CCI Options History — February 2018

In February 2018, CCI traded between $103.89 and $113.04. ATM implied volatility averaged 22.7%, placing in the 70.5% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.7% (HV 20d: 24.4%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.22.

Notable Days

2018-02-07: Highest Volume — 4,739 contracts
2018-02-05: Largest IV spike — 24.0% change
2018-02-06: Highest IV Rank — 98.5%
2018-02-09: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$108.50	$103.89	$113.04	$113.04	$110.08
Max Pain	$110.53	$110.00	$115.00	$110.00	$110.00
ATM IV	22.7%	17.6%	27.3%	17.6%	22.2%
Expected Move	6.5%	5.3%	7.8%	5.3%	6.4%
HV 20d	24.4%	20.1%	26.5%	20.4%	26.0%
HV 60d	18.9%	16.3%	20.4%	19.1%	20.4%
IV Rank	70.5%	39.7%	98.5%	39.7%	67.5%
IV Percentile	88.8%	48.8%	99.6%	48.8%	90.5%
Term Structure	-1.9%	-3.5%	-0.6%	-0.6%	-2.3%
VWIV	23.9%	19.1%	31.4%	19.1%	23.7%
Skew 25d	4.0%	2.8%	6.5%	2.8%	4.1%
Skew 10d	8.5%	4.6%	11.5%	4.6%	11.0%
Call IV 25d	21.0%	17.9%	25.9%	18.3%	20.1%
Put IV 25d	25.0%	21.1%	32.4%	21.1%	24.2%
Bid-Ask Spread %	32.73	15.52	67.03	15.52	31.51
Gamma HHI	0.28	0.18	0.38	0.37	0.29
Net GEX	2.3M	395.5K	3.9M	3.9M	3.2M
Net DEX	-18.9M	-62.8M	11.2M	-62.8M	-29.8M
Net VEX	-402.1K	-416.1K	-386.2K	-392.4K	-416.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.60	2.02	0.60	1.31
Total Volume	2,302.526	1,357	4,739	1,781	2,078
Total OI	26,012.737	23,387	28,393	23,608	27,234

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$113.04	$110.00	17.6%	5.3%	20.4%	39.7%	19.1%	2.8%	-0.6%	3.9M	-62.8M	-392.4K	0.60	15.52	1,116	665	12,794	10,814
2018-02-02	$112.20	$110.00	20.3%	5.9%	20.1%	55.7%	19.9%	3.1%	-1.1%	3.6M	-51.3M	-396.0K	1.65	18.77	512	845	12,693	10,876
2018-02-05	$110.53	$115.00	25.1%	6.4%	20.8%	85.2%	22.3%	2.8%	-1.7%	3.1M	-39.8M	-397.5K	0.90	49.81	830	750	12,781	11,071
2018-02-06	$108.53	$115.00	27.3%	7.2%	21.9%	98.5%	25.8%	5.0%	-2.0%	2.5M	-22.2M	-408.6K	1.76	28.22	1,468	2,587	13,119	11,174
2018-02-07	$108.68	$110.00	23.2%	6.6%	21.8%	73.2%	26.9%	3.8%	-2.0%	3.3M	-24.1M	-411.7K	2.00	46.82	1,580	3,159	13,709	11,208
2018-02-08	$104.04	$110.00	25.8%	7.4%	25.0%	89.0%	27.7%	4.3%	-2.5%	1.1M	8.9M	-406.0K	0.74	50.62	1,674	1,247	14,405	12,086
2018-02-09	$103.89	$110.00	27.1%	7.8%	24.7%	96.7%	31.4%	6.5%	-2.9%	769.6K	11.2M	-412.7K	1.53	50.40	647	992	14,495	12,517
2018-02-12	$105.29	$110.00	25.2%	7.2%	25.1%	85.6%	25.6%	3.5%	-2.8%	996.6K	6.7M	-399.1K	2.02	65.70	611	1,236	14,523	12,639
2018-02-13	$106.58	$110.00	24.4%	7.0%	24.6%	80.8%	28.0%	4.8%	-2.2%	1.7M	-1.4M	-393.9K	1.03	28.28	844	871	14,642	13,108
2018-02-14	$105.43	$110.00	23.6%	6.8%	24.9%	76.1%	24.6%	4.0%	-2.3%	395.5K	7.6M	-386.2K	0.90	29.13	970	869	14,442	13,092
2018-02-15	$107.60	$110.00	21.1%	6.1%	25.9%	60.9%	23.0%	4.2%	-0.7%	2.1M	-4.7M	-387.5K	0.75	20.83	1,120	841	14,644	13,367
2018-02-16	$109.42	$110.00	20.8%	6.0%	26.2%	59.0%	23.5%	3.1%	-1.2%	1.8M	-18.4M	-399.4K	1.51	27.87	773	1,168	14,961	13,432
2018-02-20	$108.73	$110.00	21.4%	6.1%	26.2%	62.4%	21.7%	3.9%	-1.5%	1.5M	-14.3M	-390.4K	0.67	18.62	2,086	1,391	11,680	11,707
2018-02-21	$107.04	$110.00	23.6%	6.8%	25.8%	75.8%	23.7%	4.2%	-3.5%	1.9M	-8.5M	-398.4K	1.57	67.03	576	907	13,159	12,151
2018-02-22	$108.40	$110.00	20.9%	6.0%	26.2%	59.4%	22.7%	3.4%	-1.3%	2.5M	-16.7M	-407.0K	1.52	21.36	844	1,284	13,344	12,267
2018-02-23	$110.30	$110.00	19.9%	5.7%	26.5%	53.5%	21.9%	4.6%	-0.9%	3.2M	-29.5M	-411.8K	0.69	16.06	1,708	1,179	13,505	12,695
2018-02-26	$111.39	$110.00	20.8%	6.0%	25.9%	58.7%	20.5%	4.2%	-2.5%	3.7M	-39.7M	-411.5K	0.86	17.53	1,397	1,196	13,819	13,041
2018-02-27	$110.38	$110.00	21.3%	6.1%	26.0%	62.1%	21.5%	4.3%	-1.9%	3.3M	-30.8M	-413.1K	1.23	17.76	773	954	13,841	13,207
2018-02-28	$110.08	$110.00	22.2%	6.4%	26.0%	67.5%	23.7%	4.1%	-2.3%	3.2M	-29.8M	-416.1K	1.31	31.51	901	1,177	14,001	13,233