CCI Options History — June 2020

In June 2020, CCI traded between $161.44 and $174.37. ATM implied volatility averaged 33.8%, placing in the 27.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 5.9% (HV 20d: 39.7%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2020-06-11: Highest Volume — 5,224 contracts
  • 2020-06-11: Largest IV spike — 28.9% change
  • 2020-06-11: Highest IV Rank — 37.3%
  • 2020-06-11: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$167.88$161.44$174.37$173.38$167.08
Max Pain$156.14$150.00$160.00$155.00$160.00
ATM IV33.8%30.0%40.7%32.2%30.0%
Expected Move9.5%8.0%11.7%9.2%8.6%
HV 20d39.7%33.6%44.8%33.8%41.4%
HV 60d50.7%37.4%61.5%61.5%37.9%
IV Rank27.2%21.7%37.3%24.8%21.7%
IV Percentile78.8%68.3%88.1%79.8%68.3%
Term Structure0.6%-2.2%4.3%-0.7%4.3%
VWIV34.3%30.0%41.9%35.1%31.6%
Skew 25d6.2%5.1%8.1%6.5%6.1%
Skew 10d12.8%7.0%16.8%11.4%13.5%
Call IV 25d31.0%27.2%37.6%30.3%27.2%
Put IV 25d37.2%32.4%44.6%36.7%33.3%
Bid-Ask Spread %53.9820.4065.4620.4065.46
Gamma HHI0.150.120.180.160.15
Net GEX7.6M4.8M9.5M8.9M8.5M
Net DEX-187.7M-268.7M-120.5M-259.7M-177.3M
Net VEX-893.8K-949.7K-836.4K-836.6K-903.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.173.280.181.18
Total Volume2,251.9094515,2243,5891,572
Total OI42,861.45539,19448,40839,22845,608

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$173.38$155.0032.2%9.2%33.8%24.8%35.1%6.5%-0.7%8.9M-259.7M-836.6K0.1820.403,04054925,49913,729
2020-06-02$174.05$155.0031.4%9.0%33.6%23.7%35.0%6.3%-0.7%9.5M-268.7M-842.8K1.0727.6753156926,03413,946
2020-06-03$174.33$155.0030.3%8.7%33.6%22.0%31.5%6.1%0.2%8.9M-257.2M-836.4K0.6131.1282150225,19114,003
2020-06-04$166.89$150.0033.5%9.0%36.6%26.7%30.8%5.2%1.3%8.0M-190.7M-859.4K1.1060.751,5951,75925,14614,329
2020-06-05$168.26$150.0030.2%8.0%36.6%22.0%30.0%5.1%1.8%8.7M-205.9M-850.2K0.5862.521,05761125,46314,549
2020-06-08$172.53$150.0033.3%8.7%37.2%26.5%32.4%5.9%-0.2%9.3M-249.1M-836.8K0.8560.171,8561,57325,75914,743
2020-06-09$174.07$160.0036.9%9.2%37.1%31.7%32.5%5.8%-1.1%8.4M-253.8M-866.3K0.2262.481,57934726,34715,918
2020-06-10$174.37$160.0031.6%9.1%33.6%24.0%34.0%5.1%-2.0%8.9M-259.7M-865.5K0.1761.963,41056926,67516,172
2020-06-11$161.44$160.0040.7%11.7%44.7%37.3%41.9%7.0%-2.2%4.8M-123.3M-917.8K3.2857.381,2204,00425,30216,208
2020-06-12$163.87$155.0037.6%10.8%44.8%32.7%39.1%6.9%0.5%5.5M-144.5M-941.6K1.2660.5563379725,58717,786
2020-06-15$166.54$155.0037.9%10.9%44.3%33.2%37.6%6.1%-1.8%6.9M-168.9M-928.7K2.3453.3139692525,81418,250
2020-06-16$169.50$155.0035.3%10.1%42.1%29.4%35.8%5.3%0.2%8.1M-197.8M-912.9K0.6753.0492461725,90218,232
2020-06-17$170.08$155.0035.1%10.1%41.0%29.1%34.6%5.9%1.1%8.5M-202.6M-898.4K0.6150.861,10667725,87918,321
2020-06-18$164.93$155.0034.2%9.8%42.8%27.9%34.9%6.3%0.9%7.6M-149.2M-869.4K1.1456.832,3342,65825,93418,228
2020-06-19$169.17$155.0032.1%9.2%43.2%24.7%32.7%5.9%1.7%8.7M-193.5M-939.0K1.0557.8889194027,84920,559
2020-06-22$166.36$155.0032.9%9.4%42.5%26.0%34.9%6.0%1.4%7.1M-162.4M-920.9K1.0654.821,1721,23825,35316,198
2020-06-23$166.37$155.0032.1%9.2%42.1%24.8%32.1%6.1%1.7%7.2M-161.9M-919.9K0.7761.271,7001,31526,12916,995
2020-06-24$162.59$160.0033.8%9.7%42.5%27.2%34.7%8.1%2.1%5.9M-123.5M-927.4K0.6056.711,35681126,43217,346
2020-06-25$163.65$160.0032.9%9.4%40.6%25.9%34.9%7.1%1.9%6.5M-136.5M-949.7K0.8145.6324920227,18217,767
2020-06-26$162.05$160.0037.4%10.7%39.9%32.5%35.9%7.5%0.6%5.9M-123.2M-940.9K0.7863.4037329027,25117,866
2020-06-29$161.78$160.0032.6%9.3%39.5%25.4%31.3%5.2%2.9%6.3M-120.5M-900.1K0.1963.3565212227,37118,100
2020-06-30$167.08$160.0030.0%8.6%41.4%21.7%31.6%6.1%4.3%8.5M-177.3M-903.0K1.1865.4672185127,45518,153