CCI Options History — May 2017

In May 2017, CCI traded between $94.01 and $103.50. ATM implied volatility averaged 15.1%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.7% (HV 20d: 10.4%). Max pain ranged from $92.50 to $97.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.98.

Notable Days

  • 2017-05-19: Highest Volume — 3,747 contracts
  • 2017-05-26: Largest IV spike — 34.6% change
  • 2017-05-31: Highest IV Rank — 37.4%
  • 2017-05-31: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.63$94.01$103.50$94.71$102.26
Max Pain$94.09$92.50$97.50$95.00$97.50
ATM IV15.1%11.1%18.3%14.8%18.3%
Expected Move4.3%3.2%5.2%4.2%5.2%
HV 20d10.4%7.7%13.5%7.8%13.5%
HV 60d11.1%10.3%12.3%12.3%11.0%
IV Rank13.5%0.0%37.4%10.0%37.4%
IV Percentile13.0%0.0%49.6%6.3%49.6%
Term Structure-0.6%-3.9%0.8%0.2%-3.9%
VWIV15.8%12.4%17.3%13.5%16.7%
Skew 25d2.3%1.2%4.9%1.8%1.8%
Skew 10d4.9%2.3%10.1%2.3%6.2%
Call IV 25d14.0%12.4%15.6%13.9%15.5%
Put IV 25d16.4%14.8%17.9%15.7%17.3%
Bid-Ask Spread %24.3113.1747.9930.0718.23
Gamma HHI0.290.210.520.310.22
Net GEX5.4M3.0M12.2M4.9M4.6M
Net DEX-53.2M-97.6M-21.8M-32.3M-79.8M
Net VEX-312.0K-335.9K-291.9K-322.0K-317.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.223.021.190.52
Total Volume2,090.2271,1353,7471,3752,459
Total OI24,892.59122,93128,29523,68525,345

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$94.71$95.0014.8%4.2%7.8%10.0%13.5%1.8%0.2%4.9M-32.3M-322.0K1.1930.0762774814,6339,052
2017-05-02$94.25$95.0015.1%4.3%7.7%11.9%12.4%1.9%-0.3%4.1M-26.9M-318.3K0.9517.2967463914,6269,246
2017-05-03$94.01$95.0014.7%4.2%7.7%9.4%17.3%2.3%0.2%3.8M-25.2M-314.6K0.7247.9981659014,6559,278
2017-05-04$94.73$92.5015.0%4.4%8.2%11.3%17.0%2.3%-0.9%4.8M-31.0M-307.8K0.8123.8667855114,8079,325
2017-05-05$95.80$92.5014.6%4.3%8.9%8.9%15.1%2.7%-0.4%6.8M-43.1M-328.6K1.5221.5546771114,9209,350
2017-05-08$95.45$92.5015.2%4.3%9.0%12.2%16.1%2.8%-0.9%6.5M-38.6M-320.6K3.0219.124261,28514,9739,553
2017-05-09$94.83$92.5015.0%4.3%9.3%11.3%16.6%2.1%-0.2%4.9M-29.6M-303.2K2.2624.464481,01414,9769,893
2017-05-10$94.70$92.5014.5%4.2%8.4%8.3%15.8%2.5%-0.5%4.8M-30.0M-302.8K2.2422.3141392514,9909,976
2017-05-11$94.47$92.5014.5%4.2%8.2%8.4%15.6%2.4%-0.4%4.1M-26.1M-299.7K1.9030.2846989115,0029,993
2017-05-12$94.03$92.5014.3%4.1%8.3%7.0%15.6%2.5%-0.1%3.0M-21.8M-291.9K0.9621.1057955615,06310,041
2017-05-15$95.56$92.5014.7%4.2%10.3%9.3%14.5%2.7%-0.8%6.6M-35.6M-292.5K1.1831.6469882215,05010,202
2017-05-16$96.08$92.5014.4%4.1%10.4%7.3%13.8%2.4%-0.6%8.2M-41.2M-301.0K1.1619.2571282515,25910,512
2017-05-17$98.11$92.5016.3%4.7%12.8%18.9%16.1%2.2%-2.2%12.2M-75.2M-299.4K0.5640.282,2551,26015,33510,765
2017-05-18$98.75$92.5017.0%4.9%12.8%22.8%17.1%4.9%-2.2%11.2M-81.7M-318.5K0.2235.093,05468115,99311,124
2017-05-19$99.46$92.5015.7%4.5%12.7%15.0%16.3%1.2%-0.4%3.4M-97.6M-321.9K0.2327.143,04670117,04711,248
2017-05-22$99.91$92.5015.7%4.5%11.8%15.1%16.1%2.3%-0.5%4.1M-61.2M-324.6K0.4516.681,73577913,7919,140
2017-05-23$100.59$95.0015.7%4.5%11.7%14.9%16.1%1.8%-0.6%4.1M-66.9M-326.1K0.3814.172,30987714,0409,466
2017-05-24$101.18$97.5016.1%4.6%11.7%17.2%16.5%2.0%-1.0%4.2M-70.6M-335.9K0.3126.822,01862814,7829,613
2017-05-25$102.91$97.5011.1%3.2%12.7%0.0%15.8%1.9%0.8%4.4M-84.1M-306.6K0.2517.342,49762414,8959,658
2017-05-26$102.67$97.5015.0%4.3%12.5%20.2%17.3%2.1%0.7%4.5M-82.4M-309.4K0.2416.971,94847515,2369,750
2017-05-30$103.50$97.5015.2%4.4%12.5%21.3%15.4%2.4%0.0%4.6M-89.1M-301.2K0.4413.171,44263315,2389,796
2017-05-31$102.26$97.5018.3%5.2%13.5%37.4%16.7%1.8%-3.9%4.6M-79.8M-317.9K0.5218.231,62183815,5529,793