CCI Options History — December 2017

In December 2017, CCI traded between $107.98 and $112.35. ATM implied volatility averaged 17.8%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.3% (HV 20d: 14.4%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.76.

Notable Days

  • 2017-12-13: Highest Volume — 13,969 contracts
  • 2017-12-13: Largest IV drop — 25.0% change
  • 2017-12-11: Highest IV Rank — 64.6%
  • 2017-12-01: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.78$107.98$112.35$112.35$111.21
Max Pain$108.00$105.00$110.00$110.00$110.00
ATM IV17.8%15.2%22.6%21.2%16.5%
Expected Move4.7%4.3%6.1%6.1%4.7%
HV 20d14.4%12.4%23.3%21.1%13.6%
HV 60d18.3%17.7%18.8%18.0%17.7%
IV Rank38.1%24.7%64.6%52.8%33.0%
IV Percentile41.9%11.5%94.8%83.3%29.4%
Term Structure1.2%-5.5%2.1%-5.5%1.1%
VWIV19.1%15.2%27.1%21.1%16.5%
Skew 25d2.0%1.3%2.8%2.8%2.6%
Skew 10d4.4%2.3%5.3%2.3%4.7%
Call IV 25d16.0%14.7%17.9%17.9%15.7%
Put IV 25d18.0%16.8%20.7%20.7%18.3%
Bid-Ask Spread %24.9312.7156.1816.6412.71
Gamma HHI0.300.230.440.400.34
Net GEX2.6M-4.4M5.8M5.8M4.9M
Net DEX-44.5M-98.9M-20.9M-98.9M-53.6M
Net VEX-371.5K-442.5K-335.7K-416.8K-357.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.414.290.770.51
Total Volume5,416.052,47313,9692,8902,844
Total OI39,184.4532,56045,05344,29336,209

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$112.35$110.0021.2%6.1%21.1%52.8%21.1%2.8%-5.5%5.8M-98.9M-416.8K0.7716.641,6371,25320,57123,722
2017-12-04$109.59$105.0021.4%5.1%23.3%53.7%19.5%2.3%0.8%3.2M-58.0M-442.5K0.7717.732,0291,57120,98623,738
2017-12-05$108.92$105.0021.5%4.9%15.0%54.3%20.2%2.5%1.5%2.6M-48.6M-430.7K0.9915.434,1444,10221,52323,530
2017-12-06$109.18$105.0020.7%4.8%15.1%53.7%25.6%2.6%1.5%2.4M-51.1M-411.0K3.8216.171,0584,04421,45723,198
2017-12-07$109.65$105.0019.2%4.7%13.2%45.4%25.1%1.8%2.0%2.0M-43.6M-385.0K4.2929.099414,03820,02221,708
2017-12-08$109.33$105.0018.6%4.7%13.2%42.0%20.1%2.1%1.6%1.6M-41.6M-371.4K3.7126.311,0944,06319,98921,728
2017-12-11$110.88$105.0022.6%4.7%14.4%64.6%21.2%2.1%1.6%2.3M-60.7M-363.0K4.0624.849613,89920,03521,762
2017-12-12$110.84$105.0021.7%4.8%14.3%59.3%18.0%2.3%1.3%1.4M-60.4M-359.1K2.1418.271,8373,93520,19121,810
2017-12-13$111.37$105.0016.3%4.7%14.4%31.4%27.1%2.1%1.8%2.2M-69.1M-361.4K0.4131.099,9324,03720,46321,864
2017-12-14$110.73$110.0016.0%4.6%14.4%29.9%18.2%1.8%1.3%-4.4M-36.1M-341.5K1.4556.183,0174,37616,94421,976
2017-12-15$110.59$110.0015.4%4.4%13.6%26.2%15.9%1.9%2.0%2.8M-40.2M-343.2K1.8128.532,3984,34117,17822,285
2017-12-18$109.61$110.0015.2%4.3%13.5%24.7%15.2%2.1%2.1%2.4M-29.8M-335.7K1.2433.733,2934,09612,72119,839
2017-12-19$108.53$110.0015.6%4.5%13.8%27.1%15.8%1.5%1.5%3.0M-27.1M-355.8K1.9429.142,2274,33014,22520,011
2017-12-20$107.98$110.0015.6%4.5%12.8%27.6%15.9%1.9%1.5%2.5M-20.9M-358.4K2.3534.301,8534,35814,42320,481
2017-12-21$108.15$110.0015.5%4.4%12.8%26.6%15.9%1.3%1.8%2.7M-21.8M-366.7K2.4817.571,7304,28614,74720,719
2017-12-22$108.57$110.0015.5%4.4%12.6%26.9%16.0%1.9%1.6%3.1M-26.6M-365.8K0.6724.731,7511,17614,93720,850
2017-12-26$108.97$110.0015.8%4.5%12.4%28.7%18.0%1.9%1.4%3.6M-31.3M-357.2K0.6124.211,63699414,99720,870
2017-12-27$109.44$110.0015.4%4.4%12.6%26.5%17.7%1.9%2.0%4.0M-35.4M-355.4K0.5824.751,62794015,02720,899
2017-12-28$109.80$110.0015.6%4.5%12.7%27.6%19.0%1.5%1.8%4.0M-35.5M-351.8K0.6517.131,50097315,07220,982
2017-12-29$111.21$110.0016.5%4.7%13.6%33.0%16.5%2.6%1.1%4.9M-53.6M-357.2K0.5112.711,88296215,13621,073