CCI Options History — March 2017

In March 2017, CCI traded between $89.63 and $94.64. ATM implied volatility averaged 18.7%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.9% (HV 20d: 13.8%). Max pain ranged from $85.00 to $90.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-03-28: Highest Volume — 3,827 contracts
  • 2017-03-13: Largest IV spike — 19.9% change
  • 2017-03-13: Highest IV Rank — 64.2%
  • 2017-03-02: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.94$89.63$94.64$93.03$94.63
Max Pain$89.24$85.00$90.00$90.00$90.00
ATM IV18.7%15.4%23.9%19.5%17.2%
Expected Move5.2%4.4%5.6%5.6%4.9%
HV 20d13.8%10.3%17.3%17.2%10.3%
HV 60d15.6%14.8%16.4%16.4%15.2%
IV Rank35.1%16.4%64.2%39.6%26.7%
IV Percentile51.1%14.7%92.5%60.3%34.1%
Term Structure0.6%-0.4%2.8%0.1%1.1%
VWIV19.1%16.8%26.9%21.5%17.6%
Skew 25d2.3%0.8%4.0%4.0%2.0%
Skew 10d4.2%0.3%8.6%8.6%4.7%
Call IV 25d17.1%15.5%19.0%17.1%15.5%
Put IV 25d19.4%17.3%21.1%21.1%17.5%
Bid-Ask Spread %52.8916.7284.9780.2866.74
Gamma HHI0.350.240.580.310.24
Net GEX9.0M7.5M13.9M8.0M8.9M
Net DEX-88.4M-130.7M-47.5M-101.8M-128.8M
Net VEX-404.4K-445.1K-363.4K-445.1K-377.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.353.661.551.56
Total Volume2,138.2171,0873,8271,3542,154
Total OI40,063.04335,43343,04939,01740,552

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$93.03$90.0019.5%5.6%17.2%39.6%21.5%4.0%0.1%8.0M-101.8M-445.1K1.5580.2853082422,42316,594
2017-03-02$92.71$90.0019.6%5.6%16.8%40.1%21.6%0.8%-0.1%8.5M-102.0M-427.6K2.5816.7236193322,58016,703
2017-03-03$91.71$90.0019.5%5.6%17.3%39.3%19.5%2.5%0.2%8.4M-84.6M-433.0K1.9430.9646891022,61116,992
2017-03-06$92.00$85.0019.9%5.3%17.1%41.7%18.7%2.6%0.3%8.9M-88.0M-432.6K0.6940.271,41096722,67417,165
2017-03-07$91.42$87.5019.0%5.2%15.9%36.8%18.2%2.6%0.9%8.6M-81.1M-426.3K0.6346.991,19475322,67017,238
2017-03-08$90.76$87.5021.3%5.4%16.3%49.5%20.3%2.6%0.2%8.8M-75.2M-435.1K2.0573.8438578823,44517,345
2017-03-09$90.60$87.5020.3%5.4%16.3%44.0%19.5%2.8%0.4%8.6M-65.6M-424.6K1.2434.8648560223,46517,483
2017-03-10$90.27$87.5019.9%5.4%16.4%41.9%19.6%1.9%0.3%8.4M-62.7M-415.7K0.4181.241,46759823,51117,570
2017-03-13$90.70$87.5023.9%5.4%16.4%64.2%19.0%2.2%-0.1%9.7M-68.0M-411.5K3.6684.845692,08524,05717,623
2017-03-14$89.76$90.0020.7%5.2%13.4%46.1%26.9%2.3%0.5%7.5M-47.5M-409.4K0.3531.731,69659024,09118,847
2017-03-15$90.06$90.0018.8%5.4%13.5%35.4%18.8%3.6%-0.4%8.9M-64.8M-409.1K0.5484.971,70491624,02418,994
2017-03-16$89.63$90.0018.1%5.2%13.6%31.3%17.4%1.9%0.2%8.7M-52.9M-397.1K0.4524.001,53668423,63219,246
2017-03-17$89.92$90.0018.2%5.2%13.5%32.0%16.9%1.9%-0.1%13.9M-58.3M-400.5K0.5935.251,17168923,69019,359
2017-03-20$90.91$90.0017.4%5.0%12.0%27.9%16.8%2.6%0.4%8.8M-69.3M-385.2K0.4029.481,77171519,88815,545
2017-03-21$90.71$90.0018.1%5.2%11.2%31.8%17.3%1.9%0.9%8.8M-72.8M-395.3K0.5037.112,0731,03020,78015,848
2017-03-22$91.49$90.0017.8%5.1%11.3%30.2%19.5%2.1%0.8%9.2M-80.2M-393.6K0.6074.051,39583621,44416,286
2017-03-23$92.86$90.0017.8%5.1%12.3%30.0%18.8%3.1%0.6%8.8M-103.6M-404.9K0.7173.131,19385121,88216,452
2017-03-24$93.66$90.0017.5%5.0%11.5%28.1%17.0%1.1%1.3%9.5M-115.9M-386.0K1.0345.951,0791,11322,24216,697
2017-03-27$93.94$90.0017.3%4.9%11.5%26.9%17.9%2.7%1.1%9.3M-120.1M-372.1K1.1046.031,0381,13922,46017,107
2017-03-28$94.60$90.0017.4%5.0%11.4%27.9%18.7%1.5%0.8%8.8M-129.3M-390.7K0.3775.922,7861,04122,59317,247
2017-03-29$94.56$90.0016.1%4.6%11.3%20.2%17.9%1.7%1.6%8.9M-130.7M-363.4K1.5123.579231,39822,64217,357
2017-03-30$94.64$90.0015.4%4.4%11.2%16.4%20.0%2.5%2.8%8.7M-130.7M-365.4K1.4978.549351,39422,70217,694
2017-03-31$94.63$90.0017.2%4.9%10.3%26.7%17.6%2.0%1.1%8.9M-128.8M-377.9K1.5666.748401,31422,73517,817