CCI Options History — October 2020

In October 2020, CCI traded between $155.32 and $168.53. ATM implied volatility averaged 27.6%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 4.0% (HV 20d: 23.7%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2020-10-22: Highest Volume — 6,007 contracts
  • 2020-10-14: Largest IV spike — 20.9% change
  • 2020-10-30: Highest IV Rank — 29.1%
  • 2020-10-30: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$163.81$155.32$168.53$167.58$155.32
Max Pain$160.91$155.00$165.00$155.00$160.00
ATM IV27.6%21.0%35.1%25.0%35.1%
Expected Move8.4%7.2%10.1%7.2%10.1%
HV 20d23.7%17.9%28.3%28.3%23.3%
HV 60d24.3%23.4%24.9%24.8%24.9%
IV Rank18.2%8.5%29.1%14.3%29.1%
IV Percentile51.0%27.4%78.6%40.1%78.6%
Term Structure0.4%-2.1%5.7%5.7%-2.1%
VWIV29.9%26.2%34.7%26.2%34.7%
Skew 25d4.8%3.5%8.0%5.9%8.0%
Skew 10d9.9%7.1%16.4%12.2%16.4%
Call IV 25d27.6%23.9%31.7%23.9%31.7%
Put IV 25d32.4%29.2%39.7%29.7%39.7%
Bid-Ask Spread %44.2227.0771.8027.0771.36
Gamma HHI0.200.120.430.190.12
Net GEX8.7M379.4K21.7M12.1M379.4K
Net DEX-102.2M-176.8M3.3M-164.9M3.3M
Net VEX-754.5K-852.1K-678.1K-851.1K-772.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.152.440.710.66
Total Volume1,472.5913256,0071,082504
Total OI46,002.95530,97653,72451,06042,960

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$167.58$155.0025.0%7.2%28.3%14.3%26.2%5.9%5.7%12.1M-164.9M-851.1K0.7127.0763145132,02719,033
2020-10-02$168.53$155.0026.7%7.7%25.5%16.8%27.8%4.2%4.6%12.5M-176.8M-852.1K0.3531.5859420732,01418,964
2020-10-05$168.18$160.0024.9%8.8%25.5%14.2%31.9%4.5%-0.2%13.1M-173.6M-803.1K2.4450.8129471731,73218,981
2020-10-06$165.24$160.0025.8%8.9%26.2%15.6%32.8%4.3%-0.2%11.9M-136.2M-779.0K0.6250.831,29080332,04619,046
2020-10-07$165.36$160.0024.7%8.8%25.9%13.9%31.7%4.4%-0.5%12.8M-133.8M-775.1K1.2349.1014617932,45019,550
2020-10-08$165.61$160.0024.3%8.5%25.3%13.3%29.9%4.3%0.0%13.5M-135.9M-757.2K0.1547.7067610332,47919,604
2020-10-09$166.90$160.0022.9%8.4%25.4%11.2%29.2%4.0%-0.1%15.6M-154.5M-753.1K0.6950.8939427032,65119,654
2020-10-12$168.20$160.0021.0%7.9%25.4%8.5%27.7%4.5%0.2%19.5M-175.3M-713.7K0.3647.841,28745932,73419,714
2020-10-13$167.01$160.0024.2%8.3%24.7%13.1%29.5%4.7%0.3%18.2M-156.9M-723.2K0.4144.5685935633,51719,929
2020-10-14$165.43$160.0029.3%8.4%24.0%20.6%29.3%4.9%-0.3%15.2M-133.2M-708.6K0.6543.8443028033,64120,043
2020-10-15$168.00$160.0028.8%8.3%22.3%19.9%28.8%5.6%0.4%21.7M-171.8M-707.1K0.3237.421,52348333,59920,125
2020-10-16$167.65$165.0028.5%8.2%22.1%19.5%28.5%3.9%-0.1%4.3M-166.8M-678.1K0.2143.581,08422933,47420,003
2020-10-19$164.43$165.0030.9%8.9%21.9%23.0%29.8%4.7%-1.5%3.1M-68.9M-682.8K0.2939.332,30666617,42313,553
2020-10-20$164.97$165.0030.1%8.6%21.2%21.8%29.4%4.5%-0.4%4.1M-77.4M-715.2K0.4438.2071431519,37814,075
2020-10-21$163.50$165.0029.2%8.4%17.9%20.5%30.8%4.3%0.6%3.8M-71.2M-723.8K0.9939.781,8651,85319,80814,225
2020-10-22$156.65$165.0028.0%8.0%23.7%18.7%28.1%3.5%0.1%1.1M-18.1M-679.5K1.3138.832,6043,40320,81515,613
2020-10-23$158.28$165.0026.3%7.5%22.4%16.2%27.6%4.3%2.0%1.3M-20.1M-757.1K0.7631.5158144322,27218,081
2020-10-26$159.43$160.0028.5%8.2%21.6%19.5%28.8%5.8%1.0%2.0M-30.5M-780.1K0.7933.0849539022,57618,453
2020-10-27$161.69$160.0029.3%8.4%22.3%20.6%28.7%4.2%0.3%3.2M-48.5M-786.8K1.0835.1741144422,76818,696
2020-10-28$157.77$160.0032.5%9.3%23.2%25.3%33.0%5.9%-1.0%1.4M-17.4M-801.7K0.6571.8050432823,00818,998
2020-10-29$158.14$160.0032.2%9.2%22.9%24.8%33.7%5.2%-0.9%1.5M-20.3M-798.8K0.4948.5255527123,18419,169
2020-10-30$155.32$160.0035.1%10.1%23.3%29.1%34.7%8.0%-2.1%379.4K3.3M-772.1K0.6671.3630320123,57319,387