CCI Options History — May 2018

In May 2018, CCI traded between $100.47 and $104.67. ATM implied volatility averaged 19.3%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 3.6% (HV 20d: 22.9%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2018-05-10: Highest Volume — 8,640 contracts
  • 2018-05-08: Largest IV drop — 18.5% change
  • 2018-05-01: Highest IV Rank — 60.4%
  • 2018-05-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$102.59$100.47$104.67$100.47$103.88
Max Pain$101.36$100.00$105.00$100.00$100.00
ATM IV19.3%17.1%22.7%22.7%18.6%
Expected Move5.6%4.9%6.5%6.5%5.3%
HV 20d22.9%13.1%32.1%32.1%13.2%
HV 60d24.9%22.3%27.0%27.0%22.3%
IV Rank42.9%31.2%60.4%60.4%39.3%
IV Percentile53.4%28.6%88.1%88.1%43.7%
Term Structure-0.6%-1.8%1.2%-0.1%-0.1%
VWIV20.2%18.2%23.1%22.7%19.6%
Skew 25d3.4%2.1%4.7%4.7%4.4%
Skew 10d7.7%3.9%12.4%9.3%10.8%
Call IV 25d17.6%15.3%20.6%20.6%15.6%
Put IV 25d21.0%18.7%25.3%25.3%20.0%
Bid-Ask Spread %20.9611.2448.7715.4814.63
Gamma HHI0.250.120.450.200.14
Net GEX4.1M-1.4M10.1M3.5M1.9M
Net DEX-10.0M-64.1M17.8M17.8M-20.8M
Net VEX-488.2K-590.0K-420.6K-536.5K-431.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.105.210.581.25
Total Volume2,695.0451,1128,6403,7031,112
Total OI44,392.86433,85650,84847,94135,134

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$100.47$100.0022.7%6.5%32.1%60.4%22.7%4.7%-0.1%3.5M17.8M-536.5K0.5815.482,3431,36028,03419,907
2018-05-02$100.87$100.0022.4%6.4%31.5%58.9%23.1%4.3%-0.6%3.6M14.5M-546.8K0.3424.921,89565128,10220,298
2018-05-03$101.64$105.0021.5%6.1%31.4%54.1%21.6%4.1%-0.8%4.8M2.0M-551.1K0.3718.451,91171528,19119,939
2018-05-04$103.45$105.0018.8%5.7%31.9%40.3%20.8%3.3%-1.4%6.2M-33.8M-590.0K0.2019.313,49468728,34020,006
2018-05-07$102.24$105.0021.7%6.1%31.6%55.3%21.0%3.4%-1.1%6.2M-13.1M-547.2K0.2025.663,82074929,38420,036
2018-05-08$102.68$105.0017.7%5.5%25.6%34.5%20.2%3.6%-0.4%6.8M-17.1M-544.8K0.2723.612,10857429,93520,140
2018-05-09$103.48$105.0019.4%5.5%25.3%43.0%22.8%3.4%0.0%8.7M-36.5M-547.6K0.3421.031,56853230,07420,096
2018-05-10$104.67$105.0018.9%5.4%25.4%40.5%20.8%2.7%-0.4%10.1M-64.1M-549.9K0.1026.247,82581530,08920,108
2018-05-11$103.43$100.0018.4%5.3%25.7%38.2%19.5%2.1%-0.3%9.2M-28.1M-521.8K0.1727.614,23271630,46220,120
2018-05-14$103.24$100.0018.1%5.2%25.4%36.6%19.4%3.1%0.5%9.1M-18.8M-481.5K0.9927.5259258830,44620,185
2018-05-15$102.70$100.0018.4%5.3%24.5%38.1%19.0%3.1%0.1%7.0M-5.6M-466.9K1.1448.7762771330,44520,198
2018-05-16$102.97$100.0018.1%5.2%24.4%36.5%19.8%3.4%0.2%7.6M-7.6M-466.5K1.4315.2252174430,49120,336
2018-05-17$101.64$100.0019.6%5.6%20.2%44.5%19.7%3.0%-1.1%2.8M14.1M-427.5K1.2532.6853867430,50920,339
2018-05-18$102.00$100.0019.4%5.6%20.2%43.1%18.9%2.9%-1.1%123.4K2.0M-439.3K5.2113.745452,83830,51019,863
2018-05-21$102.06$100.0019.6%5.6%18.7%44.4%19.1%3.2%-1.8%-1.4M10.0M-448.5K0.3616.872,42487217,05016,806
2018-05-22$101.32$100.0018.9%5.4%18.8%40.4%18.2%2.5%-1.2%-563.8K11.0M-440.4K4.2011.246162,58818,85917,036
2018-05-23$101.98$100.0019.1%5.5%19.0%42.0%19.2%3.1%-0.7%-586.2K4.9M-449.9K1.3516.8449466918,88817,390
2018-05-24$101.81$100.0019.4%5.6%19.0%43.3%19.4%3.4%-1.4%880.9K1.1M-420.6K0.8013.4281965818,92015,455
2018-05-25$102.80$100.0017.1%4.9%13.3%31.2%19.1%2.9%1.2%1.4M-10.0M-446.8K0.5613.521,05159319,06915,521
2018-05-29$103.53$100.0018.7%5.3%13.5%39.5%18.2%4.5%-0.7%1.7M-17.3M-442.5K0.7221.471,01272519,32915,505
2018-05-30$104.04$100.0018.5%5.3%13.1%38.8%22.1%4.6%-0.8%2.2M-24.6M-442.7K1.1312.8760368019,50615,592
2018-05-31$103.88$100.0018.6%5.3%13.2%39.3%19.6%4.4%-0.1%1.9M-20.8M-431.4K1.2514.6349561719,53115,603