CCI Options History — September 2024

In September 2024, CCI traded between $113.40 and $120.47. ATM implied volatility averaged 24.2%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.7% (HV 20d: 18.4%). Max pain ranged from $100.00 to $115.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.40.

Notable Days

  • 2024-09-12: Highest Volume — 64,278 contracts
  • 2024-09-10: Largest IV drop — 9.3% change
  • 2024-09-30: Highest IV Rank — 41.6%
  • 2024-09-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.97$113.40$120.47$113.40$118.06
Max Pain$109.25$100.00$115.00$110.00$115.00
ATM IV24.2%21.8%28.1%23.2%28.1%
Expected Move7.0%6.5%8.1%6.6%8.1%
HV 20d18.4%14.2%21.4%18.8%21.0%
HV 60d22.1%21.6%22.5%22.2%22.3%
IV Rank19.6%6.6%41.6%14.1%41.6%
IV Percentile28.4%5.2%71.4%13.5%71.4%
Term Structure-0.4%-2.4%2.5%1.9%-2.4%
VWIV24.5%19.5%29.4%22.6%29.4%
Skew 25d2.7%1.8%5.2%5.2%3.6%
Skew 10d6.3%3.3%20.4%20.4%8.0%
Call IV 25d23.3%21.1%27.1%21.7%27.1%
Put IV 25d26.1%24.2%30.7%26.9%30.7%
Bid-Ask Spread %68.8861.7173.7862.2170.69
Gamma HHI0.290.170.380.170.33
Net GEX11.9M6.0M17.7M8.9M11.4M
Net DEX-205.4M-335.7M-115.0M-210.6M-168.1M
Net VEX-936.8K-997.3K-882.6K-975.3K-908.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.400.0117.310.350.35
Total Volume5,496.554764,2781,913686
Total OI69,290.6559,64079,98877,92761,436

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$113.40$110.0023.2%6.6%18.8%14.1%22.6%5.2%1.9%8.9M-210.6M-975.3K0.3562.211,42249148,07329,854
2024-09-04$113.56$110.0022.6%6.5%16.7%10.7%23.4%3.1%2.5%9.1M-214.8M-988.6K0.5571.5356831248,63330,035
2024-09-05$113.54$100.0022.5%6.7%14.2%10.6%24.1%2.5%-0.1%8.8M-213.0M-957.8K0.4666.7451423448,53430,157
2024-09-06$115.99$100.0022.6%6.9%15.8%10.7%25.3%2.5%-0.4%11.7M-257.1M-990.3K0.1361.711,69722348,78430,246
2024-09-09$117.48$100.0024.0%7.0%15.9%19.0%24.6%2.6%-0.7%14.3M-288.0M-941.3K1.0766.191,6161,72348,76130,243
2024-09-10$119.75$100.0021.8%6.7%16.9%6.6%23.9%2.5%-0.4%16.9M-328.6M-941.0K0.7263.273,1102,22849,00730,630
2024-09-11$119.80$100.0023.1%6.6%16.9%13.8%24.1%2.4%-0.3%17.0M-335.7M-903.3K17.3167.7177713,44949,78030,208
2024-09-12$119.44$100.0023.2%6.7%17.0%14.4%19.5%2.0%-0.1%17.7M-325.9M-904.0K0.0170.9663,34793149,76323,812
2024-09-13$118.19$110.0022.6%6.5%16.8%11.0%23.1%3.1%0.4%13.4M-188.4M-985.2K0.6373.751,02864339,90824,515
2024-09-16$120.47$110.0023.9%6.9%17.6%18.4%24.6%2.8%-0.5%15.6M-227.7M-966.3K1.1266.4079489240,08324,836
2024-09-17$119.61$110.0023.8%6.8%18.0%17.4%24.4%3.3%-0.5%15.2M-207.6M-997.3K1.4165.957271,02240,52725,523
2024-09-18$117.91$115.0023.7%6.8%19.2%17.1%24.2%3.0%-1.1%13.2M-176.1M-986.9K0.4471.111,19952440,84525,686
2024-09-19$115.16$115.0024.5%7.0%21.4%21.8%24.4%1.8%-0.3%8.7M-130.3M-919.6K0.2773.663,65499241,56125,807
2024-09-20$115.29$115.0024.8%7.1%21.3%23.4%25.4%1.9%-0.7%6.0M-126.8M-908.5K1.0173.7846146540,11026,029
2024-09-23$116.28$115.0024.8%7.1%19.6%23.2%24.0%2.4%-0.6%9.9M-139.3M-883.6K0.5267.3164633737,17022,470
2024-09-24$117.52$115.0024.2%6.9%19.8%19.8%24.8%2.5%-0.7%11.2M-157.9M-896.9K0.5568.9753529437,45822,626
2024-09-25$116.63$115.0025.7%7.4%20.1%28.4%25.2%2.4%-0.8%10.3M-148.1M-895.2K0.2271.2275516837,74122,717
2024-09-26$114.64$115.0026.5%7.6%21.1%32.5%26.3%2.5%-1.2%8.3M-115.0M-882.6K0.5570.7159432538,16222,766
2024-09-27$116.70$115.0027.5%7.9%20.7%38.1%26.8%2.8%-2.2%10.5M-148.4M-904.4K0.3073.6642212538,42022,897
2024-09-30$118.06$115.0028.1%8.1%21.0%41.6%29.4%3.6%-2.4%11.4M-168.1M-908.9K0.3570.6951017638,52922,907