CCI Options History — August 2018

In August 2018, CCI traded between $110.06 and $114.21. ATM implied volatility averaged 15.1%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.7% (HV 20d: 13.4%). Max pain ranged from $110.00 to $120.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 4.69.

Notable Days

  • 2018-08-16: Highest Volume — 11,118 contracts
  • 2018-08-13: Largest IV spike — 18.4% change
  • 2018-08-13: Highest IV Rank — 34.9%
  • 2018-08-06: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.14$110.06$114.21$111.52$114.01
Max Pain$113.04$110.00$120.00$110.00$115.00
ATM IV15.1%13.2%17.8%16.7%14.4%
Expected Move4.3%3.8%4.9%4.8%4.1%
HV 20d13.4%12.1%14.4%13.4%13.9%
HV 60d13.7%13.3%14.4%13.3%14.2%
IV Rank20.7%10.9%34.9%29.1%17.1%
IV Percentile6.8%0.4%29.8%18.3%3.2%
Term Structure0.2%-1.5%1.6%0.2%0.8%
VWIV14.4%10.4%19.2%16.9%19.2%
Skew 25d3.0%1.9%4.2%3.9%4.2%
Skew 10d7.0%2.9%10.5%8.8%10.5%
Call IV 25d13.6%11.6%14.7%14.4%11.6%
Put IV 25d16.5%15.1%18.3%18.3%15.7%
Bid-Ask Spread %29.207.2287.4039.7454.96
Gamma HHI0.300.220.410.340.30
Net GEX2.5M-21.4K5.0M4.0M1.3M
Net DEX7.1M-42.5M58.2M-28.6M24.1M
Net VEX-756.6K-956.8K-628.9K-645.8K-922.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.691.2711.865.571.33
Total Volume7,763.2613,90111,1184,1048,033
Total OI51,602.8742,15860,98542,15859,628

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$111.52$110.0016.7%4.8%13.4%29.1%16.9%3.9%0.2%4.0M-28.6M-645.8K5.5739.746253,47918,83523,323
2018-08-02$111.19$110.0015.8%4.5%12.5%24.4%15.9%2.8%1.0%3.7M-25.4M-636.9K5.1611.696973,59718,89523,509
2018-08-03$112.46$110.0015.6%4.5%13.0%23.6%15.4%2.0%1.0%5.0M-42.5M-657.7K5.257.226243,27718,93123,630
2018-08-06$110.99$110.0016.0%4.9%12.8%25.8%14.4%3.4%-1.5%3.4M-24.6M-628.9K1.8419.383,2465,95918,97823,690
2018-08-07$111.17$120.0015.9%4.5%12.6%24.9%14.3%3.2%-0.6%3.6M-1.2M-679.3K1.8216.873,2795,96021,68626,249
2018-08-08$110.06$115.0015.0%4.5%12.9%20.4%14.7%3.1%-0.3%2.4M12.8M-650.7K1.8014.503,2835,91821,80926,382
2018-08-09$111.34$115.0014.5%4.5%13.6%18.0%13.6%2.8%-0.5%3.6M-3.5M-668.7K5.2416.661,1155,84521,94526,383
2018-08-10$110.49$115.0015.0%4.7%13.8%20.5%12.2%3.2%-1.0%2.6M6.0M-667.4K5.2265.301,1245,86221,99626,454
2018-08-13$110.89$115.0017.8%4.6%13.6%34.9%15.3%3.1%-0.6%2.8M2.2M-645.4K6.6016.911,1227,40222,06326,509
2018-08-14$111.33$115.0016.5%4.5%13.7%28.3%14.6%2.7%-0.8%2.2M7.0M-689.7K6.6739.731,0897,26122,18628,191
2018-08-15$112.08$115.0016.7%4.8%13.8%29.1%13.9%3.3%-1.0%2.5M-4.4M-700.5K5.5623.861,4868,26622,30328,209
2018-08-16$112.79$115.0014.6%4.2%13.7%18.3%13.8%3.0%0.5%4.5M-3.7M-723.5K2.3128.743,3627,75623,31529,640
2018-08-17$113.72$110.0014.1%4.0%13.6%15.8%12.3%3.2%0.8%1.1M-14.9M-805.7K1.6513.684,0636,70524,52030,572
2018-08-20$114.21$110.0014.3%4.1%12.1%16.9%13.8%1.9%0.5%2.2M-11.6M-817.8K2.2483.832,6015,82522,06628,460
2018-08-21$112.80$110.0014.0%4.0%12.5%14.9%14.2%2.2%0.7%3.1M17.2M-921.8K2.2787.402,2975,21825,94430,682
2018-08-22$111.51$110.0015.6%4.5%13.0%23.7%13.0%3.1%-0.7%1.6M46.2M-818.9K2.4160.452,1555,20024,65630,807
2018-08-23$111.57$110.0015.2%4.4%12.9%21.4%14.8%3.3%-0.1%1.7M46.4M-800.0K10.9711.145626,16424,44130,861
2018-08-24$112.53$110.0013.2%3.8%13.2%10.9%14.2%2.8%1.2%1.8M33.3M-860.9K11.7513.086127,19324,47731,608
2018-08-27$111.45$115.0014.8%4.2%13.7%19.2%10.4%2.4%0.3%-21.4K58.2M-813.0K7.5712.478316,28924,52432,634
2018-08-28$113.35$115.0013.4%3.8%14.4%12.1%14.4%2.8%1.6%1.4M29.0M-848.4K11.8613.445296,27324,72432,770
2018-08-29$114.12$115.0013.9%4.0%14.4%14.5%14.9%3.2%1.1%2.0M12.0M-841.6K1.2711.073,7414,73824,62932,767
2018-08-30$113.70$115.0013.7%3.9%14.4%13.4%14.7%2.4%1.4%1.7M30.3M-956.8K1.459.533,2154,67726,74934,236
2018-08-31$114.01$115.0014.4%4.1%13.9%17.1%19.2%4.2%0.8%1.3M24.1M-922.5K1.3354.963,4454,58825,36234,266