CCI Options History — September 2019

In September 2019, CCI traded between $136.46 and $148.82. ATM implied volatility averaged 22.7%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.7% (HV 20d: 20.0%). Max pain ranged from $130.00 to $140.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.71.

Notable Days

  • 2019-09-11: Highest Volume — 4,863 contracts
  • 2019-09-04: Largest IV drop — 16.8% change
  • 2019-09-27: Highest IV Rank — 75.1%
  • 2019-09-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$141.56$136.46$148.82$147.46$138.71
Max Pain$131.00$130.00$140.00$140.00$130.00
ATM IV22.7%18.5%25.6%22.3%25.5%
Expected Move6.6%5.3%7.3%6.4%7.3%
HV 20d20.0%13.7%26.4%15.2%26.4%
HV 60d19.4%17.8%20.9%17.8%20.9%
IV Rank58.2%37.6%75.1%59.1%74.5%
IV Percentile85.8%43.7%98.4%88.1%98.0%
Term Structure-0.8%-2.8%2.8%0.4%-2.1%
VWIV23.5%19.8%27.9%25.8%27.9%
Skew 25d4.4%3.3%5.7%5.7%4.6%
Skew 10d9.4%6.5%11.6%11.6%9.5%
Call IV 25d21.4%17.6%24.9%19.2%24.7%
Put IV 25d25.8%22.8%30.1%24.9%29.3%
Bid-Ask Spread %61.2246.2872.9370.7262.45
Gamma HHI0.300.230.340.340.32
Net GEX9.5M1.7M15.2M14.9M10.9M
Net DEX-139.4M-284.6M-25.0M-261.2M-103.6M
Net VEX-676.1K-837.6K-576.6K-807.5K-576.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.221.841.840.43
Total Volume2,332.27404,8634,7611,296
Total OI53,145.843,89157,23854,12247,070

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$147.46$140.0022.3%6.4%15.2%59.1%25.8%5.7%0.4%14.9M-261.2M-807.5K1.8470.721,6783,08333,31220,810
2019-09-04$148.82$140.0018.5%5.3%14.4%37.6%19.8%5.2%2.8%15.2M-284.6M-812.0K0.4872.931,58275233,93122,177
2019-09-05$147.03$130.0021.1%6.5%14.5%52.4%23.2%5.2%-0.9%14.0M-243.4M-837.6K0.6559.081,15875333,55422,419
2019-09-06$146.33$130.0019.7%6.4%13.7%44.6%21.6%4.3%0.3%13.8M-231.3M-816.5K0.6246.2896859833,65122,746
2019-09-09$143.40$130.0020.8%6.4%15.8%51.0%22.5%5.1%-0.7%11.4M-170.6M-787.8K0.2259.091,47533033,43122,848
2019-09-10$138.69$130.0022.4%6.7%19.9%59.7%23.4%4.8%-0.8%6.4M-79.5M-691.4K1.3252.951,8312,41933,74722,894
2019-09-11$138.42$130.0022.0%6.3%19.8%51.2%24.8%4.4%-0.4%4.8M-64.1M-664.1K0.2361.243,96489933,39923,839
2019-09-12$139.04$130.0020.9%6.0%18.9%44.1%22.1%3.7%0.6%5.2M-73.8M-683.1K1.7761.927881,39132,08924,162
2019-09-13$136.46$130.0022.4%6.4%18.4%54.2%21.3%4.0%0.1%2.9M-25.0M-624.6K1.2453.121,1631,44032,33424,823
2019-09-16$138.05$130.0021.9%6.3%18.8%50.3%22.6%4.1%-0.2%4.0M-66.6M-630.1K0.6764.662,7261,82532,62624,238
2019-09-17$142.30$130.0024.4%7.0%21.5%67.1%22.8%4.0%-2.8%11.4M-154.9M-691.9K0.2864.571,28435532,04124,381
2019-09-18$140.24$130.0023.3%6.7%22.1%60.1%23.6%3.4%-1.8%4.3M-104.0M-623.8K0.7865.551,06383431,76124,499
2019-09-19$141.16$130.0022.7%6.5%22.2%56.1%21.8%3.3%-1.4%6.8M-132.0M-626.5K0.3250.821,17537332,13324,411
2019-09-20$140.87$130.0022.6%6.5%22.1%55.1%22.1%3.4%-1.1%1.7M-134.8M-622.1K0.4667.8372833232,37424,511
2019-09-23$141.92$130.0023.2%6.7%22.2%59.3%23.4%3.6%-0.8%13.8M-146.6M-581.6K0.6059.051,58794527,82716,064
2019-09-24$142.21$130.0024.4%7.0%22.2%67.4%24.0%4.1%-1.1%13.7M-147.5M-628.0K0.5362.4576440328,42716,921
2019-09-25$140.16$130.0025.2%7.2%22.7%72.8%24.7%4.8%-2.0%11.9M-125.2M-617.5K0.5366.251,03254628,54417,104
2019-09-26$142.28$130.0025.0%7.2%23.5%71.4%25.2%4.5%-1.4%13.9M-150.1M-622.7K0.8456.1940233828,40217,440
2019-09-27$137.60$130.0025.6%7.3%26.1%75.1%26.6%5.2%-1.8%9.3M-89.4M-577.0K0.4367.281,64871628,40317,573
2019-09-30$138.71$130.0025.5%7.3%26.4%74.5%27.9%4.6%-2.1%10.9M-103.6M-576.6K0.4362.4590639029,10417,966