CCI Options History — June 2018

In June 2018, CCI traded between $100.81 and $108.07. ATM implied volatility averaged 18.8%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.5% (HV 20d: 13.3%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.09.

Notable Days

  • 2018-06-13: Highest Volume — 8,049 contracts
  • 2018-06-07: Largest IV spike — 42.1% change
  • 2018-06-07: Highest IV Rank — 55.4%
  • 2018-06-28: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$103.53$100.81$108.07$103.70$108.07
Max Pain$104.76$100.00$105.00$100.00$105.00
ATM IV18.8%15.3%21.7%17.8%18.4%
Expected Move5.3%4.9%5.8%5.1%5.3%
HV 20d13.3%9.8%15.7%13.0%15.7%
HV 60d21.9%21.4%22.3%22.3%21.7%
IV Rank40.3%21.9%55.4%35.2%37.8%
IV Percentile46.1%4.8%79.4%36.1%36.5%
Term Structure0.5%-0.5%1.5%0.4%0.1%
VWIV18.9%17.3%20.6%17.7%18.7%
Skew 25d2.9%2.4%4.6%2.7%2.5%
Skew 10d6.8%2.8%9.3%8.6%7.7%
Call IV 25d17.6%16.3%19.1%16.3%18.0%
Put IV 25d20.5%18.9%22.5%18.9%20.5%
Bid-Ask Spread %33.6713.3280.7613.3219.12
Gamma HHI0.160.110.410.140.16
Net GEX1.1M-3.5M3.1M1.9M3.1M
Net DEX-3.2M-41.8M36.7M-19.2M-41.8M
Net VEX-474.5K-599.9K-361.7K-425.1K-599.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.174.251.120.62
Total Volume2,560.9051,0178,0491,1752,108
Total OI38,179.71435,18941,91435,18941,432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$103.70$100.0017.8%5.1%13.0%35.2%17.7%2.7%0.4%1.9M-19.2M-425.1K1.1213.3255462119,55015,639
2018-06-04$104.23$105.0019.0%5.1%11.5%41.1%17.9%2.9%0.6%2.2M-25.8M-421.4K0.8967.8866158819,59315,720
2018-06-05$103.16$105.0019.6%5.0%11.3%44.5%18.3%3.0%0.9%1.8M-14.9M-407.4K1.4118.267961,11919,77615,710
2018-06-06$102.72$105.0015.3%5.0%11.4%21.9%18.1%3.2%0.8%1.8M-11.6M-403.0K0.8618.6864555220,06816,243
2018-06-07$102.41$105.0021.7%5.5%11.0%55.4%18.7%3.0%0.7%1.5M-7.0M-395.9K1.2813.5847560620,05616,302
2018-06-08$102.96$105.0016.5%4.9%10.4%28.1%18.9%3.2%1.3%1.7M-12.3M-400.1K1.2014.7446355420,15016,400
2018-06-11$103.66$105.0017.1%4.9%9.8%31.3%18.5%2.4%1.0%1.8M-17.2M-386.1K0.7226.5297670720,14016,428
2018-06-12$104.31$105.0020.7%5.1%10.0%50.2%18.2%2.4%0.1%2.5M-25.3M-380.2K0.7072.201,23886320,07016,546
2018-06-13$101.22$105.0019.4%5.6%14.7%43.1%20.1%2.5%-0.1%1.3M8.5M-361.7K0.2780.766,3491,70020,49016,517
2018-06-14$101.03$105.0018.6%5.3%14.6%39.1%17.8%2.7%0.9%-3.5M32.1M-440.2K0.1716.834,82983818,67719,645
2018-06-15$101.00$105.0017.8%5.1%13.9%35.0%17.3%2.5%1.5%-680.9K36.7M-507.0K0.8039.343,3012,64920,13921,775
2018-06-18$100.81$105.0019.0%5.4%13.9%41.2%18.8%2.5%1.1%-899.3K36.4M-492.2K2.7216.409352,54218,52119,694
2018-06-19$101.76$105.0019.3%5.5%14.3%43.0%19.4%2.5%1.1%-402.5K28.1M-514.0K4.2568.666382,70918,71319,718
2018-06-20$102.56$105.0019.0%5.4%14.3%41.0%20.6%4.6%0.0%4.7K19.9M-521.5K0.9676.9299395718,77719,892
2018-06-21$102.58$105.0018.2%5.2%14.1%36.9%18.7%3.0%-0.3%102.8K17.7M-521.4K1.0743.3369373919,01919,969
2018-06-22$103.72$105.0018.2%5.2%14.6%36.9%19.1%2.6%0.4%620.4K7.4M-528.2K0.9816.7995393319,19820,056
2018-06-25$104.12$105.0019.9%5.7%14.3%46.0%20.1%3.2%-0.2%890.3K2.5M-540.6K0.9917.361,1441,12719,52120,180
2018-06-26$106.08$105.0019.9%5.7%15.5%45.9%20.4%3.0%-0.1%2.1M-20.1M-568.1K0.7019.101,08776119,94620,332
2018-06-27$106.52$105.0019.8%5.7%15.5%45.5%19.7%2.9%-0.5%2.2M-24.4M-567.6K0.4718.781,35364020,09320,427
2018-06-28$107.49$105.0020.2%5.8%15.7%47.3%19.2%3.2%0.2%2.9M-37.6M-583.8K0.8328.431,2991,08420,18520,467
2018-06-29$108.07$105.0018.4%5.3%15.7%37.8%18.7%2.5%0.1%3.1M-41.8M-599.9K0.6219.121,30380520,51220,920