CCI Options History — December 2018

In December 2018, CCI traded between $104.03 and $117.12. ATM implied volatility averaged 22.8%, placing in the 59.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.4% (HV 20d: 19.3%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2018-12-21: Highest Volume — 6,565 contracts
  • 2018-12-12: Largest IV drop — 18.2% change
  • 2018-12-27: Highest IV Rank — 94.7%
  • 2018-12-27: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.89$104.03$117.12$113.47$108.10
Max Pain$114.25$110.00$115.00$110.00$115.00
ATM IV22.8%18.2%29.3%18.8%24.0%
Expected Move6.3%5.2%8.4%5.4%6.9%
HV 20d19.3%16.7%24.2%16.8%22.6%
HV 60d20.6%19.5%22.3%19.5%22.1%
IV Rank59.0%33.8%94.7%37.1%65.4%
IV Percentile77.8%36.9%99.6%43.3%93.3%
Term Structure-0.9%-3.7%0.7%-1.7%-1.2%
VWIV22.6%18.6%29.4%21.3%24.1%
Skew 25d3.6%2.7%5.1%2.9%3.8%
Skew 10d7.9%5.6%11.5%11.5%8.7%
Call IV 25d20.7%16.8%28.0%18.0%23.0%
Put IV 25d24.3%19.8%32.0%21.0%26.8%
Bid-Ask Spread %70.6560.8382.1579.5979.02
Gamma HHI0.240.170.310.240.20
Net GEX1.7M-3.5M6.3M2.9M-1.7M
Net DEX7.7M-86.7M127.7M14.4M78.0M
Net VEX-724.1K-852.8K-625.0K-852.8K-625.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.114.243.230.30
Total Volume2,120.32476,5653,529247
Total OI62,900.7560,35866,80466,80464,879

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$113.47$110.0018.8%5.4%16.8%37.1%21.3%2.9%-1.7%2.9M14.4M-852.8K3.2379.598342,69529,26037,544
2018-12-04$115.01$110.0020.5%5.9%16.7%46.6%20.9%3.8%-1.7%3.5M-45.0M-820.3K0.1977.3962912227,00535,854
2018-12-05$115.06$110.0021.6%6.2%16.7%52.5%21.9%3.8%-2.7%3.7M-47.2M-815.9K0.1982.1562912227,00535,854
2018-12-06$117.12$115.0022.7%5.4%17.6%58.7%19.3%3.4%0.1%5.9M-86.7M-791.8K1.1662.5030735526,96033,398
2018-12-07$115.97$115.0022.3%5.6%18.1%56.1%19.8%3.3%0.3%5.0M-69.4M-779.0K0.2865.8260717126,88633,625
2018-12-10$116.33$115.0023.6%5.7%18.1%63.6%20.6%3.3%-0.4%5.5M-77.8M-765.8K0.5560.8324013227,09433,616
2018-12-11$116.44$115.0022.5%5.5%17.3%57.4%19.2%2.8%0.3%6.3M-78.6M-758.7K0.1163.522,68030327,74933,643
2018-12-12$116.04$115.0018.4%5.3%17.2%35.0%25.6%2.8%0.6%6.0M-66.0M-747.5K0.1464.535,23272427,30133,765
2018-12-13$115.23$115.0018.2%5.2%17.3%33.8%18.6%3.1%0.7%6.0M-60.5M-737.8K0.3666.551,24145026,63334,242
2018-12-14$114.10$115.0019.3%5.5%17.8%39.7%20.9%2.7%0.3%4.3M-37.2M-733.4K0.7968.041,6951,34626,56534,257
2018-12-17$111.12$115.0021.5%6.2%19.7%51.9%20.7%3.7%-0.4%849.3K18.0M-685.9K0.6467.5047330126,98334,551
2018-12-18$110.81$115.0021.8%6.2%19.7%53.3%20.7%3.5%-0.5%-2.2K30.7M-710.9K4.2463.743171,34527,72235,603
2018-12-19$110.49$115.0021.6%6.2%18.5%52.4%21.0%3.3%-0.3%-1.1M42.8M-668.8K0.9472.591,5411,44126,69535,652
2018-12-20$109.85$115.0021.6%6.2%18.6%52.7%22.4%3.8%-1.2%-1.2M43.2M-681.1K1.0468.202,3092,40827,45935,610
2018-12-21$106.54$115.0025.4%7.3%21.0%73.0%24.6%3.7%-1.4%-3.2M115.0M-649.2K0.5670.804,2102,35528,00337,545
2018-12-24$104.03$115.0028.5%8.2%22.5%90.1%29.4%4.0%-2.3%-3.5M127.7M-636.3K2.3078.931,0572,42828,74835,999
2018-12-26$107.21$115.0029.3%8.4%24.2%94.4%27.5%5.1%-3.7%-2.0M87.4M-663.6K0.3369.7633410928,76136,008
2018-12-27$107.27$115.0029.3%8.4%23.5%94.7%28.0%4.8%-2.7%-1.8M83.3M-696.4K0.6670.6928318628,76536,020
2018-12-28$107.58$115.0025.1%7.2%23.1%71.6%26.4%3.9%-0.9%-2.1M82.7M-662.3K0.7080.9132222628,69636,060
2018-12-31$108.10$115.0024.0%6.9%22.6%65.4%24.1%3.8%-1.2%-1.7M78.0M-625.0K0.3079.021905728,80736,072