CCI Options History — January 2017

In January 2017, CCI traded between $84.24 and $87.99. ATM implied volatility averaged 20.9%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.4% (HV 20d: 15.6%). Max pain ranged from $85.00 to $87.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-01-23: Highest Volume — 4,398 contracts
  • 2017-01-11: Largest IV spike — 13.4% change
  • 2017-01-03: Highest IV Rank — 58.1%
  • 2017-01-06: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.58$84.24$87.99$86.72$87.81
Max Pain$87.00$85.00$87.50$85.00$87.50
ATM IV20.9%17.4%22.8%22.8%17.8%
Expected Move6.1%5.0%6.7%6.5%5.1%
HV 20d15.6%13.7%17.0%15.5%17.0%
HV 60d22.3%21.3%23.0%22.8%21.3%
IV Rank47.5%27.7%58.1%58.1%29.9%
IV Percentile67.0%39.7%82.9%82.5%43.3%
Term Structure0.4%-1.1%1.7%1.1%1.3%
VWIV22.6%17.9%30.8%30.8%18.4%
Skew 25d2.5%1.4%3.9%2.4%1.7%
Skew 10d5.3%2.2%9.0%3.9%5.2%
Call IV 25d20.8%17.1%23.9%23.9%17.4%
Put IV 25d23.3%19.0%26.7%26.2%19.0%
Bid-Ask Spread %66.7321.2789.0680.3433.58
Gamma HHI0.240.150.370.150.30
Net GEX4.2M1.5M7.5M4.7M4.6M
Net DEX-24.4M-45.5M16.2M-35.9M-35.8M
Net VEX-442.7K-532.3K-396.7K-532.3K-434.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.312.040.982.04
Total Volume2,601.31,6374,3982,6151,637
Total OI65,123.729,46984,39580,13436,964

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$86.72$85.0022.8%6.5%15.5%58.1%30.8%2.4%1.1%4.7M-35.9M-532.3K0.9880.341,3241,29154,89725,237
2017-01-04$87.26$85.0022.5%6.5%14.7%56.6%30.4%2.1%1.5%5.2M-44.2M-526.1K0.6889.061,27987354,91425,300
2017-01-05$87.12$87.5020.8%6.7%14.8%46.6%26.5%3.9%0.0%4.8M-38.0M-496.9K0.7965.511,15291454,96125,260
2017-01-06$85.61$87.5021.1%6.7%15.5%48.3%24.1%1.4%0.1%3.1M-9.7M-464.1K0.8568.971,2181,04054,99125,381
2017-01-09$85.78$87.5022.3%6.6%15.5%55.0%23.3%3.1%0.2%3.6M-12.4M-444.4K0.6776.831,43696255,12725,703
2017-01-10$84.24$87.5019.4%6.5%16.5%39.0%22.4%2.6%1.0%1.5M16.2M-432.0K0.7475.191,18988555,42925,799
2017-01-11$85.25$87.5022.0%6.3%16.1%53.7%22.5%2.4%0.6%3.3M4.2M-435.5K0.5871.191,29075355,47625,882
2017-01-12$85.24$87.5021.9%6.3%15.1%52.9%23.8%2.6%0.5%3.7M90.8K-425.9K0.7373.791,10881255,60326,003
2017-01-13$85.88$87.5022.1%6.4%13.7%54.4%21.9%2.4%0.0%4.5M-11.4M-421.0K0.3771.542,08376855,65826,150
2017-01-17$87.45$85.0022.1%6.3%14.9%54.2%22.3%3.8%-0.4%6.9M-45.5M-414.6K0.7981.501,4201,12456,59226,212
2017-01-18$87.28$85.0021.8%6.3%14.9%52.7%22.1%1.7%-0.1%7.4M-44.3M-412.1K0.8579.671,3671,15856,92026,438
2017-01-19$85.72$87.5022.8%6.5%15.0%58.0%21.5%3.5%-1.1%7.5M-16.8M-402.3K1.0175.201,6171,63956,99826,704
2017-01-20$86.79$87.5021.5%6.2%15.6%51.0%21.7%1.9%-0.3%2.2M-29.1M-396.7K0.5179.912,8301,43857,21827,177
2017-01-23$87.24$87.5021.3%6.1%15.7%49.7%21.1%2.7%0.0%2.9M-29.0M-400.3K0.3121.273,3691,02916,39713,072
2017-01-24$87.55$87.5020.9%6.0%15.8%47.5%21.1%2.5%0.4%3.9M-34.6M-438.9K1.1325.151,0111,14418,78113,377
2017-01-25$87.14$87.5021.2%6.1%15.9%49.2%21.5%2.9%-0.3%3.6M-31.2M-446.1K1.6775.839851,64419,65914,379
2017-01-26$87.99$87.5018.5%5.3%16.2%34.1%18.8%2.5%0.9%4.5M-41.8M-453.6K1.0970.041,2421,35220,04015,643
2017-01-27$86.86$87.5017.4%5.0%16.5%27.7%17.9%2.2%1.7%3.3M-27.3M-440.1K1.6686.141,1331,88420,19815,766
2017-01-30$86.65$87.5018.1%5.2%16.5%31.6%19.7%1.9%1.3%3.0M-22.0M-436.0K1.3733.831,1071,51920,40615,762
2017-01-31$87.81$87.5017.8%5.1%17.0%29.9%18.4%1.7%1.3%4.6M-35.8M-434.6K2.0433.585381,09920,80016,164