CCI Options History — February 2020

In February 2020, CCI traded between $141.25 and $168.46. ATM implied volatility averaged 22.9%, placing in the 50.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.6% (HV 20d: 22.3%). Max pain ranged from $145.00 to $155.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2020-02-11: Highest Volume — 10,400 contracts
  • 2020-02-28: Largest IV spike — 41.9% change
  • 2020-02-28: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$158.38$141.25$168.46$149.49$141.25
Max Pain$149.74$145.00$155.00$145.00$155.00
ATM IV22.9%17.5%39.4%18.9%39.4%
Expected Move6.8%5.4%11.3%5.4%11.3%
HV 20d22.3%14.9%44.5%16.7%44.5%
HV 60d20.7%18.2%29.7%18.8%29.7%
IV Rank50.5%19.7%100.0%28.4%100.0%
IV Percentile76.4%15.9%100.0%52.4%100.0%
Term Structure-2.3%-9.6%3.5%2.1%-9.6%
VWIV23.3%18.9%38.1%19.0%38.1%
Skew 25d4.0%2.8%9.0%3.0%9.0%
Skew 10d7.2%5.3%15.5%6.0%15.5%
Call IV 25d22.0%17.8%34.8%17.8%34.8%
Put IV 25d26.0%20.8%43.8%20.8%43.8%
Bid-Ask Spread %33.2810.6947.7610.6942.58
Gamma HHI0.260.090.340.310.09
Net GEX6.7M639.1K11.7M5.8M639.1K
Net DEX-133.1M-242.1M14.5M-73.9M14.5M
Net VEX-465.1K-566.4K-369.3K-413.8K-467.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.152.321.522.32
Total Volume2,720.84243310,4008964,082
Total OI28,160.73722,36535,12822,36531,297

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$149.49$145.0018.9%5.4%16.7%28.4%19.0%3.0%2.1%5.8M-73.9M-413.8K1.5210.6935654012,6719,694
2020-02-04$150.67$145.0019.9%5.7%16.3%34.9%20.1%3.5%2.2%5.6M-81.4M-420.9K0.4922.7848823712,83910,100
2020-02-05$149.44$145.0018.7%5.4%15.0%27.4%18.9%2.8%3.5%5.7M-72.8M-422.4K0.2125.2559212413,00210,173
2020-02-06$150.59$150.0018.6%6.3%15.0%26.5%21.2%3.9%-2.1%6.2M-83.1M-414.9K0.3331.5958419213,12710,229
2020-02-07$150.59$150.0017.5%6.3%15.1%19.7%22.1%3.8%-2.2%6.5M-82.4M-414.8K1.0230.7121421913,24510,386
2020-02-10$152.57$150.0018.1%6.2%14.9%23.5%22.0%3.7%-3.1%6.7M-100.8M-394.7K0.1827.821,77531213,28710,426
2020-02-11$160.85$150.0021.2%6.6%23.1%43.1%22.2%3.6%-2.5%4.7M-158.9M-369.3K0.2547.768,3512,04913,80910,635
2020-02-12$163.14$150.0021.6%6.2%22.3%45.2%21.1%4.2%-2.5%5.4M-177.9M-455.7K0.3236.904,8691,56416,10411,805
2020-02-13$163.57$150.0021.9%6.3%22.0%47.1%22.4%3.7%-2.5%7.5M-187.9M-489.6K0.1739.681,75929319,04312,546
2020-02-14$165.69$150.0021.9%6.3%22.1%47.0%23.3%3.1%-2.2%9.3M-214.5M-487.6K1.0140.9397898719,98612,582
2020-02-18$166.03$150.0022.9%6.6%22.2%53.7%22.1%3.5%-2.4%9.1M-218.3M-469.2K0.2737.681,32636420,14613,093
2020-02-19$165.60$150.0022.7%6.5%21.8%52.1%21.8%3.5%-2.7%11.1M-219.9M-487.3K0.1639.552,29237420,99613,084
2020-02-20$166.90$150.0023.4%6.7%21.8%56.4%23.2%3.8%-2.6%11.7M-224.2M-504.6K0.4030.521,23649321,02213,013
2020-02-21$168.46$150.0023.3%6.7%21.8%56.2%23.1%3.6%-2.7%9.7M-242.1M-513.1K0.1531.861,85128621,94913,179
2020-02-24$166.64$150.0026.1%7.5%22.5%73.4%25.6%4.5%-3.2%6.8M-138.3M-522.9K0.7237.511,05776216,1639,340
2020-02-25$163.60$150.0025.4%7.3%24.0%68.8%24.3%3.9%-2.8%6.1M-116.0M-522.0K0.1744.653,36757216,7139,873
2020-02-26$163.54$150.0025.8%7.4%24.0%71.8%25.1%4.6%-3.9%7.2M-121.4M-566.4K0.2434.403,22978918,89910,205
2020-02-27$150.69$155.0027.8%8.0%38.3%83.8%27.7%4.4%-4.1%1.8M-29.3M-500.6K0.6619.441,8861,24719,70510,688
2020-02-28$141.25$155.0039.4%11.3%44.5%100.0%38.1%9.0%-9.6%639.1K14.5M-467.4K2.3242.581,2282,85420,32510,972