CCI Options History — September 2023

In September 2023, CCI traded between $89.69 and $100.15. ATM implied volatility averaged 27.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 12.6% (HV 20d: 14.8%). Max pain ranged from $100.00 to $105.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2023-09-27: Highest Volume — 6,251 contracts
  • 2023-09-12: Largest IV drop — 27.0% change
  • 2023-09-27: Highest IV Rank — 50.6%
  • 2023-09-27: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.15$89.69$100.15$99.85$91.54
Max Pain$101.25$100.00$105.00$105.00$100.00
ATM IV27.3%21.1%33.0%24.3%31.1%
Expected Move7.8%6.9%9.4%7.0%8.9%
HV 20d14.8%11.1%20.5%13.8%20.4%
HV 60d24.1%23.3%24.5%24.5%24.1%
IV Rank24.2%0.0%50.6%4.8%42.7%
IV Percentile31.9%0.0%82.9%2.4%71.8%
Term Structure-0.5%-2.4%1.3%1.3%-1.0%
VWIV27.4%24.4%33.0%24.8%32.4%
Skew 25d3.5%2.2%5.3%2.2%4.4%
Skew 10d5.7%1.5%10.6%1.5%6.8%
Call IV 25d26.2%23.2%30.8%23.2%30.1%
Put IV 25d29.7%25.4%35.8%25.4%34.5%
Bid-Ask Spread %50.8512.0866.2930.8334.67
Gamma HHI0.160.130.260.170.14
Net GEX-21.2K-1.0M784.3K-348.6K-244.2K
Net DEX39.6M21.7M67.3M35.3M34.5M
Net VEX-609.7K-768.6K-535.3K-541.2K-737.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.221.810.370.53
Total Volume2,690.79116,2511,8061,368
Total OI52,511.745,65762,74745,65762,337

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$99.85$105.0024.3%7.0%13.8%4.8%24.8%2.2%1.3%-348.6K35.3M-541.2K0.3730.831,31449228,62517,032
2023-09-05$100.14$105.0025.8%7.1%13.7%12.1%25.6%2.6%0.3%679.3K31.9M-550.7K0.3264.921,73954829,95517,282
2023-09-06$99.03$105.0025.8%7.2%13.9%12.1%25.6%2.4%-0.1%-9.9K37.7M-548.0K0.3561.441,14039630,75917,553
2023-09-07$100.15$105.0026.3%7.3%14.5%14.5%25.6%2.7%-0.2%95.9K29.0M-580.8K0.4866.2961429731,39817,736
2023-09-08$99.33$105.0025.5%6.9%14.7%10.6%24.4%2.5%0.7%-458.3K37.1M-564.6K0.3565.581,68158231,51017,862
2023-09-11$98.53$100.0028.9%6.9%14.8%26.9%25.0%2.3%0.0%-1.0M42.6M-543.7K1.0461.9672275232,29218,080
2023-09-12$98.00$100.0021.1%7.1%14.5%0.0%25.6%2.5%-0.1%410.0K46.0M-535.3K0.7162.432,7371,93632,39718,506
2023-09-13$97.25$100.0026.2%7.5%14.5%21.5%26.1%2.6%-0.7%321.4K50.1M-544.5K1.0762.961,8151,95133,36819,128
2023-09-14$98.63$100.0024.3%7.0%11.4%13.6%24.8%3.5%-0.1%665.9K41.5M-604.8K1.8162.217371,33534,52320,653
2023-09-15$98.38$100.0025.0%7.2%11.2%16.5%25.6%3.1%-0.1%784.3K37.0M-607.1K0.9559.001,2211,15834,66820,026
2023-09-18$97.64$100.0024.9%7.1%11.3%16.1%25.9%4.0%-0.5%559.9K21.7M-618.7K0.4759.301,56573929,33316,707
2023-09-19$97.20$100.0027.2%7.8%11.2%25.8%26.6%3.4%-0.4%597.5K23.0M-627.7K0.2212.082,55356630,49617,023
2023-09-20$96.75$100.0027.0%7.7%11.1%25.2%28.0%3.9%-0.8%687.8K23.0M-638.1K0.5652.502,7701,54832,02417,237
2023-09-21$93.28$100.0027.9%8.0%16.6%28.9%28.3%3.9%-0.0%-316.1K43.7M-634.4K1.1748.601,3621,59534,30418,513
2023-09-22$91.95$100.0029.0%8.3%16.7%33.5%28.1%4.5%-0.6%-845.9K55.9M-625.8K0.6544.682,7911,81934,91619,288
2023-09-25$92.15$100.0030.5%8.7%16.8%40.1%30.0%4.8%-1.8%-591.1K53.0M-646.1K1.2038.531,1851,42536,48319,675
2023-09-26$91.41$100.0031.3%9.0%16.8%43.7%30.1%5.3%-1.0%-592.0K55.9M-654.8K0.6445.641,15073237,06620,513
2023-09-27$89.69$100.0033.0%9.4%16.9%50.6%33.0%5.0%-2.4%-851.9K67.3M-623.1K0.2343.285,0711,18037,60020,619
2023-09-28$92.15$100.0031.5%9.0%20.5%44.6%31.8%4.7%-1.4%43.9K26.5M-768.6K0.5840.0877845041,85720,890
2023-09-29$91.54$100.0031.1%8.9%20.4%42.7%32.4%4.4%-1.0%-244.2K34.5M-737.0K0.5334.6789447441,42220,915