CCI Options History — August 2017

In August 2017, CCI traded between $99.80 and $108.33. ATM implied volatility averaged 16.6%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.0% (HV 20d: 15.6%). Max pain ranged from $97.50 to $100.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.23.

Notable Days

  • 2017-08-09: Highest Volume — 4,807 contracts
  • 2017-08-31: Largest IV drop — 33.3% change
  • 2017-08-02: Highest IV Rank — 36.4%
  • 2017-08-02: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.77$99.80$108.33$100.87$108.33
Max Pain$99.78$97.50$100.00$97.50$100.00
ATM IV16.6%11.1%18.1%17.4%11.1%
Expected Move4.8%3.2%5.2%5.0%3.2%
HV 20d15.6%10.4%22.3%21.6%10.4%
HV 60d17.1%16.4%17.8%17.4%16.5%
IV Rank28.6%0.0%36.4%33.0%0.0%
IV Percentile27.5%0.0%44.8%36.5%0.0%
Term Structure-0.4%-1.6%2.2%0.9%2.2%
VWIV17.5%13.5%22.4%17.9%13.5%
Skew 25d2.6%1.3%3.5%1.3%3.5%
Skew 10d6.0%4.1%10.0%4.9%10.0%
Call IV 25d15.4%12.6%17.4%17.4%12.6%
Put IV 25d18.0%16.1%20.0%18.7%16.1%
Bid-Ask Spread %17.5110.8545.8010.8515.20
Gamma HHI0.390.280.700.400.30
Net GEX6.8M3.6M11.8M7.5M4.6M
Net DEX-82.5M-126.2M-54.0M-72.2M-91.5M
Net VEX-359.2K-410.4K-312.7K-378.0K-390.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.230.283.231.220.74
Total Volume2,540.2611,5064,8072,2892,195
Total OI34,051.1329,29738,70032,18935,205

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$100.87$97.5017.4%5.0%21.6%33.0%17.9%1.3%0.9%7.5M-72.2M-378.0K1.2210.851,0301,25919,83912,350
2017-08-02$101.63$97.5018.1%5.2%21.7%36.4%17.7%1.7%0.2%7.3M-78.0M-374.1K0.5111.891,39171019,78013,062
2017-08-03$100.96$100.0017.0%5.1%21.7%30.7%18.0%2.7%-0.2%7.7M-70.9M-363.7K0.8117.1085469120,24913,027
2017-08-04$101.98$100.0017.0%5.1%21.8%30.7%18.5%2.5%-0.6%8.3M-83.9M-370.8K0.8515.5281269420,37613,192
2017-08-07$101.08$100.0017.4%5.1%22.1%32.7%18.4%2.5%-0.1%8.4M-73.2M-351.9K1.1815.198631,01420,39613,347
2017-08-08$99.80$100.0017.0%5.0%22.3%30.5%20.8%2.5%-0.3%8.2M-54.0M-352.0K1.9315.879051,74320,59913,670
2017-08-09$100.71$100.0017.3%5.0%21.7%32.5%19.1%2.2%-0.4%9.2M-68.5M-358.6K0.3813.203,4761,33120,61414,121
2017-08-10$100.73$100.0017.7%5.1%21.7%34.5%22.4%3.0%-0.4%9.4M-69.8M-361.5K1.9225.877371,41620,82214,323
2017-08-11$100.87$100.0017.8%5.1%21.5%34.9%21.7%3.0%-0.5%9.8M-69.8M-357.8K1.7816.447311,29920,82714,592
2017-08-14$102.26$100.0017.4%5.0%14.9%32.8%18.2%2.8%-0.6%8.7M-93.4M-326.7K0.8012.991,3201,05620,82014,819
2017-08-15$102.98$100.0016.0%4.6%14.8%25.4%15.5%2.6%0.4%9.1M-102.3M-334.1K0.5515.241,04057021,18914,943
2017-08-16$103.93$100.0016.0%4.6%13.9%25.5%15.7%1.8%-0.2%9.1M-117.0M-312.7K0.2814.013,52698721,16814,975
2017-08-17$104.25$100.0016.5%4.7%12.8%28.0%16.2%2.8%-0.1%11.8M-126.2M-334.4K0.7045.801,17782622,78415,405
2017-08-18$104.21$100.0016.1%4.6%10.7%25.8%16.1%1.9%-0.6%3.6M-119.8M-355.7K2.7129.731,0682,89723,06015,640
2017-08-21$104.94$100.0015.9%4.6%10.7%24.8%17.1%3.0%-0.5%3.8M-63.8M-335.5K3.1526.869002,83314,33714,960
2017-08-22$105.96$100.0016.1%4.6%10.7%25.9%16.5%2.6%-1.2%4.2M-72.0M-340.9K0.4020.722,01981114,59315,152
2017-08-23$106.23$100.0016.1%4.6%10.7%25.7%17.2%3.2%-0.7%4.9M-77.3M-350.2K1.3314.841,1891,58215,73415,282
2017-08-24$106.84$100.0016.5%4.7%10.7%28.3%16.3%2.8%-1.5%4.7M-81.9M-359.3K0.9514.731,2311,16415,97616,009
2017-08-25$107.01$100.0016.6%4.7%10.7%28.4%16.1%2.8%-1.0%4.6M-82.6M-362.3K3.2310.948462,73115,98116,208
2017-08-28$107.09$100.0017.2%4.9%10.6%31.6%17.5%2.6%-1.6%4.1M-75.3M-410.4K0.9513.2791286916,37718,062
2017-08-29$107.01$100.0016.9%4.8%10.7%30.2%16.2%3.4%-0.9%4.0M-75.7M-389.6K0.7014.481,23687016,38618,082
2017-08-30$107.11$100.0016.6%4.8%10.6%28.6%15.2%3.4%-0.7%4.3M-78.1M-390.7K1.2512.0771989616,69418,149
2017-08-31$108.33$100.0011.1%3.2%10.4%0.0%13.5%3.5%2.2%4.6M-91.5M-390.3K0.7415.201,26393216,90818,297