CCI Options History — August 2016

In August 2016, CCI traded between $93.29 and $97.61. ATM implied volatility averaged 15.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.3% (HV 20d: 11.4%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 2.67.

Notable Days

  • 2016-08-22: Highest Volume — 4,864 contracts
  • 2016-08-04: Largest IV drop — 13.0% change
  • 2016-08-29: Highest IV Rank — 28.9%
  • 2016-08-29: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$95.23$93.29$97.61$97.61$94.74
Max Pain$96.85$95.00$100.00$97.50$95.00
ATM IV15.7%14.3%17.3%15.4%16.0%
Expected Move4.5%4.1%5.0%4.4%4.6%
HV 20d11.4%10.0%13.0%13.0%10.7%
HV 60d12.0%11.7%12.3%12.0%12.1%
IV Rank19.3%10.7%28.9%17.8%21.2%
IV Percentile23.0%4.0%48.0%20.2%28.6%
Term Structure1.0%-0.0%1.7%0.5%0.9%
VWIV16.3%14.4%18.5%16.0%17.4%
Skew 25d3.1%2.1%4.5%2.2%2.1%
Skew 10d6.9%2.0%8.8%7.3%6.6%
Call IV 25d14.5%13.5%15.6%14.2%15.6%
Put IV 25d17.6%16.4%18.7%16.4%17.6%
Bid-Ask Spread %50.3414.5989.2716.5986.99
Gamma HHI0.280.220.340.340.24
Net GEX7.7M5.0M10.2M10.2M9.6M
Net DEX-83.7M-128.3M-39.1M-128.3M-88.3M
Net VEX-900.0K-1.1M-766.7K-1.1M-851.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.670.3911.283.861.73
Total Volume2,664.3911,0994,8643,0872,506
Total OI67,139.34860,58170,52966,26666,297

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$97.61$97.5015.4%4.4%13.0%17.8%16.0%2.2%0.5%10.2M-128.3M-1.1M3.8616.596352,45245,72320,543
2016-08-02$96.91$97.5015.3%4.4%12.0%16.7%16.5%3.2%0.4%9.5M-116.3M-1.0M3.4614.595872,03345,83320,976
2016-08-03$96.08$97.5016.7%4.8%12.1%25.3%17.7%3.6%0.4%7.8M-100.4M-984.9K4.0023.335862,34445,86420,815
2016-08-04$96.87$100.0014.5%4.5%12.7%12.2%16.1%3.6%1.0%9.4M-111.6M-1.0M2.2537.149202,07145,90621,135
2016-08-05$96.06$97.5015.3%4.7%12.4%16.9%15.4%2.9%0.9%7.8M-101.1M-978.2K2.1541.659902,13345,97621,462
2016-08-08$95.80$97.5015.9%4.6%11.3%20.7%15.4%3.4%1.0%7.7M-95.9M-970.0K2.4635.868242,02546,27021,740
2016-08-09$95.76$97.5016.2%4.6%11.3%22.4%15.6%3.2%1.3%7.3M-89.3M-963.2K1.8835.919971,87946,33922,019
2016-08-10$96.20$97.5015.9%4.6%11.6%20.4%14.6%3.5%1.2%7.4M-95.0M-963.2K1.7338.239451,63946,39822,201
2016-08-11$96.28$97.5014.3%4.1%11.6%10.7%15.7%3.3%1.7%7.7M-96.5M-956.4K2.1415.348751,87246,46722,320
2016-08-12$96.60$97.5014.7%4.2%11.4%13.4%15.5%2.9%1.4%7.2M-98.0M-899.6K3.4737.896492,25446,52522,638
2016-08-15$96.22$97.5016.0%4.6%11.4%21.3%14.4%2.9%0.8%7.7M-99.4M-950.7K2.5435.987021,78646,52823,256
2016-08-16$94.88$97.5015.7%4.5%12.1%19.1%16.1%4.5%1.2%5.0M-68.0M-873.7K3.1633.706392,01946,60023,211
2016-08-17$94.58$97.5015.4%4.4%11.8%17.4%18.2%3.0%1.6%5.4M-61.4M-884.5K11.2839.331091,23046,52623,360
2016-08-18$94.30$97.5015.2%4.4%11.8%16.2%15.7%3.1%1.5%6.3M-56.4M-827.9K4.2332.4921088946,55523,229
2016-08-19$93.37$97.5015.9%4.6%11.4%20.7%16.1%3.2%0.5%5.9M-39.1M-801.3K1.5129.531,3922,09946,69323,836
2016-08-22$93.73$97.5016.2%4.6%10.1%22.1%14.8%4.0%1.0%5.9M-57.9M-820.9K0.5283.783,1901,67441,74018,841
2016-08-23$93.80$95.0015.1%4.3%10.0%15.6%16.6%3.7%1.7%8.1M-73.3M-851.9K1.8083.558521,53144,34419,098
2016-08-24$94.77$95.0015.7%4.5%10.6%19.4%15.7%2.8%0.8%8.7M-68.0M-766.7K0.3987.371,35753144,61919,325
2016-08-25$94.44$95.0016.4%4.7%10.3%23.7%18.3%2.3%-0.0%9.2M-86.0M-859.6K1.6484.421,0371,70245,36119,779
2016-08-26$93.29$95.0016.7%4.8%10.7%25.4%17.7%2.6%1.1%6.7M-55.6M-782.4K1.8988.758581,62545,53620,147
2016-08-29$93.69$95.0017.3%5.0%10.6%28.9%18.5%3.0%0.0%8.2M-67.5M-818.0K1.9686.028171,60345,56420,378
2016-08-30$94.21$95.0015.1%4.3%10.8%15.5%17.3%2.8%1.7%8.7M-72.3M-786.1K1.4389.279111,30245,60220,630
2016-08-31$94.74$95.0016.0%4.6%10.7%21.2%17.4%2.1%0.9%9.6M-88.3M-851.9K1.7386.999171,58945,62120,676