CCI Options History — November 2016

In November 2016, CCI traded between $81.92 and $89.84. ATM implied volatility averaged 23.3%, placing in the 64.9% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 3.1% (HV 20d: 26.4%). Max pain ranged from $85.00 to $92.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-11-14: Highest Volume — 12,421 contracts
  • 2016-11-14: Largest IV spike — 11.8% change
  • 2016-11-14: Highest IV Rank — 87.8%
  • 2016-11-14: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.49$81.92$89.84$89.77$83.69
Max Pain$88.33$85.00$92.50$90.00$85.00
ATM IV23.3%20.8%27.1%22.6%23.1%
Expected Move6.6%6.0%7.8%6.5%6.6%
HV 20d26.4%22.2%31.0%22.2%27.8%
HV 60d23.5%20.6%25.1%20.6%24.7%
IV Rank64.9%49.9%87.8%60.6%64.0%
IV Percentile87.3%72.6%97.2%88.1%87.7%
Term Structure-1.4%-3.2%0.2%-1.4%-1.4%
VWIV23.4%20.7%27.7%24.2%23.2%
Skew 25d4.6%3.4%7.7%3.4%4.4%
Skew 10d9.2%3.1%14.1%3.1%7.4%
Call IV 25d21.4%19.2%24.1%22.1%21.5%
Put IV 25d26.0%23.3%31.8%25.5%25.9%
Bid-Ask Spread %82.1965.4491.5680.3089.41
Gamma HHI0.230.150.340.240.28
Net GEX321.0K-2.9M4.1M4.1M-147.8K
Net DEX19.3M-16.3M72.3M-16.3M23.8M
Net VEX-416.9K-494.9K-300.3K-494.9K-426.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.302.231.510.74
Total Volume3,466.6191,25112,4211,5848,702
Total OI67,909.66760,66077,02060,66072,458

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$89.77$90.0022.6%6.5%22.2%60.6%24.2%3.4%-1.4%4.1M-16.3M-494.9K1.5180.3063095444,52216,138
2016-11-02$88.04$90.0023.8%6.8%22.2%68.2%22.4%4.9%-1.3%1.9M2.3M-467.9K0.4774.181,41365944,55316,632
2016-11-03$87.54$92.5024.3%6.8%22.3%70.9%23.3%4.8%-0.6%1.3M9.1M-455.5K0.4971.631,15956744,83116,754
2016-11-04$87.87$92.5025.0%6.9%22.3%75.5%21.1%5.7%-2.0%1.5M6.2M-456.3K0.3965.441,44757144,94316,841
2016-11-07$89.03$92.5022.7%6.4%22.7%61.5%22.0%4.2%-1.8%2.5M-2.9M-445.6K0.5773.051,21969145,48316,869
2016-11-08$89.84$92.5023.2%6.2%22.9%64.6%23.0%4.1%-0.5%4.0M-16.3M-487.8K0.9070.0472264845,92316,947
2016-11-09$85.79$92.5023.1%6.6%25.9%64.1%21.4%4.5%-2.1%-111.1K22.4M-422.4K0.8077.531,8031,44445,97217,086
2016-11-10$82.80$92.5025.8%7.4%28.2%80.3%27.7%7.7%-2.6%-2.5M59.5M-300.3K1.3786.042,3973,28647,01117,795
2016-11-11$81.92$87.5024.2%6.9%28.1%70.6%24.5%5.5%-2.9%-2.5M65.8M-319.3K1.8383.421,8263,34948,10218,930
2016-11-14$82.08$87.5027.1%7.8%28.2%87.8%25.8%5.7%-3.2%-2.9M72.3M-329.1K0.5186.958,2304,19148,34020,611
2016-11-15$82.73$87.5025.4%7.3%28.6%78.1%24.4%5.1%0.2%-1.3M48.3M-423.6K0.5086.552,4051,20253,85222,288
2016-11-16$85.15$87.5022.8%6.5%31.0%62.0%23.0%3.4%0.2%-271.5K13.9M-441.7K0.5485.852,2011,18153,92022,408
2016-11-17$85.24$87.5023.2%6.6%31.0%64.4%26.7%4.0%-1.6%-376.0K15.2M-436.1K2.2386.411,3663,04553,91922,791
2016-11-18$85.31$87.5022.1%6.3%27.0%58.2%23.2%5.4%-0.5%275.6K7.2M-459.7K0.8584.561,2171,02953,79023,230
2016-11-21$84.48$85.0021.1%6.1%26.9%51.9%20.7%4.3%0.0%-282.7K18.3M-426.8K0.3081.592,74983646,43620,338
2016-11-22$85.53$85.0021.5%6.2%27.6%54.3%22.5%5.1%-0.8%932.7K643.9K-416.5K1.1387.4660568448,49820,531
2016-11-23$84.19$85.0021.6%6.2%27.6%54.6%22.7%3.4%-1.6%-55.0K25.5M-398.7K1.2589.8556470348,61720,596
2016-11-25$84.77$85.0020.8%6.0%27.3%49.9%21.6%4.1%-0.9%437.8K12.8M-399.2K1.0191.5664965848,67820,618
2016-11-28$84.29$85.0022.7%6.5%27.1%61.7%25.0%3.6%-2.1%-167.4K25.6M-366.9K1.1686.4957867348,72020,643
2016-11-29$85.16$85.0022.6%6.5%27.6%60.6%23.1%3.5%-2.2%378.8K12.8M-380.4K1.1387.682,1352,41148,82020,669
2016-11-30$83.69$85.0023.1%6.6%27.8%64.0%23.2%4.4%-1.4%-147.8K23.8M-426.8K0.7489.414,9953,70750,38222,076