CCI Options History — February 2017

In February 2017, CCI traded between $87.01 and $93.39. ATM implied volatility averaged 18.9%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.5% (HV 20d: 17.4%). Max pain ranged from $87.50 to $90.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2017-02-17: Highest Volume — 6,905 contracts
2017-02-08: Largest IV spike — 14.6% change
2017-02-14: Highest IV Rank — 46.1%
2017-02-14: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$89.55	$87.01	$93.39	$87.01	$93.39
Max Pain	$87.89	$87.50	$90.00	$87.50	$90.00
ATM IV	18.9%	16.4%	20.7%	17.8%	20.0%
Expected Move	5.6%	5.1%	5.9%	5.1%	5.7%
HV 20d	17.4%	15.9%	18.6%	17.4%	17.4%
HV 60d	18.6%	17.4%	21.5%	21.3%	17.4%
IV Rank	36.4%	22.0%	46.1%	29.9%	42.2%
IV Percentile	54.0%	28.6%	68.3%	43.3%	63.5%
Term Structure	-0.4%	-1.9%	1.2%	1.2%	-1.8%
VWIV	20.1%	18.0%	21.7%	18.0%	21.2%
Skew 25d	2.6%	0.8%	3.4%	2.3%	3.4%
Skew 10d	5.4%	0.8%	9.5%	1.3%	9.5%
Call IV 25d	18.0%	16.5%	19.1%	17.2%	16.5%
Put IV 25d	20.5%	19.3%	21.4%	19.5%	19.8%
Bid-Ask Spread %	44.17	20.99	87.55	85.61	20.99
Gamma HHI	0.37	0.27	0.63	0.27	0.31
Net GEX	7.5M	3.7M	14.6M	3.7M	8.3M
Net DEX	-65.5M	-109.2M	-28.6M	-28.6M	-109.2M
Net VEX	-434.7K	-480.2K	-409.1K	-430.7K	-440.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.35	2.63	1.71	1.81
Total Volume	2,522	1,308	6,905	1,672	1,308
Total OI	39,295.895	36,724	44,183	37,259	38,966

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$87.01	$87.50	17.8%	5.1%	17.4%	29.9%	18.0%	2.3%	1.2%	3.7M	-28.6M	-430.7K	1.71	85.61	618	1,054	20,868	16,391
2017-02-02	$87.84	$87.50	17.7%	5.5%	17.6%	29.3%	20.4%	3.4%	-0.2%	4.6M	-35.1M	-441.4K	1.80	25.62	551	991	21,057	16,651
2017-02-03	$88.69	$87.50	17.3%	5.6%	17.9%	27.0%	20.0%	2.7%	-0.7%	6.3M	-51.6M	-442.1K	1.70	34.79	610	1,039	21,112	16,683
2017-02-06	$87.21	$87.50	16.8%	5.5%	17.8%	24.4%	20.3%	2.9%	-0.0%	4.4M	-31.3M	-416.6K	1.09	25.53	879	961	21,403	16,683
2017-02-07	$87.42	$87.50	16.4%	5.4%	17.8%	22.0%	20.0%	3.1%	-0.2%	4.4M	-32.2M	-410.5K	0.90	27.92	869	783	21,439	16,933
2017-02-08	$87.74	$87.50	18.8%	5.4%	16.3%	35.5%	20.1%	2.6%	-0.2%	5.1M	-35.2M	-418.6K	0.47	78.09	1,784	838	21,453	16,999
2017-02-09	$87.80	$87.50	19.0%	5.4%	15.9%	36.5%	20.6%	3.3%	-0.0%	5.5M	-36.6M	-419.0K	1.13	87.55	631	714	21,821	17,143
2017-02-10	$87.59	$87.50	18.1%	5.2%	15.9%	31.8%	18.7%	2.6%	0.8%	5.4M	-33.9M	-410.2K	0.57	43.71	1,138	648	21,930	17,190
2017-02-13	$90.15	$87.50	19.3%	5.5%	18.6%	38.3%	19.1%	2.7%	0.1%	10.2M	-77.9M	-409.1K	0.35	61.65	2,333	825	22,423	17,256
2017-02-14	$90.20	$87.50	20.7%	5.9%	17.6%	46.1%	20.5%	2.6%	-0.7%	11.4M	-86.1M	-416.5K	0.39	33.17	2,576	1,008	23,679	17,402
2017-02-15	$90.09	$87.50	20.3%	5.8%	17.6%	43.9%	20.3%	1.8%	-0.8%	13.7M	-91.1M	-427.3K	0.60	41.31	1,614	974	25,239	17,657
2017-02-16	$90.56	$87.50	18.7%	5.4%	16.1%	34.8%	19.2%	2.4%	-0.0%	14.6M	-105.6M	-435.3K	1.27	30.43	917	1,165	26,036	17,787
2017-02-17	$88.80	$87.50	20.0%	5.7%	17.5%	42.2%	20.3%	2.2%	0.1%	5.7M	-64.2M	-439.6K	0.39	80.28	4,969	1,936	26,026	18,157
2017-02-21	$89.99	$87.50	19.8%	5.7%	17.9%	41.0%	20.5%	2.5%	-0.4%	7.2M	-66.7M	-454.2K	0.79	33.40	1,274	1,005	21,898	14,826
2017-02-22	$90.57	$87.50	20.0%	5.7%	18.0%	42.5%	20.7%	3.2%	-0.3%	8.1M	-77.3M	-464.8K	0.70	36.01	1,737	1,216	22,631	15,279
2017-02-23	$91.19	$87.50	20.3%	5.8%	17.9%	43.8%	20.8%	0.8%	-1.9%	8.3M	-88.0M	-480.2K	0.46	26.34	3,618	1,673	23,623	15,452
2017-02-24	$92.54	$90.00	19.3%	5.5%	18.3%	38.5%	20.5%	1.9%	-0.8%	8.1M	-96.7M	-455.1K	0.63	29.18	1,194	747	22,459	15,777
2017-02-27	$92.59	$90.00	19.8%	5.7%	17.4%	41.1%	21.7%	2.7%	-0.9%	8.1M	-98.3M	-447.0K	2.63	37.67	474	1,247	22,379	15,914
2017-02-28	$93.39	$90.00	20.0%	5.7%	17.4%	42.2%	21.2%	3.4%	-1.8%	8.3M	-109.2M	-440.2K	1.81	20.99	465	843	22,420	16,546