CCI Options History — December 2020

In December 2020, CCI traded between $152.98 and $170.43. ATM implied volatility averaged 25.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.4% (HV 20d: 20.9%). Max pain ranged from $155.00 to $165.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2020-12-14: Highest Volume — 7,818 contracts
  • 2020-12-02: Largest IV spike — 9.4% change
  • 2020-12-14: Highest IV Rank — 16.3%
  • 2020-12-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$157.98$152.98$170.43$170.43$158.49
Max Pain$158.64$155.00$165.00$165.00$160.00
ATM IV25.3%23.1%26.3%23.9%23.1%
Expected Move7.3%6.6%7.5%6.9%6.6%
HV 20d20.9%15.8%26.1%23.3%15.8%
HV 60d23.6%22.0%25.3%24.6%22.1%
IV Rank14.8%11.6%16.3%12.8%11.6%
IV Percentile29.6%15.1%37.7%25.4%15.1%
Term Structure1.3%-0.8%2.5%0.1%2.3%
VWIV25.1%23.0%26.4%23.0%23.5%
Skew 25d2.7%1.7%3.8%3.3%3.0%
Skew 10d5.3%3.5%7.5%6.1%6.0%
Call IV 25d24.3%22.3%25.3%22.3%22.5%
Put IV 25d27.0%25.5%28.8%25.6%25.5%
Bid-Ask Spread %24.469.6635.2526.1216.32
Gamma HHI0.210.120.390.190.18
Net GEX-628.2K-9.9M7.9M7.9M5.9M
Net DEX-18.8M-118.2M57.3M-118.2M-69.7M
Net VEX-769.6K-892.0K-633.6K-662.4K-885.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.101.490.100.40
Total Volume3,2491,1047,8183,6421,932
Total OI52,097.13643,21962,43443,21953,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$170.43$165.0023.9%6.9%23.3%12.8%23.0%3.3%0.1%7.9M-118.2M-662.4K0.1026.123,32032223,04220,177
2020-12-02$166.50$165.0026.2%7.5%24.9%16.1%26.0%2.9%-0.8%5.3M-82.2M-687.6K0.9019.9958052424,87420,238
2020-12-03$167.34$155.0024.9%7.2%24.6%14.2%25.1%1.7%2.2%6.4M-94.2M-667.7K0.2535.251,23930625,06120,511
2020-12-04$163.57$155.0025.0%7.1%26.0%14.3%25.3%2.1%2.5%1.7M-53.9M-656.9K1.1115.541,8542,05925,42720,676
2020-12-07$161.50$155.0026.1%7.4%26.1%15.9%25.9%2.3%1.9%-2.0M-28.3M-652.6K0.6629.501,38090626,01121,918
2020-12-08$161.18$155.0025.2%7.3%25.7%14.7%25.6%2.3%2.0%-3.7M-24.1M-641.4K0.7821.571,17391726,32022,108
2020-12-09$158.65$155.0026.0%7.5%25.3%15.8%26.1%2.4%1.5%-5.5M4.3M-633.6K0.2828.503,6921,02626,65522,597
2020-12-10$157.25$155.0025.4%7.3%22.8%15.0%25.2%2.5%2.0%-8.0M19.8M-655.6K0.6230.231,45790728,01523,311
2020-12-11$157.37$155.0025.8%7.4%22.0%15.5%23.6%2.6%1.7%-9.9M15.6M-663.8K0.1827.414,29175828,59923,706
2020-12-14$155.14$160.0026.3%7.5%21.9%16.3%25.9%3.8%1.1%-8.6M48.4M-670.9K0.1030.357,11570328,21723,794
2020-12-15$154.78$160.0025.5%7.3%21.5%15.1%25.2%3.2%2.0%-8.0M33.6M-801.0K0.5525.101,35274034,27824,052
2020-12-16$154.07$160.0025.1%7.2%21.4%14.5%24.9%2.9%2.5%-9.8M42.0M-797.5K0.1025.265,11053034,71324,242
2020-12-17$155.51$160.0025.1%7.2%17.9%14.5%24.8%3.0%1.1%-8.9M895.2K-846.8K0.7728.633,1492,41837,04024,396
2020-12-18$153.18$160.0025.2%7.2%17.8%14.6%26.2%2.6%0.5%2.3M57.3M-831.6K1.4922.812,9754,42937,68724,747
2020-12-21$152.98$160.0026.3%7.5%17.8%16.2%26.4%3.6%0.7%1.8M-6.7M-883.3K0.3321.911,95864530,65819,952
2020-12-22$153.15$160.0025.4%7.3%17.9%15.0%25.4%2.7%1.0%2.0M-7.5M-873.0K0.1822.991,66230531,41520,190
2020-12-23$153.20$160.0025.2%7.2%17.8%14.6%25.1%2.4%1.2%2.4M-12.8M-889.7K0.2630.772,21956932,07020,338
2020-12-24$153.55$155.0025.0%7.2%17.8%14.3%25.1%1.9%1.3%2.5M-14.7M-886.2K0.2426.8895422632,92120,583
2020-12-28$155.61$160.0026.0%7.5%18.1%15.9%25.3%2.6%0.5%4.1M-38.6M-892.0K0.5324.301,47177333,12520,708
2020-12-29$156.01$160.0025.1%7.2%18.0%14.4%24.6%2.5%0.9%4.4M-43.8M-887.5K0.239.661,86042333,27020,848
2020-12-30$156.16$160.0024.7%7.1%16.0%13.9%24.9%2.3%1.1%3.9M-40.7M-864.4K0.5219.0282342632,80920,883
2020-12-31$158.49$160.0023.1%6.6%15.8%11.6%23.5%3.0%2.3%5.9M-69.7M-885.2K0.4016.321,37755532,97720,978