CCI Options History — March 2018

In March 2018, CCI traded between $104.66 and $112.14. ATM implied volatility averaged 21.4%, placing in the 62.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 4.4% (HV 20d: 25.8%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2018-03-14: Highest Volume — 9,643 contracts
  • 2018-03-14: Largest IV drop — 26.9% change
  • 2018-03-13: Highest IV Rank — 96.8%
  • 2018-03-02: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.32$104.66$112.14$105.97$109.63
Max Pain$105.48$105.00$110.00$110.00$105.00
ATM IV21.4%18.0%27.1%25.3%20.0%
Expected Move5.9%5.2%7.3%7.3%5.7%
HV 20d25.8%20.0%30.3%27.9%20.0%
HV 60d22.7%21.3%23.4%21.7%23.0%
IV Rank62.6%42.0%96.8%86.1%54.2%
IV Percentile78.2%53.6%99.2%97.6%71.8%
Term Structure0.7%-4.1%2.5%-4.1%1.0%
VWIV21.9%20.1%25.8%24.8%21.0%
Skew 25d3.6%2.7%4.8%4.5%3.8%
Skew 10d7.8%5.6%12.0%7.7%7.7%
Call IV 25d19.6%17.4%24.0%23.2%18.9%
Put IV 25d23.2%20.3%28.8%27.6%22.7%
Bid-Ask Spread %36.8717.1584.2520.2624.24
Gamma HHI0.270.220.370.240.25
Net GEX3.6M-241.9K6.7M991.0K4.7M
Net DEX-45.1M-85.0M16.6M3.9M-57.5M
Net VEX-506.0K-574.4K-402.8K-404.8K-561.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.102.142.140.49
Total Volume4,626.9051,3889,6432,7442,533
Total OI32,914.90527,57636,90327,57634,977

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$105.97$110.0025.3%7.3%27.9%86.1%24.8%4.5%-4.1%991.0K3.9M-404.8K2.1420.268741,87014,04413,532
2018-03-02$104.66$110.0025.4%7.3%28.0%87.0%25.8%4.8%-2.5%-241.9K16.6M-402.8K0.3217.152,35874514,32014,403
2018-03-05$107.80$105.0022.1%6.0%30.3%66.5%22.3%3.6%0.0%2.0M-13.4M-429.5K0.6752.4683055815,61714,522
2018-03-06$107.79$105.0018.2%5.9%29.9%42.9%21.9%4.1%0.5%2.4M-18.0M-435.0K0.4151.433,8101,55715,85814,582
2018-03-07$107.70$105.0022.9%5.9%29.3%71.6%20.8%3.5%0.8%2.6M-30.3M-521.7K0.3633.192,46389218,94915,409
2018-03-08$109.93$105.0022.6%6.0%30.2%69.7%21.9%3.2%0.2%4.0M-54.1M-541.1K0.1845.264,32976919,02015,649
2018-03-09$110.84$105.0022.2%5.7%25.3%67.5%20.3%4.1%1.3%5.3M-64.1M-528.0K0.2729.663,38990519,73815,758
2018-03-12$111.54$105.0026.7%5.8%25.3%94.5%20.3%3.4%1.9%6.1M-74.7M-533.6K0.2757.192,62271619,85415,899
2018-03-13$111.67$105.0027.1%5.7%25.0%96.8%22.5%3.8%1.3%5.9M-75.0M-523.8K0.3784.252,7991,02220,02416,120
2018-03-14$112.14$105.0019.8%5.7%24.8%52.6%25.0%3.3%1.9%6.7M-85.0M-508.4K0.1026.628,75788620,34916,554
2018-03-15$109.49$105.0018.4%5.3%26.1%44.1%20.7%2.7%2.5%1.5M-43.2M-510.2K0.2239.087,3331,61517,63416,926
2018-03-16$109.54$105.0018.0%5.2%25.2%42.0%20.1%2.9%2.3%2.6M-34.4M-504.4K0.2721.254,7391,26117,52617,687
2018-03-19$108.33$105.0019.0%5.5%24.8%48.1%20.2%3.3%1.7%2.3M-34.5M-486.9K0.1623.475,87594915,90013,038
2018-03-20$108.89$105.0018.7%5.4%24.8%46.1%24.0%3.3%1.4%3.7M-46.4M-513.8K0.3065.214,5291,36517,27413,373
2018-03-21$107.65$105.0018.8%5.4%24.5%46.8%21.0%3.5%1.2%2.9M-33.7M-508.0K0.2129.564,06485817,29614,144
2018-03-22$109.17$105.0020.0%5.7%24.6%54.1%21.0%3.3%1.5%3.5M-46.9M-517.1K0.3934.992,6861,04417,42914,177
2018-03-23$109.81$105.0021.4%6.1%23.9%62.3%21.6%3.6%0.3%3.6M-50.3M-535.6K0.2829.213,44994917,58914,205
2018-03-26$111.50$105.0020.4%5.9%24.2%56.7%20.6%3.9%0.8%4.6M-66.8M-512.7K0.1636.384,63973718,39214,302
2018-03-27$110.78$105.0020.7%5.9%24.1%58.0%20.7%4.2%0.7%4.8M-66.5M-574.4K0.2630.032,88074320,15514,299
2018-03-28$110.92$105.0022.2%6.4%24.1%67.2%22.5%3.8%0.3%5.0M-72.1M-572.4K0.4023.381,98278420,33814,351
2018-03-29$109.63$105.0020.0%5.7%20.0%54.2%21.0%3.8%1.0%4.7M-57.5M-561.2K0.4924.241,70482920,53114,446