CCI Options History — December 2016

In December 2016, CCI traded between $81.44 and $88.10. ATM implied volatility averaged 23.3%, placing in the 61.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 0.7% (HV 20d: 22.6%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2016-12-13: Highest Volume — 17,216 contracts
  • 2016-12-12: Largest IV spike — 29.3% change
  • 2016-12-05: Highest IV Rank — 100.0%
  • 2016-12-02: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$85.78$81.44$88.10$81.44$86.56
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV23.3%19.6%30.2%26.0%21.5%
Expected Move6.1%5.6%7.5%7.4%6.2%
HV 20d22.6%15.5%29.4%28.5%15.5%
HV 60d23.8%22.8%25.1%25.1%22.8%
IV Rank61.4%39.8%100.0%81.2%50.8%
IV Percentile79.9%59.1%100.0%94.0%73.0%
Term Structure1.3%-6.5%3.3%-4.5%1.8%
VWIV24.7%20.4%31.8%24.5%27.2%
Skew 25d3.4%1.6%4.4%2.5%1.9%
Skew 10d7.1%0.5%12.8%2.8%0.5%
Call IV 25d20.7%19.2%24.5%24.5%21.8%
Put IV 25d24.2%22.0%27.3%27.0%23.7%
Bid-Ask Spread %78.2364.3695.5495.5475.59
Gamma HHI0.180.140.280.280.16
Net GEX2.5M-2.0M5.6M-2.0M4.1M
Net DEX-10.7M-59.2M58.2M58.2M-32.1M
Net VEX-571.2K-627.8K-465.6K-465.6K-538.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.337.500.620.79
Total Volume5,797.4761,53917,21613,7972,270
Total OI82,489.38176,00690,21678,95779,749

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$81.44$85.0026.0%7.4%28.5%81.2%24.5%2.5%-4.5%-2.0M58.2M-465.6K0.6295.548,5075,29054,33924,618
2016-12-02$81.83$85.0026.2%7.5%28.7%82.4%25.2%4.2%-6.5%-1.8M52.0M-585.2K0.6295.528,6935,34857,90027,912
2016-12-05$83.16$85.0030.2%5.9%29.4%100.0%22.3%3.7%1.7%-794.4K38.1M-578.0K7.5070.086865,14856,59027,956
2016-12-06$83.37$85.0024.1%6.1%28.9%65.3%22.1%3.1%1.8%-389.7K24.3M-578.4K7.1882.647355,27956,71327,993
2016-12-07$84.68$85.0026.5%5.9%29.3%78.7%21.7%4.1%1.4%937.4K9.0M-585.0K1.1076.0173380656,79928,017
2016-12-08$84.83$85.0024.6%5.9%24.5%68.3%22.9%2.5%2.2%1.6M2.7M-599.5K1.0264.3677779656,86428,053
2016-12-09$85.53$85.0022.4%5.6%20.9%55.8%20.4%1.6%2.9%3.4M-16.4M-627.8K1.8374.328351,53056,93928,069
2016-12-12$86.85$85.0029.0%5.8%20.9%92.9%20.7%3.5%2.9%3.9M-32.1M-599.6K0.9875.901,1751,15556,90528,645
2016-12-13$88.10$85.0026.4%6.1%21.3%78.2%25.1%2.4%1.8%5.6M-59.2M-612.0K0.3373.6112,9614,25557,19228,961
2016-12-14$86.30$85.0020.8%6.0%22.9%46.8%22.3%4.4%3.3%1.4M10.6M-577.4K0.5079.888,0674,02856,60532,114
2016-12-15$85.73$85.0021.1%6.0%20.7%48.3%21.5%2.4%2.6%1.4M11.4M-577.1K0.3979.079,8433,81456,66832,138
2016-12-16$85.60$85.0022.7%6.5%20.7%57.3%23.4%4.2%1.7%2.4M12.5M-560.7K0.6877.605,6863,86158,12532,091
2016-12-19$87.13$85.0019.6%5.6%21.6%39.8%23.2%3.6%3.1%3.1M-32.9M-532.9K0.6678.311,48098052,65823,348
2016-12-20$87.45$85.0020.6%5.9%21.3%45.9%24.5%3.9%2.0%4.8M-44.2M-584.3K0.5278.582,0821,08752,93923,607
2016-12-21$87.15$85.0020.8%6.0%21.0%46.6%26.5%3.9%2.0%3.9M-39.2M-574.7K1.0083.211,2331,23553,89823,933
2016-12-22$87.20$85.0020.7%5.9%20.0%46.1%25.3%3.8%2.5%4.9M-41.9M-596.8K0.7480.401,3461,00253,96724,243
2016-12-23$87.18$85.0021.3%6.1%19.9%49.6%29.8%3.7%1.2%3.5M-34.9M-569.5K0.8067.991,2651,00654,15424,445
2016-12-27$87.57$85.0022.4%6.4%19.8%56.0%30.6%4.1%0.7%5.1M-48.0M-566.5K0.9278.131,1361,04554,23124,592
2016-12-28$86.76$85.0020.7%5.9%19.9%46.0%31.8%4.3%2.1%4.1M-33.4M-550.3K0.8377.921,1991,00154,30224,687
2016-12-29$87.01$85.0021.8%6.3%18.7%52.6%27.9%4.0%1.2%3.4M-29.6M-535.7K0.9778.241,2061,16654,49424,824
2016-12-30$86.56$85.0021.5%6.2%15.5%50.8%27.2%1.9%1.8%4.1M-32.1M-538.0K0.7975.591,2651,00554,67325,076