CCI Options History — October 2017

In October 2017, CCI traded between $99.65 and $107.13. ATM implied volatility averaged 19.7%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.7% (HV 20d: 14.0%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 1.11.

Notable Days

  • 2017-10-19: Highest Volume — 9,640 contracts
  • 2017-10-30: Largest IV spike — 22.3% change
  • 2017-10-10: Highest IV Rank — 78.9%
  • 2017-10-04: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.73$99.65$107.13$99.78$107.13
Max Pain$101.82$100.00$105.00$105.00$105.00
ATM IV19.7%14.5%26.2%20.4%17.1%
Expected Move5.4%4.1%6.5%5.9%4.9%
HV 20d14.0%11.2%17.6%11.9%17.6%
HV 60d14.1%12.2%16.6%16.1%14.5%
IV Rank45.2%17.7%78.9%48.8%31.4%
IV Percentile55.8%2.8%96.8%67.1%32.9%
Term Structure-0.7%-3.4%1.5%-0.6%0.9%
VWIV19.2%14.9%26.6%26.6%15.6%
Skew 25d2.5%1.5%3.5%2.2%2.3%
Skew 10d5.5%2.7%7.7%4.7%7.7%
Call IV 25d18.3%14.4%22.6%20.5%15.3%
Put IV 25d20.8%16.8%24.2%22.8%17.6%
Bid-Ask Spread %55.8116.4083.7721.1583.77
Gamma HHI0.370.200.910.210.47
Net GEX7.7M-1.3M75.9M-917.9K14.0M
Net DEX-33.2M-131.5M13.3M13.3M-131.5M
Net VEX-515.6K-547.0K-495.8K-506.7K-511.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.182.661.260.55
Total Volume4,254.8642,4619,6404,0233,318
Total OI45,224.90938,11653,19743,08546,588

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$99.78$105.0020.4%5.9%11.9%48.8%26.6%2.2%-0.6%-917.9K13.3M-506.7K1.2621.151,7822,24119,15223,933
2017-10-03$99.65$105.0020.3%5.8%11.8%48.0%20.2%2.4%-0.5%-1.3M12.8M-524.1K0.8516.682,0161,71919,62124,125
2017-10-04$101.86$105.0022.7%6.5%14.5%60.6%22.8%1.5%-2.2%1.3M-15.3M-518.7K0.6221.182,4901,53219,55824,150
2017-10-05$101.57$100.0022.9%5.7%13.8%61.6%19.3%3.1%-0.6%1.3M-10.8M-513.2K1.2519.431,1851,48719,82524,187
2017-10-06$101.46$100.0023.2%5.8%13.8%63.3%19.5%3.4%-1.5%851.3K-4.5M-524.3K1.1718.821,1331,32819,65124,213
2017-10-09$102.10$100.0025.5%5.8%14.0%75.2%20.3%3.2%-1.4%1.9M-17.6M-503.1K2.5517.608722,22119,87224,237
2017-10-10$101.65$100.0026.2%5.8%13.9%78.9%20.1%2.6%-1.0%1.1M-7.9M-529.4K2.6616.408322,21319,91025,169
2017-10-11$102.15$100.0020.8%6.0%13.7%50.7%20.3%2.4%-1.7%2.0M-18.0M-516.9K1.1353.031,9752,23520,09825,236
2017-10-12$103.10$100.0020.0%5.7%14.2%46.6%20.7%2.4%-2.2%3.1M-31.3M-514.0K1.0965.511,2671,38720,47825,307
2017-10-13$102.49$100.0022.3%6.4%14.0%58.4%21.0%2.5%-3.0%2.8M-25.7M-505.7K1.0466.152,2942,37620,78425,286
2017-10-16$101.86$100.0022.4%6.4%13.8%59.3%22.9%2.9%-3.3%2.3M-15.8M-509.9K0.8664.571,6311,39921,83926,289
2017-10-17$101.35$100.0022.3%6.4%11.2%58.5%21.8%2.9%-3.4%1.1M-3.2M-522.4K0.8765.471,5741,36821,71026,498
2017-10-18$100.99$100.0022.1%6.3%11.2%57.4%22.9%3.2%-2.9%240.2K5.2M-512.3K0.9868.271,7781,74421,70226,811
2017-10-19$103.13$100.0017.4%5.0%13.5%33.1%17.7%1.9%-0.4%5.3M-22.6M-495.8K0.1871.718,1361,50421,52827,448
2017-10-20$105.00$100.0015.7%4.5%14.3%24.2%16.5%2.1%1.2%75.9M-77.7M-496.8K0.4473.764,9182,16125,81727,380
2017-10-23$103.96$100.0015.6%4.5%14.7%23.7%15.8%2.1%1.5%5.6M-42.7M-506.7K0.2773.654,7891,29818,11620,000
2017-10-24$104.09$100.0014.8%4.3%14.4%19.7%14.9%2.6%1.3%8.2M-53.1M-529.5K0.6981.534,5183,10220,14420,175
2017-10-25$104.21$105.0015.2%4.4%14.4%21.7%16.0%2.1%1.1%11.5M-68.9M-547.0K2.3681.938461,99723,99720,164
2017-10-26$103.29$105.0015.1%4.3%14.9%21.2%15.3%1.7%1.0%10.2M-54.2M-534.5K1.8482.769341,72224,08120,494
2017-10-27$103.19$105.0014.5%4.1%14.9%17.7%15.4%1.8%1.3%11.0M-50.2M-517.3K1.1580.991,3861,58824,26120,505
2017-10-30$106.15$105.0017.7%5.1%17.6%34.5%16.7%3.5%0.3%12.4M-111.7M-503.3K0.6683.414,4052,90623,93520,674
2017-10-31$107.13$105.0017.1%4.9%17.6%31.4%15.6%2.3%0.9%14.0M-131.5M-511.8K0.5583.772,1401,17825,54721,041