CCI Options History — January 2020

In January 2020, CCI traded between $138.85 and $151.49. ATM implied volatility averaged 17.9%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.2% (HV 20d: 17.7%). Max pain ranged from $135.00 to $145.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-01-17: Highest Volume — 3,581 contracts
  • 2020-01-15: Largest IV drop — 23.0% change
  • 2020-01-14: Highest IV Rank — 49.9%
  • 2020-01-31: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.36$138.85$151.49$141.51$149.34
Max Pain$141.43$135.00$145.00$135.00$145.00
ATM IV17.9%15.2%22.3%18.4%19.9%
Expected Move5.0%4.4%5.7%5.3%5.7%
HV 20d17.7%14.1%21.4%19.8%16.8%
HV 60d20.3%19.3%21.6%21.2%19.5%
IV Rank22.6%5.6%49.9%25.4%34.8%
IV Percentile30.9%0.8%87.7%40.5%69.8%
Term Structure1.9%0.4%3.2%0.4%1.7%
VWIV17.7%14.6%20.6%18.4%20.6%
Skew 25d3.3%2.6%4.5%3.9%3.5%
Skew 10d7.1%4.7%10.5%7.4%7.6%
Call IV 25d16.2%14.3%18.9%16.4%18.9%
Put IV 25d19.5%17.0%22.4%20.3%22.4%
Bid-Ask Spread %18.579.1330.3515.7318.37
Gamma HHI0.430.270.930.360.27
Net GEX9.6M2.5M71.9M5.1M5.1M
Net DEX-73.0M-113.8M-37.5M-62.4M-71.6M
Net VEX-366.4K-433.6K-336.7K-355.5K-433.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.081.990.720.56
Total Volume1,395.0484123,581664774
Total OI28,294.28617,14636,66132,26622,246

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$141.51$135.0018.4%5.3%19.8%25.4%18.4%3.9%0.4%5.1M-62.4M-355.5K0.7215.7338527915,13617,130
2020-01-03$142.53$135.0016.5%4.7%19.8%13.8%19.6%4.5%2.0%5.6M-67.6M-360.4K1.9915.4540881115,22817,184
2020-01-06$141.34$140.0019.0%5.4%20.2%29.0%18.9%3.8%1.2%4.8M-60.9M-346.4K1.2629.1744155615,31717,475
2020-01-07$138.85$140.0019.5%5.4%21.4%32.4%19.1%3.9%0.8%2.5M-37.5M-346.5K1.7330.358291,43315,45117,604
2020-01-08$139.69$140.0018.8%5.2%21.4%27.8%18.0%3.5%1.2%3.1M-44.7M-346.2K0.2227.863387415,81718,067
2020-01-09$140.24$140.0017.7%5.0%20.3%21.0%17.3%2.9%1.9%3.8M-50.8M-338.8K1.0526.7735537115,93118,082
2020-01-10$142.33$140.0019.4%5.0%20.7%31.5%16.4%3.3%1.3%6.2M-69.6M-337.6K0.3721.4789132816,10518,270
2020-01-13$143.20$140.0021.3%5.2%19.0%43.9%18.0%3.6%0.4%8.0M-81.2M-336.7K0.0812.642,95323116,48918,343
2020-01-14$141.61$140.0022.3%5.2%19.7%49.9%17.7%3.2%1.3%6.3M-64.7M-340.0K1.059.5356559417,75018,464
2020-01-15$144.09$140.0017.2%4.9%19.3%17.9%17.7%3.3%1.1%14.6M-93.6M-347.0K0.5718.631,05859917,92718,391
2020-01-16$144.76$140.0015.8%4.5%18.5%9.2%18.7%3.2%1.4%23.5M-101.9M-344.1K0.5317.2265234418,01518,491
2020-01-17$145.15$140.0015.2%4.4%15.5%5.6%14.6%2.7%2.3%71.9M-113.8M-341.3K0.1518.433,12146017,96418,697
2020-01-21$148.07$140.0015.8%4.5%15.7%9.1%17.1%3.0%3.1%4.7M-65.3M-360.7K0.6111.401,1847289,6627,484
2020-01-22$148.48$145.0015.8%4.5%14.9%9.1%16.6%2.8%3.2%4.9M-67.8M-378.4K0.3615.2299235310,3848,055
2020-01-23$149.79$145.0016.7%4.8%14.2%15.0%16.7%2.6%2.7%5.1M-76.5M-382.2K0.379.541,36450410,7188,253
2020-01-24$149.56$145.0017.2%4.9%14.1%17.8%17.9%2.6%2.6%5.2M-76.7M-394.9K0.7110.1552136911,3638,630
2020-01-27$150.40$145.0018.0%5.2%14.1%22.8%17.7%3.1%2.8%5.4M-81.3M-394.6K0.4423.1148621611,5028,838
2020-01-28$151.49$145.0017.3%4.9%14.2%18.4%17.9%2.9%2.7%5.8M-90.1M-389.2K1.4526.1251174111,7278,932
2020-01-29$149.11$145.0016.8%4.8%15.8%15.4%16.7%2.6%2.6%5.3M-71.1M-408.6K0.2423.6166016111,8999,408
2020-01-30$150.92$145.0018.3%5.2%16.1%24.8%17.0%3.3%2.3%5.6M-84.8M-412.5K0.229.131,36229412,2459,506
2020-01-31$149.34$145.0019.9%5.7%16.8%34.8%20.6%3.5%1.7%5.1M-71.6M-433.6K0.5618.3749727712,5849,662