CCI Options History — January 2018

In January 2018, CCI traded between $103.54 and $112.79. ATM implied volatility averaged 19.3%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.1% (HV 20d: 17.1%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2018-01-22: Highest Volume — 4,124 contracts
  • 2018-01-10: Largest IV spike — 25.8% change
  • 2018-01-16: Highest IV Rank — 72.6%
  • 2018-01-16: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$107.90$103.54$112.79$108.86$112.79
Max Pain$107.14$105.00$110.00$110.00$105.00
ATM IV19.3%16.2%23.1%16.9%17.9%
Expected Move5.6%4.6%6.6%4.9%5.1%
HV 20d17.1%12.7%21.1%15.4%20.5%
HV 60d19.0%18.3%19.7%18.3%19.1%
IV Rank49.5%30.8%72.6%35.4%41.4%
IV Percentile64.3%25.8%97.6%34.5%53.6%
Term Structure-0.5%-2.3%1.9%1.2%0.3%
VWIV20.0%17.3%23.0%17.8%19.6%
Skew 25d2.2%1.5%2.9%1.9%1.9%
Skew 10d5.4%3.7%7.6%5.4%4.3%
Call IV 25d19.3%16.8%22.4%17.1%17.6%
Put IV 25d21.4%18.3%24.6%19.0%19.5%
Bid-Ask Spread %26.496.6268.6815.6016.51
Gamma HHI0.360.240.450.370.36
Net GEX2.0M-1.9M3.9M3.9M3.6M
Net DEX-16.9M-57.4M23.3M-28.7M-57.4M
Net VEX-346.8K-386.1K-297.8K-336.1K-386.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.412.650.570.58
Total Volume2,861.5241,7444,1242,9472,478
Total OI32,574.57118,76843,55536,52322,671

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$108.86$110.0016.9%4.9%15.4%35.4%17.8%1.9%1.2%3.9M-28.7M-336.1K0.5715.601,8731,07415,32521,198
2018-01-03$108.50$110.0016.2%4.6%12.7%30.8%17.7%1.5%1.9%3.7M-22.9M-331.8K0.7430.341,6821,24315,50221,325
2018-01-04$107.19$110.0017.7%5.6%13.2%40.0%19.0%1.9%-1.5%2.2M-8.2M-316.4K0.4920.632,02099915,41421,555
2018-01-05$108.12$110.0016.6%5.2%13.6%33.3%18.8%2.8%-1.0%3.3M-18.3M-341.6K0.5818.101,60492915,69221,781
2018-01-08$108.34$110.0016.9%5.3%13.5%35.4%19.2%2.3%-1.2%3.7M-19.4M-332.6K0.5420.771,72093215,81321,903
2018-01-09$107.79$110.0016.4%5.3%13.6%32.0%18.9%2.2%-1.3%3.3M-13.3M-322.9K0.4326.981,98084315,92822,028
2018-01-10$104.77$110.0020.6%5.9%15.7%57.6%20.7%2.6%-1.4%-941.1K15.8M-297.8K0.8766.162,1161,83316,23022,175
2018-01-11$103.66$110.0020.3%5.8%15.9%56.0%20.9%2.4%-1.0%-1.9M23.0M-301.1K0.5168.682,5211,29416,69122,903
2018-01-12$103.54$110.0021.1%6.1%15.6%60.9%22.2%2.0%-1.2%-1.7M23.3M-311.9K0.9162.302,0861,89817,72423,124
2018-01-16$105.44$105.0023.1%6.6%17.4%72.6%23.0%2.3%-2.3%117.4K4.4M-340.4K0.4168.492,8331,16018,38824,075
2018-01-17$106.03$105.0022.8%6.5%17.6%71.0%22.8%1.8%-2.0%495.9K-2.6M-348.4K1.0518.651,3821,44518,86724,146
2018-01-18$105.98$105.0022.4%6.4%17.4%68.8%22.5%2.1%-1.8%-391.1K-532.1K-359.7K0.9624.921,3311,27818,92624,399
2018-01-19$107.31$105.0022.2%6.4%17.8%67.5%21.4%2.7%-2.2%2.0M-10.5M-351.2K1.0616.751,5371,63519,01624,539
2018-01-22$108.30$105.0021.0%6.0%18.1%59.9%21.3%2.5%-0.4%2.3M-24.8M-356.4K0.7813.602,3171,80710,4668,302
2018-01-23$110.38$105.0020.2%5.8%19.3%55.2%20.5%1.8%-0.5%2.9M-39.0M-370.0K1.0015.241,3601,36011,0608,992
2018-01-24$109.77$105.0020.1%5.8%19.4%54.4%20.3%1.6%-0.3%3.1M-36.3M-373.5K2.6510.105021,32911,5999,269
2018-01-25$108.41$105.0016.8%4.8%19.9%34.5%17.3%1.9%1.5%2.9M-24.7M-369.1K2.059.496761,38911,4959,713
2018-01-26$110.50$105.0017.1%4.9%21.0%36.5%17.7%2.1%1.2%3.4M-40.0M-376.4K1.826.626821,24211,5509,968
2018-01-29$109.96$105.0019.2%5.5%21.1%49.3%19.3%2.1%0.1%3.3M-35.6M-374.2K1.2212.828821,07611,74310,059
2018-01-30$110.27$105.0018.9%5.4%20.6%47.3%18.6%2.9%0.5%3.5M-39.5M-385.0K1.4213.477211,02312,19910,313
2018-01-31$112.79$105.0017.9%5.1%20.5%41.4%19.6%1.9%0.3%3.6M-57.4M-386.1K0.5816.511,57390512,25510,416