CCI Options History — August 2020

In August 2020, CCI traded between $160.40 and $168.25. ATM implied volatility averaged 25.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.5% (HV 20d: 23.9%). Max pain ranged from $165.00 to $165.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2020-08-18: Highest Volume — 7,522 contracts
  • 2020-08-11: Largest IV spike — 14.6% change
  • 2020-08-11: Highest IV Rank — 21.9%
  • 2020-08-11: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.96$160.40$168.25$164.09$163.71
Max Pain$165.00$165.00$165.00$165.00$165.00
ATM IV25.4%22.6%30.1%26.5%25.9%
Expected Move7.3%6.5%8.4%7.6%7.4%
HV 20d23.9%21.0%26.3%23.0%21.0%
HV 60d31.9%29.2%33.9%33.9%29.2%
IV Rank15.0%10.9%21.9%16.5%15.7%
IV Percentile50.2%40.5%63.1%54.8%50.8%
Term Structure0.9%-0.0%1.6%1.3%1.1%
VWIV25.9%21.8%28.5%28.2%26.8%
Skew 25d3.6%2.6%4.7%3.0%2.9%
Skew 10d6.6%4.2%9.2%5.2%4.8%
Call IV 25d24.3%20.8%27.6%25.4%25.5%
Put IV 25d27.9%24.2%31.3%28.4%28.4%
Bid-Ask Spread %30.5722.1436.3626.3929.83
Gamma HHI0.160.120.240.140.16
Net GEX4.2M-1.1M7.8M4.5M6.0M
Net DEX-88.1M-143.6M-51.6M-88.9M-105.3M
Net VEX-886.2K-990.0K-802.4K-965.0K-865.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.131.730.800.44
Total Volume2,312.2866317,5224,399631
Total OI53,444.57145,05664,09451,57549,149

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$164.09$165.0026.5%7.6%23.0%16.5%28.2%3.0%1.3%4.5M-88.9M-965.0K0.8026.392,4401,95931,39020,185
2020-08-04$166.36$165.0027.6%7.9%23.3%18.1%27.1%3.0%1.1%6.0M-117.5M-990.0K0.2026.001,28126031,45420,916
2020-08-05$164.54$165.0025.9%7.4%23.5%15.7%26.2%3.3%1.4%4.5M-91.3M-966.0K0.6524.0088457331,69121,056
2020-08-06$163.94$165.0024.9%7.7%23.4%14.1%27.4%4.7%0.5%4.0M-83.0M-944.5K0.3534.9076326431,95521,085
2020-08-07$168.25$165.0025.2%7.5%25.5%14.7%27.0%4.5%0.4%7.8M-143.6M-963.2K0.4732.291,20055931,99921,497
2020-08-10$166.13$165.0026.3%7.9%24.2%16.3%28.4%4.5%-0.0%6.1M-112.4M-930.6K1.0631.8967371532,16921,460
2020-08-11$162.12$165.0030.1%8.4%25.0%21.9%28.5%3.7%-0.0%2.2M-59.5M-909.2K0.3535.232,35182132,28321,652
2020-08-12$165.59$165.0026.8%7.7%26.3%17.0%26.7%3.8%0.5%5.0M-103.5M-915.7K0.2532.991,15128532,48422,245
2020-08-13$164.18$165.0026.2%7.5%26.0%16.0%25.6%4.3%1.0%3.0M-80.8M-886.8K0.4532.8991441032,79222,352
2020-08-14$164.38$165.0026.4%7.6%25.0%16.4%26.2%4.3%0.5%3.0M-85.4M-864.8K0.1936.361,16522032,98222,370
2020-08-17$165.86$165.0025.5%7.3%25.0%15.1%25.2%4.3%0.7%5.5M-107.6M-825.2K0.7332.2074053932,97022,448
2020-08-18$166.06$165.0024.6%7.0%23.8%13.7%27.0%4.1%0.7%6.3M-111.3M-804.4K0.7535.134,2943,22832,91222,404
2020-08-19$162.64$165.0023.6%6.8%24.8%12.3%24.5%3.1%1.4%-1.1M-51.6M-822.3K1.2022.141,9562,35536,12024,992
2020-08-20$162.92$165.0023.8%6.8%24.7%12.5%24.4%3.5%0.9%137.2K-56.0M-850.1K0.7430.111,3841,02936,61326,646
2020-08-21$163.22$165.0023.0%6.6%24.7%11.4%23.8%3.7%1.4%4.1M-59.9M-842.2K1.7329.611,2412,15337,11626,978
2020-08-24$160.92$165.0022.6%6.5%24.9%10.9%21.8%3.5%1.4%2.5M-59.7M-802.4K0.3923.403,0451,19926,43418,622
2020-08-25$160.78$165.0022.8%6.5%22.5%11.1%22.4%3.1%1.6%3.1M-64.4M-842.2K0.1328.181,17615528,10919,093
2020-08-26$160.40$165.0024.7%7.1%22.3%13.9%24.6%2.8%0.9%3.4M-62.7M-840.6K0.2235.971,66336928,73319,112
2020-08-27$163.29$165.0025.2%7.2%22.3%14.6%25.8%2.9%0.6%5.9M-99.2M-887.7K0.4030.211,14145729,57019,237
2020-08-28$163.78$165.0026.3%7.5%21.5%16.3%26.0%2.6%0.8%6.2M-105.9M-891.6K0.7632.1652039529,72619,335
2020-08-31$163.71$165.0025.9%7.4%21.0%15.7%26.8%2.9%1.1%6.0M-105.3M-865.8K0.4429.8343819329,60419,545