CCI Options History — September 2017

In September 2017, CCI traded between $99.60 and $107.17. ATM implied volatility averaged 19.0%, placing in the 41.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.0% (HV 20d: 12.0%). Max pain ranged from $97.50 to $105.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.25.

Notable Days

  • 2017-09-26: Highest Volume — 10,254 contracts
  • 2017-09-13: Largest IV drop — 22.1% change
  • 2017-09-11: Highest IV Rank — 55.5%
  • 2017-09-19: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.62$99.60$107.17$107.00$99.94
Max Pain$102.75$97.50$105.00$100.00$105.00
ATM IV19.0%16.6%21.7%16.6%19.7%
Expected Move5.2%4.8%5.9%4.8%5.7%
HV 20d12.0%10.5%14.1%11.6%12.3%
HV 60d16.4%15.9%17.2%16.0%16.2%
IV Rank41.3%28.7%55.5%28.7%45.1%
IV Percentile51.6%23.8%79.8%24.2%59.5%
Term Structure0.0%-1.0%0.9%-0.3%0.0%
VWIV19.8%13.3%26.1%13.3%21.5%
Skew 25d3.1%2.2%4.5%4.5%3.0%
Skew 10d6.9%4.8%9.3%7.8%4.8%
Call IV 25d16.9%13.0%19.4%13.0%19.3%
Put IV 25d20.0%17.5%22.7%17.5%22.3%
Bid-Ask Spread %32.8313.5963.8013.5921.22
Gamma HHI0.260.180.450.300.22
Net GEX2.2M-1.4M7.6M4.6M-630.1K
Net DEX-28.8M-75.7M20.7M-75.6M9.1M
Net VEX-422.6K-533.0K-371.6K-424.3K-515.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.250.273.200.801.17
Total Volume3,891.151,50610,2542,0813,516
Total OI36,865.4532,33743,70935,78743,468

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$107.00$100.0016.6%4.8%11.6%28.7%13.3%4.5%-0.3%4.6M-75.6M-424.3K0.8013.591,15492717,31318,474
2017-09-05$107.17$97.5019.0%4.9%10.8%41.5%17.3%2.9%0.4%4.6M-75.7M-430.4K1.6951.358921,50817,30818,552
2017-09-06$105.95$97.5017.9%4.8%10.5%35.7%18.5%3.5%0.3%4.4M-61.3M-421.7K1.5449.487651,17617,35019,171
2017-09-07$106.97$100.0018.5%4.9%10.6%38.9%18.8%3.0%0.3%4.7M-74.8M-413.0K1.4738.016781,00017,36219,242
2017-09-08$106.51$100.0018.3%4.8%10.9%37.7%18.4%3.2%0.5%4.3M-68.0M-416.6K1.2637.8978398617,38719,181
2017-09-11$106.89$100.0021.7%4.8%10.8%55.5%17.9%3.1%0.9%4.9M-73.6M-398.9K1.6225.6657593117,43819,338
2017-09-12$106.13$100.0021.4%4.8%10.6%54.0%19.5%3.1%0.7%5.3M-66.1M-379.4K1.2943.2174696017,55719,445
2017-09-13$104.89$100.0016.7%4.8%11.5%29.3%23.6%2.7%0.1%5.1M-46.9M-371.6K0.2918.423,4141,00517,58119,555
2017-09-14$104.84$105.0017.0%4.9%11.0%30.8%18.8%2.5%-0.2%7.6M-35.1M-393.7K0.2734.273,38192015,19419,716
2017-09-15$105.51$105.0017.0%4.9%11.2%30.8%18.4%2.7%-0.3%2.1M-53.6M-389.8K0.3232.793,6201,15715,66619,749
2017-09-18$104.50$105.0016.9%4.8%11.8%30.4%18.1%2.2%0.5%1.6M-23.2M-382.8K1.1019.211,4771,62213,79018,547
2017-09-19$102.09$105.0020.5%5.9%14.1%49.0%20.7%2.6%-1.0%-345.6K-146.6K-404.2K1.7253.972,6134,49413,87219,281
2017-09-20$101.78$105.0019.2%5.5%13.5%42.5%19.8%2.8%0.1%109.5K-67.4K-410.0K1.4963.801,5422,30314,84619,837
2017-09-21$101.62$105.0019.5%5.6%13.4%43.8%19.1%3.3%-0.2%-230.9K3.0M-413.6K1.3417.491,4922,00014,72120,241
2017-09-22$100.74$105.0019.7%5.7%13.2%45.2%23.7%2.9%-0.1%-860.9K10.8M-408.7K0.8829.433,0742,70914,73320,266
2017-09-25$100.09$105.0020.4%5.9%13.2%48.7%26.1%3.4%-0.4%-976.3K15.9M-426.6K1.6221.641,4352,32116,04620,922
2017-09-26$99.60$105.0019.8%5.7%13.1%45.3%23.4%4.1%-0.2%-1.4M20.7M-410.8K0.9028.575,3944,86016,12521,003
2017-09-27$99.86$105.0020.3%5.8%13.3%48.1%17.0%2.7%-0.7%-805.9K13.5M-533.0K3.2039.721,7145,47719,20524,504
2017-09-28$100.25$105.0019.9%5.7%13.4%46.1%21.6%3.1%-0.1%-265.1K5.2M-507.9K1.0916.951,5341,66819,32723,996
2017-09-29$99.94$105.0019.7%5.7%12.3%45.1%21.5%3.0%0.0%-630.1K9.1M-515.8K1.1721.221,6171,89919,39324,075