CCI Options History — March 2021

In March 2021, CCI traded between $147.54 and $174.82. ATM implied volatility averaged 23.6%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.1% (HV 20d: 23.7%). Max pain ranged from $155.00 to $160.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.48.

Notable Days

  • 2021-03-11: Highest Volume — 7,541 contracts
  • 2021-03-23: Largest IV drop — 13.1% change
  • 2021-03-08: Highest IV Rank — 12.0%
  • 2021-03-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$161.16$147.54$174.82$154.51$171.81
Max Pain$158.70$155.00$160.00$160.00$160.00
ATM IV23.6%18.1%28.5%23.0%22.1%
Expected Move6.7%5.2%7.8%6.6%6.3%
HV 20d23.7%17.5%26.8%21.6%22.3%
HV 60d22.2%20.1%23.9%20.6%23.6%
IV Rank6.3%0.0%12.0%3.2%9.4%
IV Percentile14.6%0.0%50.4%3.2%2.8%
Term Structure1.6%0.2%2.8%1.5%0.6%
VWIV23.7%18.6%27.5%23.2%20.9%
Skew 25d3.2%2.0%4.2%2.6%4.1%
Skew 10d6.8%3.0%11.3%3.0%9.6%
Call IV 25d22.5%17.9%27.8%22.0%20.9%
Put IV 25d25.7%21.1%31.2%24.6%25.0%
Bid-Ask Spread %70.5756.3976.9075.2275.27
Gamma HHI0.170.110.250.130.21
Net GEX7.1M-736.4K15.1M1.1M14.2M
Net DEX-92.0M-244.0M47.0M-2.5M-197.8M
Net VEX-814.7K-893.9K-686.8K-769.6K-845.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.071.590.500.12
Total Volume2,723.0871,0447,5412,2532,030
Total OI45,421.56539,32649,78542,76843,981

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$154.51$160.0023.0%6.6%21.6%3.2%23.2%2.6%1.5%1.1M-2.5M-769.6K0.5075.221,50075328,38114,387
2021-03-02$154.13$160.0022.4%6.4%17.5%2.2%23.0%3.6%2.2%801.2K1.2M-756.0K0.2772.521,55141228,81714,602
2021-03-03$148.89$155.0025.3%7.2%19.8%6.8%25.2%3.5%0.2%-736.4K44.9M-686.8K0.4869.991,71782729,20514,825
2021-03-04$149.26$160.0028.3%7.8%19.5%11.7%27.5%3.4%0.4%77.1K32.1M-763.8K0.4672.781,18054329,67915,283
2021-03-05$150.45$160.0026.8%7.5%20.0%9.3%26.3%3.8%0.9%-346.7K31.9M-724.4K0.2869.853,41796629,67615,304
2021-03-08$147.54$160.0028.5%7.8%20.7%12.0%26.8%3.4%0.3%-702.3K47.0M-707.9K0.2870.261,44939931,23715,688
2021-03-09$151.01$155.0027.7%7.3%22.9%10.8%25.6%2.6%1.7%-217.9K19.0M-744.9K0.1369.462,70034731,78715,823
2021-03-10$151.69$155.0024.7%7.1%22.1%6.0%25.0%3.1%2.2%1.4M10.9M-754.4K0.3670.5586431532,90816,039
2021-03-11$155.87$155.0025.5%7.3%24.7%7.3%25.7%3.0%1.9%4.6M-42.9M-819.0K0.0764.097,06847333,00916,208
2021-03-12$158.38$155.0025.6%7.3%25.3%7.4%26.0%2.7%1.6%8.4M-81.7M-888.9K0.3371.573,3921,11633,49816,287
2021-03-15$161.33$155.0025.5%7.3%25.8%7.2%25.5%3.1%1.3%9.0M-107.6M-875.9K1.2269.172,5643,13431,94716,281
2021-03-16$165.05$160.0023.7%6.8%26.6%4.3%24.2%2.4%2.2%11.1M-156.1M-877.6K0.3670.342,39486132,10716,269
2021-03-17$165.32$160.0023.4%6.7%26.5%3.8%25.0%2.7%2.8%11.6M-157.5M-893.9K1.5972.396351,00932,35816,346
2021-03-18$165.07$160.0024.1%6.9%26.1%5.0%25.6%2.9%1.8%11.3M-157.6M-879.8K1.0672.1381485932,30916,372
2021-03-19$166.77$160.0022.9%6.6%26.3%3.7%23.1%2.0%2.1%8.3M-182.9M-861.1K0.2474.392,63964132,36216,405
2021-03-22$167.26$160.0020.8%6.0%26.2%0.0%20.4%2.8%1.6%9.1M-140.6M-815.3K0.5265.012,1051,09626,80112,525
2021-03-23$168.48$160.0018.1%5.2%25.4%0.0%18.6%3.2%2.6%10.1M-149.8M-819.2K0.2368.892,72261528,40412,596
2021-03-24$168.36$160.0020.0%5.7%25.2%4.4%20.4%3.8%1.4%11.5M-152.7M-851.4K0.3676.9079428629,66312,789
2021-03-25$167.29$160.0022.2%6.4%24.6%9.6%22.8%4.2%1.5%10.9M-138.6M-853.6K1.0672.1550853629,95012,884
2021-03-26$172.61$160.0020.6%5.9%25.3%5.7%21.7%3.4%1.7%14.2M-214.8M-861.3K0.4271.311,63269230,10412,920
2021-03-29$174.82$160.0021.3%6.1%24.9%7.4%21.0%3.5%1.5%15.1M-244.0M-846.7K0.1972.591,54129230,19413,098
2021-03-30$170.88$160.0021.1%6.0%26.8%6.9%21.5%3.4%2.1%12.7M-176.5M-840.2K0.5856.3978645730,25013,138
2021-03-31$171.81$160.0022.1%6.3%22.3%9.4%20.9%4.1%0.6%14.2M-197.8M-845.8K0.1275.271,80622430,52313,458