CCI Options History — November 2017

In November 2017, CCI traded between $105.18 and $113.84. ATM implied volatility averaged 19.0%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.3% (HV 20d: 23.3%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2017-11-06: Highest Volume — 8,637 contracts
  • 2017-11-06: Largest IV spike — 28.7% change
  • 2017-11-06: Highest IV Rank — 50.4%
  • 2017-11-14: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.51$105.18$113.84$105.18$113.05
Max Pain$108.81$105.00$110.00$105.00$110.00
ATM IV19.0%16.1%20.7%16.5%19.4%
Expected Move5.5%4.7%5.9%4.7%5.6%
HV 20d23.3%17.9%25.1%17.9%21.1%
HV 60d17.7%14.7%18.5%14.7%18.1%
IV Rank41.5%26.3%50.4%28.5%43.3%
IV Percentile56.1%21.4%72.6%24.6%61.9%
Term Structure-1.5%-2.4%0.3%0.3%-1.6%
VWIV18.9%15.0%21.8%15.0%19.3%
Skew 25d2.1%1.3%3.0%1.6%1.9%
Skew 10d3.8%2.8%5.1%3.7%3.8%
Call IV 25d18.2%15.5%19.9%16.7%18.1%
Put IV 25d20.2%18.2%21.9%18.2%20.0%
Bid-Ask Spread %47.8913.0280.9380.9314.57
Gamma HHI0.350.220.710.520.42
Net GEX9.7M4.6M36.9M14.4M6.2M
Net DEX-159.8M-245.5M-79.9M-93.7M-102.0M
Net VEX-469.3K-523.1K-428.5K-523.1K-434.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.231.740.580.86
Total Volume3,6671,4808,6373,2721,480
Total OI49,408.42942,30858,23847,98944,188

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$105.18$105.0016.5%4.7%17.9%28.5%15.0%1.6%0.3%14.4M-93.7M-523.1K0.5880.932,0721,20026,72321,266
2017-11-02$106.35$105.0016.9%5.0%18.1%30.1%16.7%3.0%-1.7%15.0M-119.8M-495.2K0.6145.252,2671,38526,61721,370
2017-11-03$106.48$105.0016.1%5.0%18.0%26.3%17.1%3.0%-1.6%15.2M-121.1M-508.1K1.0413.022,2092,30726,85321,543
2017-11-06$111.87$105.0020.7%5.5%24.6%50.4%18.9%2.1%-2.4%9.2M-209.7M-454.9K0.4866.475,8452,79227,03522,302
2017-11-07$111.66$105.0019.8%5.5%24.5%45.5%18.8%2.7%-1.9%10.3M-214.7M-485.7K1.2469.321,6082,00029,48122,576
2017-11-08$113.84$110.0019.2%5.5%25.0%42.6%19.4%1.6%-1.4%8.0M-242.0M-462.7K0.4261.272,8931,20229,75123,160
2017-11-09$113.50$110.0019.5%5.6%25.1%44.0%20.1%1.3%-1.8%8.3M-245.5M-455.4K0.9433.301,6691,56230,88323,240
2017-11-10$113.26$110.0019.5%5.6%25.0%44.2%20.0%1.8%-1.4%7.2M-235.9M-485.5K1.2543.171,2941,62230,53123,674
2017-11-13$112.83$110.0019.9%5.7%24.8%46.2%20.5%1.8%-1.5%7.9M-232.7M-477.2K1.2771.381,2611,60530,89923,784
2017-11-14$113.21$110.0020.5%5.9%24.6%49.0%20.1%2.0%-2.2%7.7M-235.0M-463.2K0.2373.575,4081,24830,83623,894
2017-11-15$112.66$110.0019.7%5.7%24.6%45.1%19.4%1.8%-1.3%9.3M-233.9M-480.2K0.3245.935,7761,84233,00924,074
2017-11-16$111.16$110.0019.1%5.5%24.8%41.8%18.1%2.7%-0.9%9.3M-207.3M-480.9K0.2441.766,2461,48433,20024,673
2017-11-17$110.02$110.0019.1%5.5%24.7%41.6%19.1%2.5%-1.3%36.9M-182.8M-466.1K0.6124.342,0701,25733,37224,866
2017-11-20$110.49$110.0019.4%5.6%24.2%43.6%19.7%2.2%-1.2%4.6M-79.9M-451.4K0.8856.201,02389819,97022,338
2017-11-21$112.01$110.0018.3%5.2%24.5%37.7%18.1%2.1%-1.1%5.4M-91.5M-473.7K1.7426.237971,38720,17522,550
2017-11-22$111.93$110.0018.6%5.3%24.5%39.0%18.6%1.9%-1.3%5.1M-89.8M-475.5K1.4757.028041,18220,31922,932
2017-11-24$112.72$110.0018.9%5.4%24.1%40.7%18.4%1.8%-1.3%5.6M-99.3M-466.3K1.1425.019201,04820,45323,245
2017-11-27$113.37$110.0019.3%5.5%24.0%43.0%19.5%1.9%-1.7%6.1M-108.4M-444.0K1.1257.239171,02520,46123,282
2017-11-28$113.34$110.0019.2%5.5%22.4%42.6%19.1%1.8%-1.6%6.6M-111.8M-428.5K0.8538.651,02086220,58923,408
2017-11-29$112.80$110.0019.8%5.7%22.5%45.5%21.8%2.5%-2.0%5.7M-98.4M-444.0K0.9961.1076575520,49823,557
2017-11-30$113.05$110.0019.4%5.6%21.1%43.3%19.3%1.9%-1.6%6.2M-102.0M-434.1K0.8614.5779768320,52223,666