CCI Options History — September 2016

In September 2016, CCI traded between $90.46 and $98.76. ATM implied volatility averaged 19.2%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 1.9% (HV 20d: 21.0%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-09-13: Highest Volume — 5,008 contracts
  • 2016-09-13: Largest IV spike — 38.2% change
  • 2016-09-13: Highest IV Rank — 92.0%
  • 2016-09-13: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.22$90.46$98.76$94.66$94.37
Max Pain$91.19$90.00$95.00$95.00$90.00
ATM IV19.2%14.0%27.8%15.7%19.7%
Expected Move5.4%4.5%6.4%4.5%5.6%
HV 20d21.0%10.2%24.9%10.2%24.6%
HV 60d15.9%12.1%17.4%12.1%16.8%
IV Rank40.3%9.0%92.0%19.2%43.5%
IV Percentile64.7%4.0%98.4%24.2%77.0%
Term Structure0.1%-1.7%2.2%1.6%-0.4%
VWIV21.2%17.3%26.0%18.3%19.1%
Skew 25d3.6%-0.3%5.4%2.1%4.1%
Skew 10d8.6%3.2%14.1%3.2%8.6%
Call IV 25d17.9%14.7%21.4%14.9%18.8%
Put IV 25d21.5%14.6%26.8%17.0%22.9%
Bid-Ask Spread %73.2960.5086.7186.7179.08
Gamma HHI0.220.170.260.250.24
Net GEX8.8M1.6M12.3M9.6M11.3M
Net DEX-90.1M-170.3M-17.2M-80.5M-107.2M
Net VEX-782.4K-917.3K-651.0K-834.9K-746.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.513.021.590.69
Total Volume2,456.9521,3085,0082,3062,430
Total OI67,153.85762,53073,40266,62365,911

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$94.66$95.0015.7%4.5%10.2%19.2%18.3%2.1%1.6%9.6M-80.5M-834.9K1.5986.718901,41645,71620,907
2016-09-02$96.02$95.0016.0%4.6%11.2%21.0%17.3%-0.3%-1.2%11.0M-108.1M-867.2K1.4785.101,0131,48745,75221,115
2016-09-06$97.97$92.5016.7%4.7%13.2%25.2%23.4%4.9%1.1%11.8M-148.0M-836.9K1.5167.991,0021,51045,79121,291
2016-09-07$98.76$92.5014.0%4.6%13.4%9.0%26.0%5.1%1.5%12.0M-170.3M-917.3K1.4577.479131,32045,96621,475
2016-09-08$97.84$92.5016.2%4.7%13.9%22.5%23.8%3.6%2.2%12.3M-153.4M-856.3K3.0269.746281,89846,06021,686
2016-09-09$93.39$92.5021.8%5.8%21.8%56.1%22.4%3.4%0.7%6.4M-55.4M-791.5K3.0273.241,0803,26746,12321,863
2016-09-12$94.07$92.5020.1%5.3%22.0%45.8%24.2%4.8%-0.0%5.4M-34.5M-651.0K1.8874.551,1762,21546,17623,452
2016-09-13$92.00$92.5027.8%6.4%23.2%92.0%23.7%5.4%-1.7%3.4M-31.1M-775.3K0.5166.843,3251,68346,54023,499
2016-09-14$91.29$90.0021.9%6.3%22.9%56.5%22.5%3.5%-1.2%3.3M-33.3M-777.6K0.9962.161,1171,10948,48824,153
2016-09-15$91.53$90.0021.0%6.0%22.9%51.2%23.4%3.9%-1.3%3.5M-37.2M-754.2K1.6368.291,0491,70548,55724,288
2016-09-16$90.46$90.0020.7%5.9%23.2%49.3%21.6%3.5%-0.6%1.6M-17.2M-707.3K0.8960.501,5491,37548,68724,715
2016-09-19$91.64$90.0019.7%5.7%23.6%43.5%21.7%2.9%-0.3%7.7M-57.1M-716.1K1.2069.798721,04544,67817,852
2016-09-20$91.67$90.0019.6%5.6%23.5%42.8%21.9%4.1%0.0%7.9M-65.5M-747.8K1.1671.6266276944,95418,398
2016-09-21$93.26$90.0019.0%5.4%24.4%38.9%22.4%4.9%-0.0%9.2M-77.8M-753.0K1.5370.9151779145,10418,722
2016-09-22$94.86$90.0017.0%4.9%24.9%26.8%17.6%3.2%0.9%11.1M-108.2M-782.1K0.5170.261,51377445,77018,647
2016-09-23$95.34$90.0018.7%5.4%24.9%37.5%19.4%4.2%0.1%12.0M-130.9M-844.9K0.6877.701,40595646,30218,846
2016-09-26$95.69$90.0020.2%5.8%24.5%46.2%19.3%2.2%-0.6%11.8M-135.3M-796.4K0.5776.571,26872546,33619,062
2016-09-27$95.00$90.0019.2%5.5%24.6%40.2%19.3%3.2%0.6%11.5M-124.8M-786.7K0.5171.571,22362546,44719,252
2016-09-28$94.46$90.0019.2%5.5%24.7%40.5%19.9%2.8%0.1%11.2M-111.4M-741.0K0.6778.101,02368246,42919,346
2016-09-29$94.25$90.0019.0%5.5%24.6%39.3%18.7%5.1%-0.0%11.1M-104.1M-746.8K0.5980.8699959046,48919,386
2016-09-30$94.37$90.0019.7%5.6%24.6%43.5%19.1%4.1%-0.4%11.3M-107.2M-746.3K0.6979.081,43599546,49819,413