CCI Options History — June 2017

In June 2017, CCI traded between $99.53 and $104.52. ATM implied volatility averaged 17.0%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.3% (HV 20d: 14.8%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2017-06-13: Highest Volume — 15,027 contracts
  • 2017-06-12: Largest IV spike — 40.2% change
  • 2017-06-12: Highest IV Rank — 86.2%
  • 2017-06-14: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.53$99.53$104.52$103.52$100.43
Max Pain$97.50$95.00$100.00$97.50$100.00
ATM IV17.0%12.9%27.6%15.8%15.9%
Expected Move4.5%4.3%4.9%4.5%4.6%
HV 20d14.8%13.2%16.7%13.5%14.5%
HV 60d11.9%11.0%13.0%11.1%13.0%
IV Rank30.8%9.2%86.2%24.3%25.1%
IV Percentile31.7%0.4%98.8%21.0%25.0%
Term Structure0.8%-0.4%1.4%0.5%0.5%
VWIV17.0%11.8%24.3%18.7%17.3%
Skew 25d2.4%1.8%3.0%2.5%3.0%
Skew 10d4.7%3.2%7.7%7.7%4.7%
Call IV 25d15.1%13.1%16.2%14.4%15.0%
Put IV 25d17.6%16.0%18.7%17.0%18.1%
Bid-Ask Spread %21.024.2174.2811.9474.28
Gamma HHI0.220.180.260.230.26
Net GEX3.3M2.0M4.4M4.4M3.3M
Net DEX-62.3M-96.5M-34.0M-88.7M-39.0M
Net VEX-345.3K-389.4K-287.8K-311.5K-377.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.150.930.440.41
Total Volume5,436.7732,16715,0272,2403,506
Total OI26,719.13623,76429,23926,07328,039

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$103.52$97.5015.8%4.5%13.5%24.3%18.7%2.5%0.5%4.4M-88.7M-311.5K0.4411.941,55568515,69810,375
2017-06-02$104.52$97.5015.0%4.3%13.6%20.2%15.5%2.9%-0.4%4.2M-96.5M-315.2K0.4012.671,82972515,72910,530
2017-06-05$103.63$95.0016.0%4.4%14.2%25.5%16.6%2.2%0.6%4.4M-91.0M-287.8K0.4413.881,68874915,75210,610
2017-06-06$103.24$95.0012.9%4.3%14.2%9.2%17.1%2.3%0.9%4.3M-86.4M-317.8K0.4116.131,66068615,75610,710
2017-06-07$103.33$95.0017.6%4.3%13.7%33.8%17.9%2.6%0.9%4.2M-86.3M-310.9K0.4513.781,49966815,78210,773
2017-06-08$101.00$95.0018.6%4.5%16.7%39.3%16.8%2.6%1.2%3.9M-66.1M-322.3K0.5516.541,70394215,78410,802
2017-06-09$101.99$95.0019.7%4.7%16.7%44.7%17.0%2.9%0.5%3.7M-74.6M-321.3K0.5115.411,45574415,83111,069
2017-06-12$102.07$95.0027.6%4.9%16.4%86.2%20.7%2.5%-0.1%3.2M-74.0M-311.7K0.4255.971,65069815,82811,256
2017-06-13$101.89$95.0024.6%4.8%15.9%70.4%24.3%2.7%0.9%3.3M-73.9M-327.0K0.1617.0313,0012,02615,98211,416
2017-06-14$101.91$95.0017.1%4.9%15.9%31.0%20.3%2.6%0.6%2.9M-79.0M-363.3K0.1945.0211,6542,22716,55412,685
2017-06-15$101.29$95.0016.4%4.7%14.7%27.3%17.3%2.6%1.4%2.0M-73.9M-368.5K0.1518.9411,6291,79816,39612,244
2017-06-16$101.16$95.0016.3%4.7%14.6%27.1%13.8%2.1%1.3%3.3M-73.2M-375.3K0.2219.418,3501,85116,37412,121
2017-06-19$101.07$100.0015.4%4.4%14.5%22.1%18.3%2.0%1.3%3.0M-47.9M-342.7K0.779.283,3652,58013,03510,729
2017-06-20$100.60$100.0015.1%4.3%14.5%20.9%12.6%2.4%1.1%2.7M-41.0M-360.8K0.9318.413,3693,11913,09411,730
2017-06-21$99.53$100.0015.1%4.3%14.8%21.0%18.0%1.9%0.9%2.3M-34.0M-362.8K0.6212.533,4212,13613,17812,253
2017-06-22$99.84$100.0015.1%4.3%14.7%20.7%13.5%1.8%1.1%2.5M-36.6M-363.6K0.659.323,3182,14113,20012,205
2017-06-23$99.94$100.0014.9%4.3%13.2%19.8%15.9%2.3%1.0%2.5M-36.1M-362.0K0.3910.033,9211,52913,22612,442
2017-06-26$99.77$100.0015.0%4.3%13.2%20.5%11.8%2.4%0.8%2.7M-36.1M-363.2K0.359.813,2391,12213,84012,675
2017-06-27$102.01$100.0017.0%4.9%15.3%30.7%15.6%2.4%0.1%3.5M-53.8M-364.4K0.414.213,2551,33913,82012,724
2017-06-28$101.17$100.0016.9%4.8%15.0%29.9%16.5%2.3%0.2%3.5M-46.0M-389.4K0.5626.722,2251,23914,70813,033
2017-06-29$99.83$100.0016.3%4.7%14.8%27.1%18.3%2.5%1.1%2.9M-36.1M-377.4K0.5731.172,1161,19714,75913,074
2017-06-30$100.43$100.0015.9%4.6%14.5%25.1%17.3%3.0%0.5%3.3M-39.0M-377.2K0.4174.282,4891,01714,76113,278