CCI Options History — November 2018

In November 2018, CCI traded between $107.96 and $114.42. ATM implied volatility averaged 20.3%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.1% (HV 20d: 22.4%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 6.70.

Notable Days

  • 2018-11-30: Highest Volume — 10,504 contracts
  • 2018-11-12: Largest IV spike — 20.1% change
  • 2018-11-13: Highest IV Rank — 56.4%
  • 2018-11-20: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$110.72$107.96$114.42$109.41$114.42
Max Pain$108.81$105.00$110.00$110.00$110.00
ATM IV20.3%18.2%22.3%21.2%18.8%
Expected Move5.7%5.2%6.2%6.1%5.4%
HV 20d22.4%16.1%26.5%26.5%16.4%
HV 60d18.7%18.4%19.6%18.6%19.6%
IV Rank45.2%33.9%56.4%50.5%36.8%
IV Percentile62.8%36.9%85.3%75.4%42.9%
Term Structure-1.3%-2.5%-0.4%-0.6%-1.1%
VWIV19.9%15.2%22.6%21.5%19.2%
Skew 25d3.3%2.5%4.2%3.0%3.7%
Skew 10d6.9%5.7%11.8%7.5%7.5%
Call IV 25d18.4%16.2%20.8%20.7%17.3%
Put IV 25d21.6%19.7%24.5%23.7%20.9%
Bid-Ask Spread %26.3610.8074.3413.9774.34
Gamma HHI0.200.170.270.180.24
Net GEX2.0M-732.8K5.5M1.2M4.3M
Net DEX33.2M-24.3M82.6M50.6M-24.3M
Net VEX-872.1K-1.0M-730.3K-965.2K-841.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.700.9018.537.790.90
Total Volume7,056.0955,48710,5045,56510,504
Total OI66,302.52462,20569,18166,05964,629

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$109.41$110.0021.2%6.1%26.5%50.5%21.5%3.0%-0.6%1.2M50.6M-965.2K7.7913.976334,93229,32736,732
2018-11-02$109.29$110.0021.5%6.2%26.5%51.8%21.8%3.7%-0.6%1.0M54.7M-962.6K8.0714.056054,88229,47136,829
2018-11-05$110.90$105.0022.3%6.0%26.4%56.1%22.6%2.5%-2.2%1.7M22.2M-1.0M7.1724.846844,90429,47538,844
2018-11-06$110.88$105.0020.8%5.8%26.3%47.9%20.9%3.5%-1.4%2.0M20.9M-974.8K8.4622.736315,34129,57638,886
2018-11-07$111.44$105.0019.5%5.4%25.6%40.8%20.3%3.2%-0.7%2.5M14.0M-968.7K8.3411.276015,01329,67939,343
2018-11-08$111.25$105.0018.9%5.4%22.7%37.4%21.2%2.9%-1.7%2.6M24.5M-936.3K7.8817.946334,98629,76039,421
2018-11-09$111.18$105.0018.5%5.3%22.2%35.5%20.0%3.6%-0.4%2.6M23.4M-925.6K7.9418.516405,08129,70139,423
2018-11-12$109.86$110.0022.2%5.6%22.6%55.8%20.0%3.2%-1.3%1.4M50.5M-903.4K12.3518.886488,00229,60039,463
2018-11-13$110.99$110.0022.3%5.6%22.6%56.4%20.9%3.3%-1.1%3.4M26.1M-899.1K13.1118.806128,02229,58838,595
2018-11-14$110.35$110.0019.3%5.5%22.7%39.9%21.3%2.8%-0.9%3.9M33.1M-847.5K12.3625.716447,96129,59538,595
2018-11-15$110.35$110.0020.3%5.8%22.7%45.5%22.1%3.3%-1.8%5.5M40.0M-835.7K18.5340.164287,93029,59138,607
2018-11-16$112.00$110.0019.0%5.5%23.1%38.4%19.3%3.7%-1.2%1.2M-168.1K-864.0K1.4139.523,5284,96029,54338,626
2018-11-19$111.97$110.0020.4%5.8%22.4%45.7%20.3%3.2%-1.7%1.9M16.7M-861.2K2.9322.221,7405,10227,19735,008
2018-11-20$109.84$110.0021.6%6.2%23.8%52.7%20.7%2.6%-1.8%585.7K47.6M-850.7K2.7612.351,7794,91328,13035,155
2018-11-21$109.47$110.0020.8%6.0%23.5%48.3%19.7%2.5%-1.8%484.2K54.4M-813.4K2.9214.081,6714,88128,53735,206
2018-11-23$107.96$110.0020.9%6.0%24.0%48.7%16.9%3.0%-1.5%-732.8K82.6M-757.9K2.8718.091,7044,88728,79235,211
2018-11-26$108.24$110.0019.8%5.7%19.2%42.3%17.3%3.5%-0.6%-674.5K82.3M-730.3K2.6310.971,8624,89728,72535,213
2018-11-27$110.31$110.0019.4%5.5%19.1%40.1%15.2%3.7%-1.0%719.3K55.3M-763.7K2.4110.802,0504,93228,61635,239
2018-11-28$111.91$110.0020.1%5.8%16.1%44.2%15.8%4.2%-2.5%2.3M21.5M-784.5K2.8749.941,7545,02728,84735,240
2018-11-29$113.08$110.0018.2%5.2%16.1%33.9%20.8%3.7%-0.5%3.2M1.9M-821.9K6.9274.341,0327,14228,97835,360
2018-11-30$114.42$110.0018.8%5.4%16.4%36.8%19.2%3.7%-1.1%4.3M-24.3M-841.1K0.9074.345,5274,97729,19235,437