CCI Options History — September 2018

In September 2018, CCI traded between $108.74 and $114.39. ATM implied volatility averaged 15.7%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.3% (HV 20d: 12.4%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 3.17.

Notable Days

  • 2018-09-27: Highest Volume — 10,277 contracts
  • 2018-09-11: Largest IV spike — 45.0% change
  • 2018-09-11: Highest IV Rank — 29.6%
  • 2018-09-17: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.91$108.74$114.39$113.50$111.29
Max Pain$109.21$105.00$115.00$115.00$110.00
ATM IV15.7%12.0%17.4%15.1%16.2%
Expected Move4.6%4.1%4.9%4.3%4.6%
HV 20d12.4%10.4%13.3%13.1%13.3%
HV 60d13.1%12.6%14.2%14.2%13.3%
IV Rank18.8%0.0%29.6%11.1%22.7%
IV Percentile16.4%0.0%29.4%6.3%22.6%
Term Structure0.6%0.1%1.6%1.0%0.8%
VWIV16.0%13.2%20.7%15.5%16.3%
Skew 25d2.2%0.9%3.5%2.9%2.3%
Skew 10d5.0%2.0%9.9%8.2%6.9%
Call IV 25d15.0%12.7%16.0%13.6%15.0%
Put IV 25d17.3%16.2%18.2%16.5%17.4%
Bid-Ask Spread %19.8011.2651.5926.1429.21
Gamma HHI0.300.260.350.310.33
Net GEX301.3K-2.5M1.9M1.2M1.9M
Net DEX58.2M19.9M92.6M34.8M36.2M
Net VEX-759.9K-897.6K-575.7K-882.0K-748.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.170.9910.601.520.99
Total Volume6,798.8955,08110,2777,5827,709
Total OI55,556.05345,57461,00259,96750,884

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-09-04$113.50$115.0015.1%4.3%13.1%11.1%15.5%2.9%1.0%1.2M34.8M-882.0K1.5226.143,0114,57125,67834,289
2018-09-05$113.85$115.0014.2%4.1%13.1%5.9%14.7%3.5%1.6%1.6M28.1M-897.6K10.6011.264384,64325,73634,309
2018-09-06$114.39$105.0014.7%4.4%12.5%8.7%15.8%2.2%0.7%1.9M19.9M-886.3K7.2425.636554,74525,70534,325
2018-09-07$113.03$105.0014.3%4.3%12.9%6.7%15.3%0.9%1.1%751.8K42.2M-854.1K6.2651.597334,58725,83734,541
2018-09-10$112.87$105.0012.0%4.5%12.5%0.0%16.7%2.6%0.6%862.8K45.5M-849.6K6.1714.687814,81926,02534,483
2018-09-11$112.29$105.0017.4%4.7%12.7%29.6%16.7%2.5%0.5%139.9K59.5M-800.5K4.2214.321,1164,70826,26834,587
2018-09-12$112.37$105.0016.9%4.8%12.6%26.5%20.7%2.9%0.1%27.6K60.3M-804.0K1.9414.222,4654,78326,34734,655
2018-09-13$112.61$110.0015.4%4.4%12.4%18.6%15.3%2.2%0.5%717.2K66.2M-806.4K3.0116.931,5564,67723,52134,723
2018-09-14$111.37$110.0016.2%4.7%12.8%23.0%19.6%1.9%0.6%-2.5M92.6M-782.0K2.6016.131,8154,72323,54934,739
2018-09-17$112.49$110.0017.1%4.9%13.0%28.0%15.4%2.5%0.1%335.6K71.3M-783.3K2.4717.771,8494,57023,06534,578
2018-09-18$112.22$110.0016.5%4.7%12.9%24.8%15.2%2.0%0.2%-678.8K74.6M-772.9K2.0311.522,2464,55023,04034,583
2018-09-19$111.72$110.0016.2%4.7%12.2%23.0%15.1%2.5%0.3%-1.9M84.3M-738.0K1.0414.894,3714,53523,39434,598
2018-09-20$112.42$110.0016.3%4.7%11.7%23.4%16.4%1.9%0.3%63.0K61.2M-715.4K1.2513.322,8553,56921,93333,033
2018-09-21$112.03$110.0015.6%4.5%11.8%19.6%13.2%2.1%0.8%1.2M57.9M-673.4K1.1615.353,9744,60620,95432,061
2018-09-24$110.31$110.0015.9%4.6%12.6%21.3%15.0%2.3%0.7%219.7K62.0M-660.2K1.0118.974,0414,08818,03728,356
2018-09-25$109.90$110.0015.8%4.5%12.2%20.4%15.1%2.2%0.8%329.2K60.4M-622.2K2.3914.841,6193,86417,97827,596
2018-09-26$108.74$110.0016.1%4.6%10.8%22.4%18.4%2.1%0.5%-197.0K75.0M-585.8K2.2237.251,7483,88218,50527,671
2018-09-27$108.95$110.0015.8%4.5%10.4%20.6%14.2%1.3%0.7%-266.8K74.2M-575.7K2.0512.123,3726,90518,25027,732
2018-09-28$111.29$110.0016.2%4.6%13.3%22.7%16.3%2.3%0.8%1.9M36.2M-748.6K0.9929.213,8713,83820,35830,526