CCI Options History — May 2020

In May 2020, CCI traded between $149.58 and $171.09. ATM implied volatility averaged 32.4%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.7% (HV 20d: 33.1%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2020-05-20: Highest Volume — 3,982 contracts
  • 2020-05-12: Largest IV spike — 24.9% change
  • 2020-05-14: Highest IV Rank — 33.3%
  • 2020-05-14: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.89$149.58$171.09$157.63$171.09
Max Pain$155.25$155.00$160.00$155.00$155.00
ATM IV32.4%27.1%37.9%35.6%28.4%
Expected Move9.3%7.8%10.9%10.2%8.1%
HV 20d33.1%27.0%39.8%39.3%33.9%
HV 60d65.6%61.4%67.1%66.7%61.5%
IV Rank25.2%17.5%33.3%29.8%19.3%
IV Percentile80.5%73.0%84.9%83.7%74.2%
Term Structure-0.8%-2.1%0.2%0.2%-0.1%
VWIV32.4%26.7%38.3%38.1%28.2%
Skew 25d8.5%5.8%9.9%5.8%6.9%
Skew 10d15.5%12.4%18.6%13.7%12.6%
Call IV 25d28.4%25.2%34.4%34.4%25.3%
Put IV 25d36.9%32.2%41.9%40.3%32.2%
Bid-Ask Spread %42.1721.9860.2333.0925.37
Gamma HHI0.190.120.680.120.19
Net GEX2.7M-13.2M9.3M3.2M9.3M
Net DEX-85.0M-238.5M-17.0M-68.8M-238.5M
Net VEX-679.8K-837.1K-601.4K-635.3K-813.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.053.170.940.26
Total Volume1,745.655963,9829282,924
Total OI34,779.128,33337,84032,21037,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$157.63$155.0035.6%10.2%39.3%29.8%38.1%5.8%0.2%3.2M-68.8M-635.3K0.9433.0947845020,24611,964
2020-05-04$157.21$160.0037.5%10.5%39.3%32.6%34.0%9.2%-1.6%2.6M-64.5M-607.5K0.1331.031,61121720,44212,273
2020-05-05$159.07$155.0031.9%9.4%38.7%24.5%34.0%9.9%-1.0%3.5M-81.5M-641.7K0.6633.0574649121,52612,332
2020-05-06$155.63$155.0033.8%9.7%39.8%27.2%34.1%9.1%-1.5%2.0M-61.2M-626.5K0.6137.4437122521,55412,479
2020-05-07$155.39$155.0029.1%8.9%35.8%20.3%32.5%9.4%-0.1%1.4M-57.2M-624.4K1.9930.1335270121,82213,161
2020-05-08$157.30$155.0027.5%8.4%31.3%18.0%31.3%8.0%0.2%1.9M-66.8M-617.1K0.4152.0580433321,90213,717
2020-05-11$159.69$155.0029.6%8.2%29.1%21.1%29.8%7.1%-0.2%3.1M-83.6M-610.2K0.7349.2667749621,97713,816
2020-05-12$153.71$155.0037.0%9.3%28.7%31.9%31.6%8.9%-1.7%223.4K-45.8M-601.4K0.5044.791,20360322,32113,975
2020-05-13$153.15$155.0035.7%10.2%28.6%30.0%35.0%9.4%-1.3%37.0K-45.6M-625.5K0.3048.3394228322,56514,046
2020-05-14$152.08$155.0037.9%10.9%28.6%33.3%38.3%9.9%-2.1%-884.0K-38.9M-617.8K0.7060.2395266322,58814,152
2020-05-15$149.58$155.0035.9%10.3%27.0%30.2%36.1%9.5%-1.4%-13.2M-17.0M-608.0K3.1750.805191,64723,29914,472
2020-05-18$156.37$155.0031.7%9.1%31.5%24.2%32.5%9.2%-1.1%2.9M-72.4M-662.7K0.4152.321,48460416,87311,460
2020-05-19$153.01$155.0031.6%9.1%32.0%24.1%34.2%9.1%-0.3%2.3M-56.1M-647.0K0.9253.4089682617,22411,828
2020-05-20$151.81$155.0033.7%9.7%31.3%27.1%26.7%9.7%-1.6%2.2M-49.2M-650.2K0.0555.873,80617617,89512,450
2020-05-21$150.66$155.0032.2%9.2%31.1%24.9%29.7%8.1%-0.2%3.2M-51.9M-682.5K0.2547.593,01775921,14912,568
2020-05-22$155.95$155.0031.7%9.1%33.7%24.2%30.7%7.2%-0.8%5.7M-106.0M-837.1K0.1941.611,30625223,82613,243
2020-05-26$158.81$155.0030.0%8.6%34.1%21.6%31.3%7.7%-0.0%6.9M-129.4M-832.5K0.4242.6487436324,07513,359
2020-05-27$161.97$155.0030.0%8.6%34.8%21.7%31.0%7.5%-1.5%7.9M-156.8M-823.0K0.7332.5076355624,05113,512
2020-05-28$167.65$155.0027.1%7.8%33.6%17.5%29.9%7.8%-0.3%9.0M-207.8M-831.8K0.5821.9897556824,24013,360
2020-05-29$171.09$155.0028.4%8.1%33.9%19.3%28.2%6.9%-0.1%9.3M-238.5M-813.1K0.2625.372,31560924,35513,485