CCI Options History — July 2018

In July 2018, CCI traded between $107.74 and $111.32. ATM implied volatility averaged 17.8%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.9% (HV 20d: 13.9%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.34.

Notable Days

  • 2018-07-23: Highest Volume — 8,615 contracts
  • 2018-07-11: Largest IV drop — 17.1% change
  • 2018-07-09: Highest IV Rank — 57.6%
  • 2018-07-03: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.94$107.74$111.32$107.84$110.85
Max Pain$105.95$105.00$110.00$105.00$110.00
ATM IV17.8%14.9%22.1%19.5%15.9%
Expected Move5.0%4.3%5.6%5.6%4.6%
HV 20d13.9%11.3%16.9%15.7%13.7%
HV 60d16.6%13.6%21.4%21.4%13.6%
IV Rank35.0%19.9%57.6%43.8%25.3%
IV Percentile31.4%1.2%82.5%53.6%9.5%
Term Structure-0.2%-1.6%1.1%-0.9%1.1%
VWIV17.7%15.5%20.3%20.3%15.8%
Skew 25d2.6%2.1%3.1%2.5%2.6%
Skew 10d5.5%2.5%7.8%6.3%5.6%
Call IV 25d16.5%14.6%19.2%19.2%15.0%
Put IV 25d19.1%17.0%21.7%21.7%17.6%
Bid-Ask Spread %28.7710.0189.9915.6310.01
Gamma HHI0.270.160.420.160.30
Net GEX4.5M759.0K10.0M3.1M3.4M
Net DEX-52.9M-98.3M12.8M-39.8M-23.1M
Net VEX-599.6K-649.8K-544.3K-582.8K-642.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.340.277.200.574.66
Total Volume3,817.7621,7898,6152,3544,357
Total OI43,589.61939,67248,21141,60241,814

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$107.84$105.0019.5%5.6%15.7%43.8%20.3%2.5%-0.9%3.1M-39.8M-582.8K0.5715.631,50285220,56121,041
2018-07-03$109.01$105.0019.6%5.6%15.4%44.1%20.0%2.1%-1.3%3.8M-55.5M-586.7K0.6735.431,07271720,79221,196
2018-07-05$110.61$105.0020.4%5.6%15.7%48.7%19.4%2.9%-1.6%4.4M-74.0M-579.1K0.9144.271,1791,06820,78221,220
2018-07-06$111.03$105.0020.9%5.4%15.5%51.3%18.8%2.5%-0.5%4.8M-84.1M-596.3K0.9120.921,07497921,31121,308
2018-07-09$109.41$105.0022.1%5.3%16.8%57.6%17.8%2.7%-1.0%4.5M-63.9M-571.8K0.3019.033,7851,13621,51721,446
2018-07-10$110.22$105.0022.0%5.1%16.9%57.0%18.8%2.5%-0.6%5.9M-78.8M-600.8K0.6529.271,8251,18623,40721,507
2018-07-11$110.87$105.0018.3%5.2%16.8%37.4%19.1%2.9%-0.6%6.1M-85.8M-600.1K0.6059.281,60196823,59121,710
2018-07-12$110.85$105.0017.8%5.1%11.6%34.8%17.8%3.1%-0.0%6.2M-84.9M-592.7K0.5628.191,62590523,63121,784
2018-07-13$111.22$105.0018.1%5.2%11.3%36.4%18.2%3.0%-0.2%6.5M-91.8M-586.3K0.2722.782,56768423,79521,929
2018-07-16$110.39$105.0018.3%5.2%12.0%37.4%17.8%2.4%-0.8%6.3M-82.4M-583.9K0.3215.762,31573524,40721,977
2018-07-17$110.54$105.0018.1%5.2%11.9%36.6%18.0%2.6%-0.7%6.5M-84.0M-575.2K0.4116.731,73370324,46322,015
2018-07-18$110.44$105.0018.2%5.2%11.9%37.0%18.9%2.6%-0.7%6.4M-83.2M-559.3K0.7318.421,7841,30624,52722,038
2018-07-19$111.32$105.0015.8%4.5%11.9%24.8%15.5%3.0%0.5%5.7M-98.3M-544.3K0.6389.992,8011,75724,85022,674
2018-07-20$110.48$105.0016.0%4.6%12.5%25.7%15.8%2.2%0.3%10.0M-78.8M-567.2K1.3074.303,0043,89124,67623,535
2018-07-23$108.77$105.0015.5%4.4%13.9%22.9%15.7%2.4%0.9%1.3M1.6M-632.8K4.7930.611,4897,12617,25322,419
2018-07-24$107.74$105.0015.7%4.5%14.5%24.1%16.7%2.5%0.2%759.0K12.8M-626.8K6.9216.898445,84018,06622,791
2018-07-25$108.91$105.0015.5%4.4%13.6%23.0%18.2%2.4%0.3%1.7M1.4M-649.8K4.6417.627053,27118,28022,793
2018-07-26$109.41$110.0015.2%4.4%13.6%21.4%15.7%2.1%0.5%2.1M-5.3M-637.4K5.5810.085853,26718,52722,814
2018-07-27$109.26$110.0014.9%4.3%13.3%19.9%16.0%2.2%1.0%2.0M-5.3M-635.2K7.2013.454783,44118,58722,854
2018-07-30$109.56$110.0016.1%4.6%13.2%26.1%16.5%3.0%0.9%2.3M-7.2M-640.0K6.4515.515393,47718,58722,907
2018-07-31$110.85$110.0015.9%4.6%13.7%25.3%15.8%2.6%1.1%3.4M-23.1M-642.3K4.6610.017703,58718,69623,118