CCI Options History — November 2019

In November 2019, CCI traded between $130.64 and $136.99. ATM implied volatility averaged 19.8%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.7% (HV 20d: 21.5%). Max pain ranged from $135.00 to $140.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2019-11-18: Highest Volume — 3,337 contracts
  • 2019-11-07: Largest IV spike — 21.2% change
  • 2019-11-05: Highest IV Rank — 53.1%
  • 2019-11-05: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$133.50$130.64$136.99$136.99$133.93
Max Pain$137.75$135.00$140.00$140.00$135.00
ATM IV19.8%17.7%22.8%19.4%18.5%
Expected Move5.6%5.1%6.1%5.5%5.3%
HV 20d21.5%17.3%24.9%21.3%20.9%
HV 60d21.7%20.7%22.5%20.7%22.3%
IV Rank34.0%21.1%53.1%31.4%26.1%
IV Percentile53.6%16.7%86.9%52.0%39.7%
Term Structure-0.2%-1.2%0.9%-0.1%-0.1%
VWIV19.4%17.8%21.9%18.0%20.5%
Skew 25d3.6%2.4%4.4%4.4%2.4%
Skew 10d7.1%4.6%8.8%7.8%4.6%
Call IV 25d17.8%15.9%19.4%16.9%17.8%
Put IV 25d21.4%19.7%23.0%21.3%20.2%
Bid-Ask Spread %21.5412.7129.3919.1420.76
Gamma HHI0.180.130.280.150.22
Net GEX-1.1M-3.3M2.0M207.0K220.3K
Net DEX3.4M-29.9M32.2M-15.3M-14.2M
Net VEX-382.7K-414.5K-364.7K-371.2K-379.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.132.602.602.01
Total Volume1,399.054193,3372,175419
Total OI34,419.529,79937,64331,62435,586

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$136.99$140.0019.4%5.5%21.3%31.4%18.0%4.4%-0.1%207.0K-15.3M-371.2K2.6019.146041,57114,15117,473
2019-11-04$134.79$140.0020.0%5.6%22.0%35.5%20.0%3.9%-0.4%-2.2M8.1M-371.5K0.4624.611,34061614,18318,605
2019-11-05$131.69$140.0022.8%6.1%23.4%53.1%21.8%3.7%-1.2%-2.6M27.3M-370.8K0.6925.191,8611,27914,77218,693
2019-11-06$134.07$140.0018.3%5.5%24.5%25.0%21.0%3.8%-0.4%-1.7M6.7M-386.6K0.6816.1448833415,72219,457
2019-11-07$131.80$140.0022.2%6.0%24.9%49.2%21.9%3.6%-0.8%-2.2M22.9M-390.4K0.9124.3366060016,02219,406
2019-11-08$130.64$140.0020.8%5.9%24.9%40.3%20.5%4.0%-0.6%-2.8M32.2M-382.4K0.2729.3951313916,17619,768
2019-11-11$131.27$140.0022.5%5.8%24.9%51.2%20.7%3.7%-0.3%-2.7M28.2M-370.1K1.5524.4754284016,26719,844
2019-11-12$130.88$140.0021.8%5.7%24.8%46.4%18.7%4.4%-0.3%-3.3M32.1M-375.3K0.4623.6144420316,41120,399
2019-11-13$131.67$140.0020.1%5.8%24.9%36.4%18.9%4.4%-0.1%-3.0M23.0M-374.8K0.4716.4189942316,47720,259
2019-11-14$133.19$140.0019.7%5.6%21.2%33.3%20.2%3.9%0.5%-2.3M8.8M-393.1K0.1625.761,48923916,62120,218
2019-11-15$134.64$140.0017.7%5.1%17.4%21.1%18.3%3.7%0.9%2.0M-5.8M-376.7K0.9026.8342137917,33420,309
2019-11-18$135.72$135.0019.6%5.6%17.9%33.1%18.6%3.0%-0.6%-818.4K-16.1M-382.7K0.3017.372,57676111,98717,812
2019-11-19$134.42$135.0019.4%5.6%17.3%31.8%19.4%3.4%-0.7%-304.8K-11.3M-400.9K0.3023.3469120713,88818,252
2019-11-20$136.85$135.0019.6%5.6%18.7%33.1%19.4%3.6%-0.5%936.0K-29.9M-414.5K0.4825.0064331014,13218,276
2019-11-21$135.52$135.0019.3%5.5%18.6%30.8%18.5%3.0%-0.5%274.1K-20.5M-400.2K0.4522.8470031714,18518,387
2019-11-22$132.64$135.0018.3%5.2%19.8%24.6%17.9%3.5%0.6%-1.2M3.0M-381.0K0.4717.971,03448914,46318,597
2019-11-25$131.64$135.0019.1%5.5%19.8%29.6%17.8%3.3%0.0%-1.5M9.9M-364.7K0.3112.711,51046615,15218,544
2019-11-26$133.99$135.0018.2%5.2%21.1%24.3%18.4%3.1%0.3%556.4K-12.2M-388.3K0.3617.2379528916,45018,741
2019-11-27$133.59$135.0018.3%5.2%20.9%24.7%18.0%2.8%0.1%-41.2K-9.2M-378.8K0.1317.7578610416,49018,881
2019-11-29$133.93$135.0018.5%5.3%20.9%26.1%20.5%2.4%-0.1%220.3K-14.2M-379.8K2.0120.7613928016,70018,886