.00 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.72.

Notable Days

  • 2016-07-14: Highest Volume — 7,019 contracts
  • 2016-07-11: Largest IV spike — 39.9% change
  • 2016-07-20: Highest IV Rank — 47.3%
  • 2016-07-20: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.40$95.98$102.50$101.27$97.13
Max Pain$98.50$90.00$100.00$90.00$97.50
ATM IV16.6%13.1%20.3%14.5%14.4%
Expected Move5.0%4.1%5.8%4.2%4.1%
HV 20d13.0%10.2%15.5%10.2%12.8%
HV 60d12.5%11.9%13.1%12.5%11.9%
IV Rank24.8%3.6%47.3%12.1%11.5%
IV Percentile35.2%1.6%76.2%6.7%5.6%
Term Structure0.0%-2.8%3.9%3.9%1.4%
VWIV18.9%15.6%21.5%16.7%17.6%
Skew 25d3.2%1.7%4.3%1.7%2.4%
Skew 10d7.5%3.5%11.1%6.7%7.4%
Call IV 25d16.4%14.0%18.8%14.4%14.6%
Put IV 25d19.7%16.0%21.8%16.0%17.0%
Bid-Ask Spread %70.6737.6192.6392.6342.97
Gamma HHI0.280.240.350.240.33
Net GEX10.2M8.2M12.0M11.0M9.6M
Net DEX-217.8M-320.9M-97.0M-305.8M-122.4M
Net VEX-1.1M-1.2M-966.9K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.720.384.540.462.62
Total Volume3,747.352,5797,0193,1832,618
Total OI68,408.9560,83676,56171,44766,094

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$101.27$90.0014.5%4.2%10.2%12.1%16.7%1.7%3.9%11.0M-305.8M-1.1M0.4692.632,1801,00351,90419,543
2016-07-05$102.50$97.5014.6%5.4%10.5%12.8%19.1%4.2%-0.8%10.2M-320.9M-1.1M0.6070.361,9441,17552,08619,674
2016-07-06$101.92$97.5017.1%5.6%11.0%28.0%20.5%4.0%-0.7%10.9M-308.7M-1.2M0.8065.942,2711,81552,26020,064
2016-07-07$101.46$97.5017.3%5.6%11.4%28.9%21.3%4.3%-0.5%10.8M-307.7M-1.2M0.9268.641,9001,75552,59820,903
2016-07-08$102.20$97.5013.1%5.3%11.4%3.6%21.1%3.7%-0.2%10.3M-317.5M-1.1M0.9070.092,0231,82052,63120,958
2016-07-11$100.53$97.5018.3%5.5%13.3%35.1%19.8%3.5%-0.8%10.7M-291.3M-1.1M0.9570.881,9401,85252,62420,990
2016-07-12$100.11$97.5017.5%5.6%13.6%30.4%21.2%3.4%-0.9%10.2M-282.8M-1.1M1.0570.701,8711,96352,71921,410
2016-07-13$99.81$97.5018.2%5.2%13.1%34.3%19.0%3.8%-0.1%10.2M-282.5M-1.1M0.8973.403,1862,82752,81821,834
2016-07-14$99.52$100.0017.5%5.0%13.3%30.3%18.2%3.2%-0.3%9.6M-271.0M-1.1M0.4171.154,9682,05152,76822,754
2016-07-15$100.09$100.0017.5%5.0%13.2%29.9%17.8%3.6%0.2%10.1M-277.0M-1.2M0.3877.674,6671,78553,41223,149
2016-07-18$99.49$100.0018.5%5.3%13.5%36.1%21.0%3.7%0.3%10.9M-178.7M-1.1M1.8381.351,1332,07544,54916,287
2016-07-19$99.56$100.0018.1%5.2%13.4%33.9%20.2%3.8%-0.5%10.5M-172.2M-1.2M1.2379.401,6642,04444,68916,822
2016-07-20$98.52$100.0020.3%5.8%13.8%47.3%21.5%3.1%-2.8%10.4M-163.1M-1.2M1.9581.421,0602,06345,08917,050
2016-07-21$98.20$100.0019.4%5.5%13.9%41.3%19.3%2.4%-1.1%10.2M-151.5M-1.1M1.7974.129231,65645,19417,108
2016-07-22$99.04$100.0014.3%4.1%13.9%10.9%15.6%2.2%0.6%12.0M-168.1M-1.1M2.1581.118491,82545,24817,222
2016-07-25$97.25$100.0015.4%4.4%15.4%17.6%15.9%2.8%1.0%10.0M-121.3M-987.5K2.8945.247502,16945,21217,315
2016-07-26$96.71$100.0014.9%4.3%15.5%14.7%16.8%3.3%0.6%9.1M-113.8M-1.0M4.2737.615852,49745,40317,950
2016-07-27$95.98$100.0016.3%4.7%14.1%22.9%17.4%1.9%0.6%8.2M-102.7M-1.0M4.5476.685702,58845,40318,918
2016-07-28$96.62$100.0014.9%4.3%13.2%14.7%17.1%3.6%1.0%8.5M-97.0M-966.9K3.8082.046002,28245,51920,008
2016-07-29$97.13$97.5014.4%4.1%12.8%11.5%17.6%2.4%1.4%9.6M-122.4M-1.1M2.6242.977231,89545,63220,462