CCI Options History — April 2017

In April 2017, CCI traded between $93.85 and $96.75. ATM implied volatility averaged 16.7%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 8.2% (HV 20d: 8.6%). Max pain ranged from $90.00 to $95.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.57.

Notable Days

2017-04-20: Highest Volume — 3,951 contracts
2017-04-12: Largest IV spike — 18.2% change
2017-04-17: Highest IV Rank — 34.5%
2017-04-17: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$95.15	$93.85	$96.75	$94.14	$94.51
Max Pain	$92.89	$90.00	$95.00	$90.00	$95.00
ATM IV	16.7%	14.0%	19.0%	17.4%	14.4%
Expected Move	5.0%	4.1%	5.4%	5.0%	4.1%
HV 20d	8.6%	6.9%	10.5%	10.5%	7.7%
HV 60d	13.5%	12.4%	15.2%	15.2%	12.4%
IV Rank	21.3%	5.3%	34.5%	26.3%	7.9%
IV Percentile	28.6%	1.2%	54.8%	37.7%	2.8%
Term Structure	-0.4%	-2.4%	2.0%	0.5%	0.4%
VWIV	17.2%	13.0%	19.1%	15.0%	13.0%
Skew 25d	2.5%	1.5%	3.3%	1.8%	1.5%
Skew 10d	6.2%	3.0%	10.8%	3.0%	4.2%
Call IV 25d	16.4%	14.0%	17.9%	16.5%	14.0%
Put IV 25d	18.9%	15.5%	21.2%	18.4%	15.5%
Bid-Ask Spread %	46.00	18.98	89.60	57.42	21.08
Gamma HHI	0.29	0.25	0.36	0.25	0.31
Net GEX	7.4M	4.0M	10.1M	9.2M	4.6M
Net DEX	-119.9M	-178.1M	-28.6M	-122.8M	-31.3M
Net VEX	-332.3K	-384.3K	-303.3K	-384.3K	-322.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.20	0.98	0.87	0.88
Total Volume	2,129.579	1,441	3,951	2,100	1,441
Total OI	37,318.158	21,378	44,541	40,676	23,529

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
2017-04-03	$94.14	$90.00	17.4%	5.0%	10.5%	26.3%	15.0%	1.8%	0.5%	9.2M	-122.8M	-384.3K	0.87	57.42	1,122	978	22,761	17,915
2017-04-04	$93.85	$90.00	16.3%	4.7%	10.3%	19.4%	18.5%	3.3%	1.6%	9.6M	-119.0M	-376.1K	0.64	89.60	1,142	730	22,783	17,908
2017-04-05	$93.91	$90.00	15.4%	4.4%	9.8%	14.4%	17.7%	1.7%	2.0%	10.0M	-121.3M	-362.6K	0.61	82.45	939	573	23,010	17,893
2017-04-06	$94.38	$92.50	15.8%	5.1%	9.8%	15.8%	17.4%	2.8%	-0.7%	10.1M	-129.7M	-348.5K	0.52	38.48	1,074	554	22,980	17,958
2017-04-07	$94.45	$92.50	14.5%	5.0%	9.5%	8.5%	17.7%	2.8%	-0.2%	10.0M	-133.9M	-339.9K	0.58	22.63	997	578	23,192	18,040
2017-04-10	$94.82	$92.50	14.0%	5.2%	9.5%	5.3%	18.6%	2.8%	-1.0%	9.5M	-143.1M	-324.4K	0.62	18.98	1,074	670	23,337	18,123
2017-04-11	$95.81	$92.50	15.8%	5.3%	8.7%	15.6%	17.8%	2.7%	-1.0%	7.8M	-156.4M	-309.6K	0.27	30.71	2,402	652	23,402	18,170
2017-04-12	$96.24	$92.50	18.6%	5.3%	8.7%	32.4%	17.7%	2.5%	-1.6%	8.1M	-167.4M	-330.1K	0.59	23.00	1,013	601	24,863	18,276
2017-04-13	$96.17	$92.50	18.7%	5.4%	8.3%	32.8%	18.3%	2.6%	-1.0%	7.9M	-167.5M	-328.0K	0.62	30.51	1,056	658	24,961	18,374
2017-04-17	$96.41	$95.00	19.0%	5.4%	8.3%	34.5%	19.1%	3.3%	-0.7%	7.1M	-173.5M	-312.6K	0.60	52.71	1,095	658	25,178	18,519
2017-04-18	$96.75	$95.00	18.5%	5.3%	7.8%	31.6%	18.1%	3.2%	-0.8%	6.5M	-178.1M	-307.1K	0.42	55.45	1,356	568	25,233	18,667
2017-04-19	$96.40	$95.00	18.0%	5.2%	8.0%	28.6%	17.8%	2.5%	-0.2%	6.9M	-176.7M	-309.7K	0.26	55.94	2,527	652	25,575	18,724
2017-04-20	$96.03	$95.00	18.9%	5.4%	8.1%	34.1%	18.1%	2.7%	-2.4%	8.4M	-166.1M	-319.5K	0.20	47.84	3,300	651	25,633	18,908
2017-04-21	$95.59	$92.50	18.9%	5.4%	6.9%	34.1%	18.5%	2.3%	-2.4%	7.3M	-161.4M	-303.3K	0.27	26.73	2,386	654	25,472	19,019
2017-04-24	$94.53	$92.50	18.0%	5.2%	7.7%	28.4%	17.8%	2.3%	-1.2%	4.0M	-33.4M	-326.3K	0.71	44.81	1,499	1,064	13,095	8,283
2017-04-25	$94.28	$95.00	15.6%	4.5%	7.8%	14.4%	16.4%	2.5%	0.1%	4.1M	-28.6M	-333.3K	0.98	69.15	865	852	14,105	8,703
2017-04-26	$94.66	$92.50	14.9%	4.3%	7.5%	10.7%	14.1%	1.8%	0.3%	4.6M	-32.6M	-338.6K	0.73	73.98	1,030	753	14,213	8,863
2017-04-27	$94.94	$92.50	14.7%	4.2%	7.6%	9.5%	15.1%	1.6%	0.1%	5.2M	-35.5M	-337.0K	0.38	32.61	1,668	630	14,447	8,933
2017-04-28	$94.51	$95.00	14.4%	4.1%	7.7%	7.9%	13.0%	1.5%	0.4%	4.6M	-31.3M	-322.9K	0.88	21.08	767	674	14,543	8,986