CCI Options History — November 2020

In November 2020, CCI traded between $158.57 and $171.07. ATM implied volatility averaged 26.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.1% (HV 20d: 26.4%). Max pain ranged from $160.00 to $165.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2020-11-18: Highest Volume — 5,254 contracts
  • 2020-11-30: Largest IV spike — 16.0% change
  • 2020-11-02: Highest IV Rank — 26.4%
  • 2020-11-02: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$164.96$158.57$171.07$158.57$167.17
Max Pain$163.50$160.00$165.00$160.00$165.00
ATM IV26.5%23.9%33.2%33.2%27.7%
Expected Move7.5%6.8%9.5%9.5%7.9%
HV 20d26.4%23.4%30.1%24.9%23.4%
HV 60d25.0%24.0%26.1%24.7%24.3%
IV Rank16.5%12.7%26.4%26.4%18.2%
IV Percentile39.4%25.8%74.6%74.6%46.4%
Term Structure0.1%-1.6%1.5%-1.1%-1.6%
VWIV26.9%23.9%32.9%32.8%26.4%
Skew 25d3.4%1.3%5.2%5.2%4.2%
Skew 10d6.3%1.2%12.7%12.7%6.9%
Call IV 25d25.0%22.6%31.8%31.8%23.5%
Put IV 25d28.3%25.1%37.0%37.0%27.7%
Bid-Ask Spread %52.5634.1681.8173.1039.02
Gamma HHI0.190.130.370.130.16
Net GEX6.0M1.6M16.5M1.6M4.3M
Net DEX-74.9M-158.3M-22.3M-22.3M-82.5M
Net VEX-700.9K-783.8K-656.7K-783.8K-665.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.183.780.351.25
Total Volume1,593.453975,2544511,176
Total OI44,261.739,46349,47243,10142,659

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$158.57$160.0033.2%9.5%24.9%26.4%32.8%5.2%-1.1%1.6M-22.3M-783.8K0.3573.1033311823,60019,501
2020-11-03$160.53$160.0031.6%9.1%24.8%24.0%32.9%4.5%-1.2%2.5M-38.3M-763.1K2.0077.1032464823,60019,501
2020-11-04$162.72$160.0027.4%7.9%25.3%17.8%30.9%2.8%-1.0%4.1M-59.7M-742.4K2.5681.815551,42123,73019,752
2020-11-05$163.07$160.0025.9%7.8%25.4%15.7%29.2%4.0%-0.2%4.6M-60.5M-737.7K1.3368.0218324423,82219,348
2020-11-06$164.85$160.0026.5%7.5%25.5%16.5%27.7%4.2%0.4%5.8M-75.8M-732.0K1.2170.4023929023,88719,395
2020-11-09$162.86$160.0025.3%6.9%25.6%14.8%25.5%2.9%0.3%4.6M-58.6M-670.1K1.3576.347541,01623,91719,314
2020-11-10$159.51$165.0029.2%7.7%26.5%20.4%26.5%4.4%-0.1%1.6M-23.8M-656.7K0.5753.2448127223,88219,154
2020-11-11$164.29$165.0025.8%7.4%28.6%15.5%25.5%3.1%-0.3%6.1M-68.7M-674.0K0.1849.2395717724,00219,179
2020-11-12$166.64$165.0027.9%8.0%28.5%18.5%28.6%4.1%-0.1%8.0M-93.1M-686.3K1.2549.121,9802,46724,08219,193
2020-11-13$168.23$165.0024.5%7.0%28.7%13.6%25.6%3.9%0.9%11.1M-115.1M-725.9K1.5946.976981,10725,90020,770
2020-11-16$165.62$165.0026.3%7.5%28.4%16.2%26.8%3.6%-0.4%7.8M-80.8M-690.7K0.8144.8762650625,97021,224
2020-11-17$165.93$165.0025.2%7.2%28.4%14.6%24.8%3.0%-0.2%8.0M-82.5M-679.9K3.7846.773271,23726,15921,530
2020-11-18$171.07$165.0024.3%7.0%30.1%13.4%26.0%3.1%1.1%16.5M-158.3M-678.5K0.9140.132,7562,49826,24221,735
2020-11-19$168.26$165.0025.2%7.2%26.0%14.6%25.7%1.8%0.2%16.3M-113.8M-689.4K0.5740.8065637127,13621,835
2020-11-20$167.38$165.0024.5%7.0%26.1%13.6%23.9%2.9%1.5%4.0M-93.1M-670.9K0.8443.8286372327,38422,088
2020-11-23$166.65$165.0025.6%7.3%26.2%15.2%24.9%2.5%-0.0%3.6M-73.7M-672.9K0.4844.102,2571,08721,17318,290
2020-11-24$164.65$165.0025.2%7.2%26.2%14.6%25.4%1.3%1.0%2.6M-63.8M-706.1K0.6235.9969643322,34619,018
2020-11-25$164.74$165.0024.1%6.9%24.5%12.9%24.4%3.3%1.2%2.5M-55.7M-702.9K0.6236.2261638022,59419,635
2020-11-27$166.56$165.0023.9%6.8%24.7%12.7%24.4%2.5%0.8%3.8M-77.8M-690.0K0.3934.1628511222,88719,800
2020-11-30$167.17$165.0027.7%7.9%23.4%18.2%26.4%4.2%-1.6%4.3M-82.5M-665.3K1.2539.0252265422,87119,788