CCI Options History — July 2017

In July 2017, CCI traded between $96.70 and $101.21. ATM implied volatility averaged 18.5%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.3% (HV 20d: 18.8%). Max pain ranged from $97.50 to $100.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-07-19: Highest Volume — 16,375 contracts
  • 2017-07-12: Largest IV drop — 19.1% change
  • 2017-07-19: Highest IV Rank — 56.2%
  • 2017-07-19: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$99.17$96.70$101.21$99.31$100.51
Max Pain$99.00$97.50$100.00$100.00$97.50
ATM IV18.5%16.3%21.9%16.3%17.9%
Expected Move5.2%4.7%6.3%4.7%5.1%
HV 20d18.8%12.6%24.0%14.7%22.0%
HV 60d15.5%13.3%17.5%13.3%17.5%
IV Rank38.3%26.9%56.2%26.9%35.6%
IV Percentile48.5%29.0%81.3%29.0%43.3%
Term Structure-0.3%-2.2%0.8%0.5%0.1%
VWIV19.0%17.2%21.9%20.2%20.2%
Skew 25d2.3%0.8%3.4%3.4%2.5%
Skew 10d5.9%3.2%9.0%5.8%6.1%
Call IV 25d17.9%16.0%22.0%16.0%17.0%
Put IV 25d20.2%18.4%23.5%19.4%19.5%
Bid-Ask Spread %30.5110.6781.5235.3319.16
Gamma HHI0.330.240.450.240.40
Net GEX4.4M1.9M8.2M2.7M7.0M
Net DEX-40.4M-74.7M-14.5M-31.4M-65.4M
Net VEX-380.7K-431.2K-345.8K-369.5K-381.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.102.020.401.21
Total Volume3,987.11,22416,3753,1951,806
Total OI32,430.428,10445,99028,18632,370

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$99.31$100.0016.3%4.7%14.7%26.9%20.2%3.4%0.5%2.7M-31.4M-369.5K0.4035.332,29090514,82413,362
2017-07-05$99.10$100.0017.0%4.9%14.7%30.6%18.2%3.0%-0.1%2.5M-28.9M-349.7K0.2974.432,22365514,76313,341
2017-07-06$98.44$100.0016.7%5.2%14.8%29.2%18.3%2.7%-0.6%2.0M-23.6M-356.3K0.4013.652,20987814,78413,353
2017-07-07$99.38$100.0017.1%4.9%13.2%31.0%17.4%2.9%-0.1%2.7M-30.9M-358.1K0.3213.812,68686614,82613,461
2017-07-10$99.30$100.0020.3%4.9%12.6%47.8%17.6%2.7%-0.2%3.0M-32.7M-352.9K0.3023.532,62479515,34313,482
2017-07-11$98.46$100.0021.1%5.2%12.8%52.0%18.6%2.8%-0.9%2.4M-26.4M-350.9K0.3412.262,16573915,40113,542
2017-07-12$100.16$100.0017.0%4.9%14.5%30.9%17.6%2.4%-0.3%3.7M-40.4M-348.3K0.3315.482,06967915,40613,547
2017-07-13$100.30$100.0017.2%4.9%14.5%31.6%17.7%2.1%-0.2%3.7M-39.8M-347.1K0.3512.941,90967615,26313,593
2017-07-14$101.21$100.0018.4%5.3%14.8%38.1%18.5%1.7%-0.9%4.2M-48.3M-345.8K0.1081.526,73969315,35113,691
2017-07-17$96.94$100.0021.1%6.1%21.3%52.4%21.9%2.7%-2.2%2.8M-21.3M-369.6K1.1137.611,6121,79319,61213,854
2017-07-18$96.70$100.0020.7%5.9%21.3%50.3%20.7%3.0%-1.5%1.9M-14.5M-372.2K0.4616.001,64676119,73714,739
2017-07-19$98.48$100.0021.9%6.3%22.4%56.2%21.9%0.8%-2.1%3.9M-35.1M-388.2K0.7462.339,4376,93819,99314,864
2017-07-20$97.32$97.5019.7%5.6%22.5%44.8%20.0%1.7%-0.3%3.5M-24.2M-431.2K2.0247.162,3414,72426,01718,502
2017-07-21$99.54$97.5019.1%5.5%24.0%41.6%19.6%2.2%-0.4%5.4M-38.4M-421.6K0.3236.473,9601,26025,47020,520
2017-07-24$99.40$97.5017.7%5.1%24.0%34.6%18.1%2.2%0.6%5.9M-52.2M-405.5K0.3313.582,75990519,15412,201
2017-07-25$99.09$97.5017.7%5.1%24.0%34.4%19.4%2.2%0.8%6.8M-53.8M-422.0K0.7211.0980657820,87212,532
2017-07-26$99.23$97.5017.7%5.1%22.5%34.2%18.8%1.9%0.6%7.3M-59.1M-415.5K0.4660.5883638820,98012,529
2017-07-27$99.98$97.5017.5%5.0%22.6%33.2%18.5%1.6%0.2%7.9M-66.8M-417.7K0.5610.6788750021,05512,536
2017-07-28$100.48$97.5017.1%4.9%22.1%31.4%17.2%1.2%0.8%8.2M-74.7M-410.9K0.1812.683,38462121,17512,563
2017-07-31$100.51$97.5017.9%5.1%22.0%35.6%20.2%2.5%0.1%7.0M-65.4M-381.1K1.2119.1681898819,76112,609