CCI Options History — April 2020

In April 2020, CCI traded between $135.65 and $166.40. ATM implied volatility averaged 43.0%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 31.2% (HV 20d: 74.2%). Max pain ranged from $140.00 to $155.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2020-04-15: Highest Volume — 5,007 contracts
  • 2020-04-15: Largest IV spike — 13.9% change
  • 2020-04-01: Highest IV Rank — 67.1%
  • 2020-04-01: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$157.30$135.65$166.40$135.65$158.77
Max Pain$147.14$140.00$155.00$140.00$155.00
ATM IV43.0%31.6%61.0%61.0%31.6%
Expected Move12.3%9.0%17.5%17.5%9.0%
HV 20d74.2%44.3%94.5%90.6%44.3%
HV 60d65.2%62.1%66.7%62.1%66.7%
IV Rank40.7%23.9%67.1%67.1%23.9%
IV Percentile89.7%83.3%96.8%96.8%83.3%
Term Structure-2.6%-7.5%0.3%-4.1%-0.2%
VWIV42.7%32.9%59.5%59.5%32.9%
Skew 25d11.0%5.8%15.5%10.7%6.6%
Skew 10d20.5%12.0%30.9%17.5%15.4%
Call IV 25d37.4%29.6%52.5%52.5%29.6%
Put IV 25d48.4%36.3%63.2%63.2%36.3%
Bid-Ask Spread %31.9617.1147.9847.9819.09
Gamma HHI0.130.080.200.080.12
Net GEX4.3M1.2M6.7M1.2M3.3M
Net DEX-102.5M-201.3M-7.3M-7.3M-73.3M
Net VEX-644.3K-684.4K-588.2K-588.2K-618.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.165.121.800.64
Total Volume1,635.193955,0072,0201,227
Total OI32,721.95225,14939,32233,50431,939

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$135.65$140.0061.0%17.5%90.6%67.1%59.5%10.7%-4.1%1.2M-7.3M-588.2K1.8047.987221,29820,69512,809
2020-04-02$144.65$140.0054.8%15.0%94.3%58.0%51.2%15.5%-7.5%2.3M-47.8M-650.0K0.4241.3850220920,96713,189
2020-04-03$144.54$140.0049.4%14.9%94.2%50.1%51.9%14.1%-6.4%2.3M-48.7M-652.5K0.9646.5723422520,99113,245
2020-04-06$148.03$140.0047.6%13.0%93.6%47.4%48.8%11.2%-5.8%2.9M-65.0M-635.6K0.5742.3573742221,05713,341
2020-04-07$148.21$140.0044.9%13.0%92.9%43.4%46.5%10.7%-4.0%3.0M-66.7M-635.7K0.4845.6370534021,23513,337
2020-04-08$155.64$140.0043.6%12.5%94.5%41.5%43.2%12.2%-4.8%4.3M-110.4M-646.9K0.3745.231,48054421,16913,578
2020-04-09$163.33$140.0045.5%13.0%91.6%44.3%45.5%13.5%-3.9%5.8M-162.2M-679.3K0.4041.322,09683221,43913,881
2020-04-13$157.57$145.0043.3%12.4%90.2%41.1%43.2%12.3%-3.2%5.0M-123.4M-620.0K0.5137.3095248821,12314,033
2020-04-14$163.71$145.0039.4%11.3%83.0%35.4%40.4%11.3%-2.3%6.3M-167.9M-608.3K0.4337.521,27055021,31414,172
2020-04-15$162.32$145.0044.9%12.9%81.4%43.4%38.6%14.1%-4.0%5.6M-152.0M-604.5K0.2634.993,9701,03721,43114,318
2020-04-16$162.36$145.0043.4%12.4%75.3%41.3%40.3%12.9%-1.9%6.7M-165.9M-655.3K0.2523.461,09727824,40414,582
2020-04-17$166.40$145.0038.5%11.0%75.1%34.1%38.5%10.4%-0.6%5.9M-201.3M-646.3K0.2237.301,65136524,74114,581
2020-04-20$162.86$145.0040.1%11.5%74.3%36.5%42.0%10.9%0.3%4.1M-104.7M-649.9K0.8321.7798181816,0649,085
2020-04-21$160.57$155.0042.5%12.2%61.3%39.9%38.1%10.5%-0.4%3.6M-91.3M-673.2K0.1922.372,83754816,4419,772
2020-04-22$163.24$155.0040.4%11.6%60.2%36.9%38.0%9.1%-0.0%4.2M-104.4M-682.8K0.1617.1177812316,82110,032
2020-04-23$160.96$155.0041.1%11.8%56.9%37.9%39.2%10.2%0.1%4.7M-94.8M-684.4K0.3618.3129010519,18410,061
2020-04-24$162.03$155.0039.5%11.3%53.7%35.6%43.5%9.3%-0.3%5.1M-100.1M-672.1K5.1218.672331,19219,24510,093
2020-04-27$163.95$155.0036.9%10.6%53.0%31.8%39.8%9.2%-1.9%5.4M-107.1M-661.9K1.2424.1237546619,40311,168
2020-04-28$162.38$155.0039.5%11.3%48.3%35.6%39.5%9.9%-2.7%4.9M-97.0M-653.1K1.2822.9138749619,62911,333
2020-04-29$156.14$155.0035.6%10.2%49.7%29.8%36.7%5.8%-1.8%2.9M-60.7M-612.7K1.0925.8770777219,87011,389
2020-04-30$158.77$155.0031.6%9.0%44.3%23.9%32.9%6.6%-0.2%3.3M-73.3M-618.0K0.6419.0974648120,09411,845