CCI Options History — October 2016

In October 2016, CCI traded between $88.38 and $95.11. ATM implied volatility averaged 21.5%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.2% (HV 20d: 21.8%). Max pain ranged from $90.00 to $92.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-10-21: Highest Volume — 5,774 contracts
  • 2016-10-12: Largest IV drop — 22.7% change
  • 2016-10-11: Highest IV Rank — 90.4%
  • 2016-10-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.48$88.38$95.11$93.72$91.09
Max Pain$91.43$90.00$92.50$90.00$90.00
ATM IV21.5%17.6%27.5%21.4%21.1%
Expected Move5.9%5.0%6.8%6.1%6.1%
HV 20d21.8%17.6%25.0%24.1%24.1%
HV 60d18.8%16.8%20.5%16.8%20.4%
IV Rank54.5%30.7%90.4%53.7%52.0%
IV Percentile80.7%52.8%97.6%88.1%83.3%
Term Structure-0.6%-2.1%1.0%-0.4%0.7%
VWIV21.6%18.3%25.2%20.5%21.2%
Skew 25d3.9%2.8%5.0%3.4%4.1%
Skew 10d8.5%3.1%14.0%7.6%11.5%
Call IV 25d19.7%16.8%22.4%19.7%20.1%
Put IV 25d23.6%20.6%26.5%23.1%24.2%
Bid-Ask Spread %74.0064.5881.6572.8681.13
Gamma HHI0.250.150.750.220.26
Net GEX9.8M3.9M51.9M10.8M6.1M
Net DEX-54.4M-135.7M-11.2M-95.0M-37.2M
Net VEX-602.3K-749.5K-503.2K-749.5K-539.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.241.750.731.02
Total Volume2,307.9521,3535,7742,4221,581
Total OI65,698.04856,10372,62165,99060,198

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$93.72$90.0021.4%6.1%24.1%53.7%20.5%3.4%-0.4%10.8M-95.0M-749.5K0.7372.861,3961,02646,49319,497
2016-10-04$90.89$90.0023.5%6.8%24.9%66.6%22.3%2.8%-1.6%7.3M-47.9M-658.0K1.0775.451,2921,38346,50719,542
2016-10-05$89.21$90.0022.9%6.6%25.0%63.0%24.7%4.1%-1.6%4.8M-18.5M-600.7K1.2371.659871,21846,91419,830
2016-10-06$88.80$92.5024.4%6.1%24.9%71.9%23.4%4.7%-1.0%4.6M-19.9M-600.3K0.8566.0191977847,04920,193
2016-10-07$88.38$92.5026.4%6.4%19.5%83.9%24.4%3.7%-0.6%3.9M-11.2M-594.6K0.8068.8584667447,13120,296
2016-10-10$88.74$92.5026.7%6.5%19.3%85.6%24.5%4.1%-1.3%4.1M-12.2M-570.1K0.7364.5878357047,14520,404
2016-10-11$88.98$92.5027.5%6.2%18.0%90.4%22.5%4.5%-0.2%4.4M-15.9M-560.2K0.3170.351,96160647,21720,405
2016-10-12$91.57$92.5021.3%6.1%20.8%52.8%20.0%4.7%-1.3%8.9M-60.7M-630.6K0.6576.121,27883448,47520,468
2016-10-13$91.91$90.0020.7%5.9%20.8%49.3%18.5%3.9%-0.9%9.6M-67.1M-644.3K0.7570.401,00375248,59120,587
2016-10-14$92.16$90.0020.5%5.9%20.3%48.5%24.4%3.7%-1.2%10.2M-74.5M-651.5K0.4070.891,61264048,62620,776
2016-10-17$91.89$90.0021.6%6.2%19.9%54.8%25.2%4.7%-2.1%10.2M-66.9M-605.2K0.5269.001,20963148,89220,846
2016-10-18$91.69$90.0021.5%6.2%19.9%54.4%21.6%3.7%-1.3%9.3M-55.9M-566.7K0.3673.941,52955149,11920,964
2016-10-19$91.66$92.5020.8%6.0%18.8%50.1%20.0%5.0%-1.4%9.5M-60.3M-584.4K0.4774.791,32561948,71121,006
2016-10-20$91.47$92.5020.4%5.8%17.6%47.4%23.1%4.7%-0.7%9.6M-58.9M-583.0K1.7574.071,4692,56549,21521,086
2016-10-21$95.00$92.5017.6%5.1%22.5%30.8%18.6%2.8%0.6%51.9M-135.7M-620.3K0.5579.503,7152,05949,57623,045
2016-10-24$95.11$90.0018.0%5.2%22.4%33.0%18.3%4.0%1.0%10.6M-101.0M-679.2K0.2480.652,66264041,41114,692
2016-10-25$94.00$92.5017.6%5.0%22.7%30.7%18.8%3.1%0.5%9.9M-80.3M-612.4K0.3981.651,36353342,88314,947
2016-10-26$92.60$92.5019.1%5.5%23.2%40.0%21.4%3.7%0.3%8.3M-58.2M-582.2K0.4481.451,21453743,45515,137
2016-10-27$90.81$92.5020.3%5.8%24.1%47.2%21.1%3.0%-0.1%5.6M-29.1M-503.2K1.0474.3967670143,71115,283
2016-10-28$91.33$92.5019.0%5.5%24.2%39.4%20.1%3.9%0.1%6.2M-35.7M-513.2K1.2476.241,0421,28843,83415,502
2016-10-31$91.09$90.0021.1%6.1%24.1%52.0%21.2%4.1%0.7%6.1M-37.2M-539.1K1.0281.1378180044,16316,035