CCI Options History — March 2020

In March 2020, CCI traded between $116.39 and $162.90. ATM implied volatility averaged 55.7%, placing in the 78.4% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 18.1% (HV 20d: 73.9%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 1.01.

Notable Days

  • 2020-03-26: Highest Volume — 5,263 contracts
  • 2020-03-12: Largest IV spike — 48.5% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$144.31$116.39$162.90$154.62$143.53
Max Pain$147.50$140.00$155.00$155.00$140.00
ATM IV55.7%28.5%83.5%33.1%49.1%
Expected Move15.6%8.2%23.9%9.5%14.1%
HV 20d73.9%55.4%95.7%55.4%89.6%
HV 60d46.4%34.7%61.0%34.7%61.0%
IV Rank78.4%49.7%100.0%75.0%49.7%
IV Percentile98.3%94.4%100.0%99.6%94.4%
Term Structure-9.9%-23.5%0.2%-4.2%0.2%
VWIV53.1%32.8%80.5%34.0%47.1%
Skew 25d15.3%8.9%24.5%10.3%11.1%
Skew 10d31.5%12.9%63.9%19.4%18.5%
Call IV 25d46.3%25.9%70.4%27.8%43.9%
Put IV 25d61.6%38.1%94.3%38.1%55.0%
Bid-Ask Spread %52.3236.7868.2156.7149.19
Gamma HHI0.110.070.220.130.09
Net GEX2.1M-1.2M7.2M2.4M2.1M
Net DEX-24.7M-120.1M70.8M-50.4M-38.5M
Net VEX-601.0K-736.7K-344.9K-570.3K-604.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.242.540.240.27
Total Volume2,496.4551,4725,2632,1371,592
Total OI36,123.54528,48643,04733,69433,171

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$154.62$155.0033.1%9.5%55.4%75.0%34.0%10.3%-4.2%2.4M-50.4M-570.3K0.2456.711,72940820,95312,741
2020-03-03$158.70$155.0035.8%10.3%56.1%85.7%33.2%11.4%-4.5%5.0M-85.7M-623.6K0.2852.433,08587621,50112,748
2020-03-04$162.90$155.0028.5%8.2%56.6%56.8%32.9%12.3%-0.5%7.2M-120.1M-633.4K0.4154.671,92179622,37712,956
2020-03-05$161.39$150.0039.1%9.8%56.7%98.8%32.8%10.3%-4.4%6.6M-110.9M-699.1K0.4844.431,11553923,35713,471
2020-03-06$158.78$150.0047.3%11.5%57.1%100.0%45.0%14.7%-6.4%5.0M-86.8M-718.2K2.5446.674411,11823,74413,743
2020-03-09$152.25$150.0056.5%12.8%59.3%100.0%44.6%15.5%-5.9%2.4M-39.3M-682.8K1.5849.147161,13023,79314,177
2020-03-10$156.88$150.0045.9%11.0%60.0%74.9%36.7%13.6%-3.8%2.9M-65.7M-657.7K0.3451.001,32645123,89614,829
2020-03-11$154.12$150.0044.7%12.8%57.2%72.1%45.0%15.3%-5.1%2.9M-56.7M-679.9K0.5840.5999157624,14514,776
2020-03-12$143.10$150.0066.4%19.0%62.2%100.0%67.7%18.6%-22.5%1.3M-3.7M-672.9K1.8944.597211,36424,36714,836
2020-03-13$152.48$150.0061.7%17.7%67.0%90.9%57.6%21.3%-16.2%3.2M-53.2M-736.7K1.3036.7864183124,34015,243
2020-03-16$138.34$150.0079.6%22.8%74.4%100.0%78.3%21.2%-20.4%496.3K15.4M-649.3K1.2752.768961,14024,16515,285
2020-03-17$146.08$150.0071.4%20.5%77.7%87.4%59.9%19.3%-18.6%1.1M-16.3M-687.1K0.2646.022,44364424,74015,453
2020-03-18$135.15$150.0083.5%23.9%81.7%100.0%80.5%24.5%-23.0%97.9K29.6M-620.2K1.7952.481,2562,24526,35215,570
2020-03-19$133.62$145.0069.6%20.0%81.4%79.9%67.8%18.6%-14.9%-620.9K42.9M-566.4K1.9752.991,0452,05826,52915,610
2020-03-20$129.21$145.0071.4%20.5%81.4%82.5%68.9%18.2%-23.5%-1.2M70.8M-496.1K1.2154.411,4221,72326,78016,267
2020-03-23$116.39$145.0068.5%19.7%87.6%78.4%65.9%20.7%-7.9%-489.3K55.3M-344.9K2.2156.071,0312,27617,31211,174
2020-03-24$122.14$145.0058.3%16.7%90.7%63.6%56.0%14.5%-8.3%-361.5K44.7M-376.5K0.9255.401,5301,41417,75811,331
2020-03-25$131.28$140.0055.1%15.8%95.7%58.9%55.8%14.8%-9.1%345.4K16.1M-460.1K0.3768.211,39252018,48511,738
2020-03-26$139.46$140.0053.5%15.3%95.1%56.6%53.6%11.8%-9.3%1.4M-17.0M-536.2K0.3465.003,9231,34018,80811,864
2020-03-27$137.30$140.0057.1%16.4%92.5%61.8%56.3%8.9%-7.1%1.5M-15.3M-566.2K1.7558.6254796020,02811,889
2020-03-30$147.15$140.0050.1%14.4%89.9%51.7%48.2%9.5%-1.3%2.8M-59.1M-640.0K0.3062.782,11463620,03212,384
2020-03-31$143.53$140.0049.1%14.1%89.6%49.7%47.1%11.1%0.2%2.1M-38.5M-604.5K0.2749.191,25433820,47012,701