CCI Options History — September 2020

In September 2020, CCI traded between $155.33 and $166.68. ATM implied volatility averaged 28.6%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 3.2% (HV 20d: 25.4%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2020-09-08: Highest Volume — 5,256 contracts
  • 2020-09-03: Largest IV spike — 11.2% change
  • 2020-09-08: Highest IV Rank — 25.0%
  • 2020-09-03: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.34$155.33$166.68$161.65$166.10
Max Pain$155.48$155.00$160.00$160.00$155.00
ATM IV28.6%26.5%32.3%26.9%26.7%
Expected Move8.2%7.6%8.8%7.7%7.7%
HV 20d25.4%20.8%30.2%20.8%30.1%
HV 60d25.7%24.3%30.1%28.8%24.7%
IV Rank19.6%16.6%25.0%17.1%16.9%
IV Percentile56.3%46.0%72.2%54.4%46.0%
Term Structure2.4%0.1%4.9%1.5%4.9%
VWIV28.3%25.0%30.6%26.9%27.0%
Skew 25d5.2%1.8%6.6%1.8%6.1%
Skew 10d10.3%2.2%14.6%2.2%13.6%
Call IV 25d26.4%24.2%29.3%26.1%24.2%
Put IV 25d31.6%27.9%34.0%27.9%30.3%
Bid-Ask Spread %35.1017.5272.1235.8632.32
Gamma HHI0.160.130.240.150.19
Net GEX5.7M1.4M12.8M4.7M10.9M
Net DEX-88.2M-158.5M-40.7M-81.5M-144.9M
Net VEX-834.0K-884.9K-765.8K-837.2K-853.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.222.640.990.39
Total Volume1,861.5245875,2561,3411,175
Total OI51,400.33344,72756,00349,34850,974

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$161.65$160.0026.9%7.7%20.8%17.1%26.9%1.8%1.5%4.7M-81.5M-837.2K0.9935.8667366829,70419,644
2020-09-02$166.63$160.0027.7%7.9%23.3%18.3%27.5%2.5%1.6%8.1M-142.8M-872.0K0.4372.1290238629,89819,910
2020-09-03$161.30$155.0030.8%8.8%26.1%22.8%30.6%5.7%2.3%4.5M-78.9M-858.8K1.0461.6459161329,96719,948
2020-09-04$160.68$155.0030.7%8.6%24.1%22.6%30.3%5.2%0.8%3.9M-70.3M-837.5K2.6461.504451,17530,04020,050
2020-09-08$159.42$155.0032.3%8.8%23.9%25.0%30.4%4.5%0.1%3.1M-54.2M-797.8K0.8140.422,8962,36030,25020,339
2020-09-09$161.47$155.0029.0%8.3%22.9%20.2%28.6%4.8%1.4%5.5M-90.2M-869.9K0.5040.7562431232,53222,037
2020-09-10$159.37$155.0029.4%8.4%21.9%20.7%29.0%4.0%1.9%3.0M-64.7M-844.4K0.3633.3391433232,64822,120
2020-09-11$159.14$155.0027.8%8.0%21.7%18.5%27.1%4.7%2.2%1.4M-57.1M-809.7K0.2931.822,18263933,10322,236
2020-09-14$160.21$155.0026.8%7.7%21.9%17.0%27.3%5.1%2.5%3.6M-65.6M-817.1K1.2517.5244956232,98122,406
2020-09-15$163.45$155.0027.0%7.7%22.9%17.3%28.2%5.6%2.4%8.1M-115.4M-844.8K1.1029.001,4491,58833,11022,502
2020-09-16$166.68$155.0028.5%8.2%24.0%19.4%28.1%5.9%1.6%12.8M-158.5M-884.9K2.1132.271,1912,51533,12622,795
2020-09-17$162.13$155.0030.4%8.7%24.9%22.2%28.6%5.6%1.4%5.6M-96.0M-845.6K1.1129.7888198033,23722,647
2020-09-18$160.87$155.0027.2%7.8%25.1%17.6%28.5%5.5%3.1%1.4M-84.8M-803.8K1.8830.508531,60433,37122,632
2020-09-21$157.54$155.0028.2%8.1%26.1%19.0%27.9%5.7%2.8%4.2M-50.6M-765.8K0.2221.021,56534528,32516,402
2020-09-22$160.22$155.0028.7%8.2%26.4%19.7%28.2%5.1%2.5%6.3M-80.3M-804.0K0.6225.381,20674329,33016,459
2020-09-23$155.33$155.0030.2%8.6%28.6%21.9%29.6%5.9%2.4%3.9M-40.7M-781.9K1.3226.891,0341,36530,03017,016
2020-09-24$157.22$155.0030.0%8.6%29.0%21.6%28.6%5.9%3.1%4.5M-50.5M-826.0K0.5226.7144923530,56418,225
2020-09-25$160.94$155.0029.0%8.3%29.5%20.2%28.7%6.3%3.0%6.6M-86.9M-843.5K0.2824.8548613730,48718,207
2020-09-28$163.69$155.0026.5%7.6%30.2%16.6%25.0%6.6%4.3%8.8M-116.6M-847.5K0.3930.751,42955230,95818,447
2020-09-29$164.03$155.0027.2%7.8%30.2%17.6%27.7%6.4%4.2%9.3M-121.3M-867.7K0.8332.6932026731,86918,881
2020-09-30$166.10$155.0026.7%7.7%30.1%16.9%27.0%6.1%4.9%10.9M-144.9M-853.4K0.3932.3284433132,01918,955