CCI Options History — September 2021

In September 2021, CCI traded between $174.02 and $198.23. ATM implied volatility averaged 21.0%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 3.9% (HV 20d: 17.1%). Max pain ranged from $190.00 to $195.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2021-09-13: Highest Volume — 2,499 contracts
  • 2021-09-20: Largest IV spike — 26.2% change
  • 2021-09-20: Highest IV Rank — 53.0%
  • 2021-09-20: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$187.94$174.02$198.23$197.86$174.02
Max Pain$193.33$190.00$195.00$195.00$190.00
ATM IV21.0%16.6%26.3%16.6%23.9%
Expected Move6.0%4.8%7.5%4.8%6.9%
HV 20d17.1%15.0%18.5%16.6%15.0%
HV 60d17.4%16.5%18.2%17.9%17.9%
IV Rank24.9%1.4%53.0%1.5%40.5%
IV Percentile39.4%0.8%82.1%0.8%58.3%
Term Structure1.7%-0.1%3.3%1.9%0.6%
VWIV21.3%17.4%25.2%17.4%21.9%
Skew 25d3.3%1.7%5.6%1.7%4.3%
Skew 10d7.2%4.8%11.1%8.8%7.2%
Call IV 25d20.4%16.7%23.6%16.7%22.7%
Put IV 25d23.8%18.4%29.2%18.4%26.9%
Bid-Ask Spread %66.2316.7376.0576.0570.83
Gamma HHI0.150.090.240.230.09
Net GEX1.2M-3.1M6.0M6.0M-3.1M
Net DEX-18.4M-104.4M76.9M-103.0M76.9M
Net VEX-744.3K-818.1K-700.7K-745.7K-818.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.202.640.460.53
Total Volume1,234.9524792,4991,5641,513
Total OI34,194.14332,34937,23733,26037,237

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$197.86$195.0016.6%4.8%16.6%1.5%17.4%1.7%1.9%6.0M-103.0M-745.7K0.4676.051,06949516,79916,461
2021-09-02$197.74$190.0017.4%5.3%16.4%5.8%19.2%3.1%3.2%6.0M-100.7M-743.9K0.5975.8146127316,97216,581
2021-09-03$198.23$190.0016.6%5.2%16.4%1.4%19.1%2.5%3.1%5.7M-104.4M-752.0K1.1763.4942749816,69216,784
2021-09-07$195.10$190.0019.4%5.5%17.4%16.5%19.2%2.4%2.9%4.1M-74.6M-730.2K0.2860.2444712416,65616,863
2021-09-08$196.46$195.0020.0%5.7%16.2%19.6%20.3%2.7%2.0%4.8M-84.8M-740.9K0.6158.8240925116,66017,016
2021-09-09$192.76$195.0019.8%5.7%17.6%18.4%20.0%2.4%2.0%2.5M-49.4M-741.3K0.7467.6832924316,71617,077
2021-09-10$189.31$195.0022.1%6.3%18.5%30.9%22.7%3.1%1.0%666.4K-20.8M-727.1K1.0268.8265166716,81817,169
2021-09-13$190.21$195.0021.7%6.2%18.4%28.8%21.2%2.6%1.2%705.7K-26.6M-700.7K0.2670.011,98651316,92117,298
2021-09-14$189.22$195.0021.6%6.2%18.5%28.1%21.7%3.9%1.3%954.6K-19.3M-743.5K0.7163.3745832717,06917,504
2021-09-15$189.18$195.0020.6%5.9%18.2%22.7%21.4%3.1%3.3%246.9K-12.9M-734.3K0.4874.8058027716,96317,753
2021-09-16$189.31$195.0020.3%5.8%17.9%21.4%20.4%3.2%2.5%-109.4K-12.2M-732.6K1.0168.331,1501,16217,11317,835
2021-09-17$188.32$195.0020.8%6.0%16.5%24.0%21.8%3.9%2.2%820.6K1.7M-755.2K1.0865.9039642817,32717,815
2021-09-20$187.11$195.0026.3%7.5%16.4%53.0%24.9%5.6%-0.1%847.4K-11.0M-792.8K0.3767.301,09941215,40216,947
2021-09-21$188.36$195.0022.9%6.6%16.5%34.9%22.7%4.1%1.0%1.3M-19.3M-775.5K0.2074.974007915,60817,205
2021-09-22$187.55$195.0021.1%6.0%15.4%25.5%21.5%3.3%1.7%1.2M-14.2M-778.1K0.2775.1746012216,23117,399
2021-09-23$184.41$195.0020.7%5.9%16.0%23.2%21.0%2.8%1.9%112.8K4.7M-742.3K0.3261.811,38044416,43317,429
2021-09-24$182.53$195.0019.7%5.7%16.3%18.2%20.0%4.0%2.2%-738.6K18.7M-728.2K0.9669.651,00195816,73317,504
2021-09-27$177.82$190.0021.2%6.1%18.3%25.8%22.0%3.3%1.7%-2.1M47.1M-709.5K0.6216.7390656016,49317,641
2021-09-28$175.50$190.0024.4%7.0%18.2%43.3%25.2%4.2%0.3%-2.3M59.0M-717.4K2.6467.016231,64416,81618,374
2021-09-29$175.78$190.0023.8%6.8%17.5%39.8%23.9%3.6%0.2%-2.5M58.5M-721.2K0.3374.0753717517,06618,697
2021-09-30$174.02$190.0023.9%6.9%15.0%40.5%21.9%4.3%0.6%-3.1M76.9M-818.1K0.5370.8399052317,28419,953