CCI Options History — June 2021

In June 2021, CCI traded between $190.94 and $200.01. ATM implied volatility averaged 18.1%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.6% (HV 20d: 17.5%). Max pain ranged from $170.00 to $190.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2021-06-10: Highest Volume — 26,401 contracts
  • 2021-06-21: Largest IV drop — 8.4% change
  • 2021-06-18: Highest IV Rank — 14.3%
  • 2021-06-18: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$196.17$190.94$200.01$190.94$195.49
Max Pain$183.64$170.00$190.00$180.00$190.00
ATM IV18.1%17.3%19.4%18.7%18.2%
Expected Move5.2%4.9%5.6%5.4%5.2%
HV 20d17.5%14.1%20.1%18.2%17.0%
HV 60d17.8%16.5%18.8%18.8%16.5%
IV Rank7.6%4.2%14.3%9.6%9.3%
IV Percentile4.8%0.4%13.5%5.6%9.1%
Term Structure2.5%0.6%3.4%0.6%2.5%
VWIV18.5%15.9%20.1%18.8%20.1%
Skew 25d2.3%1.3%3.3%2.3%2.7%
Skew 10d5.1%2.3%9.3%4.2%5.6%
Call IV 25d17.5%16.7%18.8%17.4%17.6%
Put IV 25d19.8%18.8%21.4%19.7%20.3%
Bid-Ask Spread %63.5825.4476.9175.7467.98
Gamma HHI0.220.190.320.200.22
Net GEX7.8M2.2M12.4M9.1M7.2M
Net DEX-150.6M-257.5M-80.4M-181.6M-101.5M
Net VEX-723.4K-762.4K-663.1K-748.1K-694.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.052.730.370.45
Total Volume2,728.36420526,4017411,064
Total OI33,50629,77137,32634,69632,332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$190.94$180.0018.7%5.4%18.2%9.6%18.8%2.3%0.6%9.1M-181.6M-748.1K0.3775.7454120019,80014,896
2021-06-02$194.73$180.0017.8%5.1%15.9%5.8%18.3%1.8%1.0%10.9M-219.0M-731.3K0.2741.431,10429720,17714,923
2021-06-03$194.80$170.0018.5%5.5%16.0%8.7%19.9%2.0%2.2%11.0M-218.8M-739.5K0.9073.3734531020,45414,991
2021-06-04$197.15$170.0017.5%5.2%15.2%4.8%18.2%2.4%3.0%12.4M-242.8M-703.3K0.1974.6877314720,49115,096
2021-06-07$197.99$170.0017.9%5.0%15.0%6.1%17.4%1.8%3.3%12.3M-249.3M-673.6K0.1472.001,96627520,55215,101
2021-06-08$196.19$170.0018.1%5.2%15.7%7.1%18.5%1.3%3.1%12.3M-229.5M-697.8K0.4675.561,17154220,63115,180
2021-06-09$196.88$170.0018.6%5.3%15.1%9.2%18.3%2.1%2.5%11.8M-231.1M-708.8K2.7376.416931,88920,79915,344
2021-06-10$200.01$170.0017.5%5.0%14.1%4.7%15.9%2.0%3.4%9.5M-257.5M-663.1K0.0576.9125,2091,19220,91216,414
2021-06-11$193.83$190.0017.6%5.0%19.2%5.0%18.2%2.3%3.4%2.2M-80.4M-751.1K2.4545.259302,28115,50316,999
2021-06-14$196.49$190.0018.5%5.3%19.5%9.8%18.9%2.3%2.9%5.6M-102.3M-733.5K0.8125.4467855215,59116,999
2021-06-15$195.71$190.0018.2%5.2%19.7%8.4%19.0%2.6%3.4%4.7M-96.2M-718.5K0.4666.501,80283315,64717,115
2021-06-16$194.15$190.0018.5%5.3%20.1%10.0%18.8%3.3%3.2%3.5M-87.4M-753.9K2.1755.1019041316,32217,773
2021-06-17$196.64$190.0018.6%5.3%19.4%10.4%19.2%3.0%2.0%6.0M-105.6M-762.4K0.9573.0831329716,30417,647
2021-06-18$195.79$190.0019.4%5.6%18.0%14.3%19.4%2.7%2.0%3.8M-108.0M-735.9K1.0655.6450253116,40117,745
2021-06-21$197.62$190.0017.8%5.1%18.0%6.6%19.3%2.4%2.2%6.5M-123.5M-711.4K1.3962.3925735814,79314,978
2021-06-22$197.53$190.0017.5%5.0%18.0%5.6%17.5%1.9%1.9%6.7M-121.1M-732.6K0.9858.8176775014,94915,189
2021-06-23$196.65$190.0017.9%5.1%17.9%7.4%18.7%2.4%2.1%6.5M-105.7M-750.9K0.2063.523,90377715,55515,843
2021-06-24$195.83$190.0017.5%5.0%18.0%5.2%17.6%2.0%2.2%6.8M-106.1M-718.0K0.9063.0638434615,60515,929
2021-06-25$196.83$190.0017.8%5.1%18.0%7.0%18.5%2.0%1.7%7.2M-114.1M-738.0K1.6060.6414222715,81316,025
2021-06-28$197.72$190.0017.3%4.9%18.0%4.2%18.7%2.7%2.5%6.9M-117.4M-727.8K0.8166.801139215,85116,199
2021-06-29$196.88$190.0017.9%5.1%18.1%7.5%17.8%2.2%2.8%7.5M-114.0M-721.5K0.2868.403,8141,05415,90016,364
2021-06-30$195.49$190.0018.2%5.2%17.0%9.3%20.1%2.7%2.5%7.2M-101.5M-694.3K0.4567.9873233215,96616,366