CCI Options History — December 2019

In December 2019, CCI traded between $131.46 and $142.09. ATM implied volatility averaged 19.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.9% (HV 20d: 21.3%). Max pain ranged from $130.00 to $135.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2019-12-11: Highest Volume — 7,074 contracts
  • 2019-12-13: Largest IV drop — 12.9% change
  • 2019-12-02: Highest IV Rank — 51.8%
  • 2019-12-02: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$136.68$131.46$142.09$131.46$141.59
Max Pain$133.81$130.00$135.00$135.00$135.00
ATM IV19.4%17.6%22.6%22.6%18.4%
Expected Move5.5%5.0%6.5%6.5%5.3%
HV 20d21.3%18.2%24.2%21.5%20.7%
HV 60d21.6%20.6%22.7%22.6%21.2%
IV Rank31.8%20.4%51.8%51.8%25.3%
IV Percentile47.6%13.9%84.5%84.5%39.7%
Term Structure0.7%-1.5%2.2%-1.5%1.1%
VWIV19.6%16.1%23.0%22.4%19.1%
Skew 25d3.7%2.9%4.8%3.9%4.3%
Skew 10d8.1%6.5%10.8%7.3%9.7%
Call IV 25d17.9%15.7%20.7%20.4%16.5%
Put IV 25d21.6%19.1%25.2%24.3%20.8%
Bid-Ask Spread %20.4913.5830.3819.7313.58
Gamma HHI0.270.180.700.190.37
Net GEX2.8M-1.5M17.9M-1.2M4.8M
Net DEX-34.9M-118.6M17.7M9.9M-60.9M
Net VEX-360.2K-399.3K-333.4K-374.9K-353.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.022.521.840.50
Total Volume1,646.0953527,0741,340688
Total OI35,093.52430,60637,33135,79732,003

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$131.46$135.0022.6%6.5%21.5%51.8%22.4%3.9%-1.5%-1.2M9.9M-374.9K1.8419.7347186916,71619,081
2019-12-03$134.17$135.0022.1%6.3%22.2%48.6%23.0%4.5%-0.9%520.5K-14.2M-399.3K0.4522.8686038316,96719,484
2019-12-04$134.82$135.0021.6%6.2%20.6%45.4%22.1%3.8%-1.0%603.2K-20.4M-389.6K0.4824.8448122916,89219,685
2019-12-05$134.77$130.0020.9%5.7%19.6%41.2%20.7%3.6%0.4%651.9K-22.6M-380.8K0.8730.3846940717,14419,723
2019-12-06$135.57$130.0019.8%5.5%18.6%34.0%21.9%3.4%0.4%1.3M-28.1M-373.8K1.3121.5323630917,17019,629
2019-12-09$136.04$130.0020.8%5.7%18.2%40.5%20.1%3.0%0.1%1.8M-34.1M-363.9K1.4618.8646567917,19919,775
2019-12-10$133.75$130.0019.9%5.6%19.3%34.6%20.4%3.4%-0.1%-889.5K-11.3M-346.9K0.2924.9986825617,39219,664
2019-12-11$134.58$130.0019.7%5.7%19.4%33.7%16.1%3.6%1.6%-55.4K-18.2M-357.5K0.0223.006,90317117,55419,777
2019-12-12$131.99$135.0021.8%6.3%20.6%46.9%20.7%4.5%0.4%-1.5M17.7M-364.3K0.7625.301,08683016,37919,890
2019-12-13$131.79$135.0019.0%5.5%20.2%29.4%18.3%3.3%1.6%-1.5M12.8M-350.5K2.5228.2835990316,97719,671
2019-12-16$134.62$135.0017.6%5.0%21.3%20.5%18.1%3.5%1.8%2.2M-22.6M-340.2K0.4224.991,13748017,02219,143
2019-12-17$133.10$135.0017.9%5.1%21.4%22.4%19.3%3.6%2.0%51.7K-7.4M-333.4K2.3617.2131273617,24019,191
2019-12-18$137.33$135.0019.0%5.4%24.0%29.0%18.2%3.9%1.7%7.5M-52.1M-344.9K0.1815.041,59028517,39719,264
2019-12-19$139.81$135.0018.6%5.3%24.0%26.9%19.3%3.9%1.3%17.9M-81.9M-356.1K0.1819.432,31440717,22719,229
2019-12-20$142.09$135.0017.8%5.1%24.2%21.5%16.5%3.5%2.2%4.1M-118.6M-339.4K0.1519.494,68268416,97019,346
2019-12-23$140.49$135.0017.6%5.0%23.1%20.4%17.2%3.2%1.5%4.3M-57.1M-353.8K0.5116.8590146314,37816,228
2019-12-24$140.02$135.0017.6%5.1%22.9%20.6%19.0%2.9%0.5%4.1M-53.3M-361.3K1.9816.6411823414,61416,512
2019-12-26$140.32$135.0017.8%5.1%22.3%22.0%18.9%3.7%1.0%4.2M-54.7M-358.1K1.2716.3228636314,62716,572
2019-12-27$140.73$135.0018.4%5.3%22.2%25.8%19.8%3.7%0.3%4.5M-57.5M-364.2K0.3714.3456320814,77816,772
2019-12-30$141.28$135.0018.8%5.4%22.2%28.2%20.1%4.8%0.3%4.5M-58.3M-357.1K0.5016.5659029314,80216,880
2019-12-31$141.59$135.0018.4%5.3%20.7%25.3%19.1%4.3%1.1%4.8M-60.9M-353.8K0.5013.5846022814,94717,056