CCI Options History — January 2007

In January 2007, CCI traded between $31.56 and $36.21. ATM implied volatility averaged 26.2%. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 0.9% (HV 20d: 25.3%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2007-01-19: Highest Volume — 3,788 contracts
  • 2007-01-09: Largest IV drop — 17.9% change
  • 2007-01-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.17$31.56$36.21$31.56$35.16
Max Pain$32.75$30.00$35.00$35.00$35.00
ATM IV26.2%22.1%33.8%30.8%28.0%
Expected Move7.5%6.3%9.2%8.8%8.0%
HV 20d25.3%24.4%25.9%25.9%24.4%
Term Structure0.2%-2.3%2.2%-0.7%-2.0%
VWIV25.7%22.1%30.4%29.7%28.0%
Skew 25d4.2%-1.9%9.3%9.3%3.0%
Skew 10d6.3%-4.4%14.3%12.5%3.7%
Call IV 25d22.1%17.7%30.1%20.7%22.0%
Put IV 25d26.2%19.4%32.0%30.0%25.0%
Bid-Ask Spread %8.895.1819.385.455.96
Gamma HHI0.460.330.800.800.35
Net GEX-259.4K-1.8M235.3K-1.8M86.2K
Net DEX-4.3M-21.1M10.2M10.2M-6.5M
Net VEX-100.0K-128.1K-86.7K-127.4K-91.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.001.480.481.48
Total Volume762.8523,7881,27952
Total OI32,116.7519,45141,55439,07219,819

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$31.56$35.0030.8%8.8%0.0%0.0%29.7%9.3%-0.7%-1.8M10.2M-127.4K0.485.4586641310,04929,023
2007-01-04$32.05$35.0031.6%9.0%0.0%0.0%30.4%0.8%-0.8%-1.5M6.6M-128.1K0.498.9430314710,64629,075
2007-01-05$32.09$30.0030.8%9.0%0.0%0.0%0.0%4.3%-1.7%-1.4M4.8M-123.9K0.0910.392702410,87629,172
2007-01-08$32.41$30.0033.8%9.2%0.0%0.0%27.7%4.7%-2.3%-1.1M2.2M-121.1K0.356.3335512611,11029,112
2007-01-09$32.75$30.0027.8%7.5%0.0%0.0%27.0%5.4%-0.2%-802.6K-288.7K-111.0K0.3110.701173611,28229,096
2007-01-10$33.43$30.0024.0%7.6%0.0%0.0%28.1%8.0%-0.2%-159.1K-4.2M-100.9K0.0010.92175011,31729,110
2007-01-11$33.90$30.0025.8%7.4%0.0%0.0%26.4%7.1%0.3%135.0K-5.9M-98.2K0.1513.866129011,36929,110
2007-01-12$34.38$30.0024.8%7.1%0.0%0.0%25.0%8.6%0.9%235.3K-9.0M-97.1K0.0318.968402711,67029,140
2007-01-16$34.17$30.0024.9%7.1%0.0%0.0%25.1%6.8%0.4%168.7K-7.3M-91.7K0.326.7579225711,43729,167
2007-01-17$34.16$30.0024.3%7.0%0.0%0.0%23.9%7.9%1.0%119.9K-6.2M-92.2K0.0419.384672011,36029,342
2007-01-18$34.46$30.0022.1%6.3%0.0%0.0%22.1%0.8%1.8%195.0K-7.8M-90.6K0.737.7586563311,33429,362
2007-01-19$36.21$35.0024.4%7.0%0.0%0.0%24.3%-0.1%0.3%95.5K-21.1M-86.7K0.985.181,9141,87411,65429,900
2007-01-22$35.95$35.0023.6%6.8%0.0%0.0%23.6%-1.9%1.4%57.9K-7.2M-89.6K0.666.321521015,65913,792
2007-01-23$35.22$35.0023.6%6.8%0.0%0.0%23.5%3.8%1.2%64.8K-5.7M-93.4K0.497.2195475,68513,808
2007-01-24$35.24$35.0022.5%6.5%0.0%0.0%22.5%3.2%2.2%78.5K-5.6M-89.0K0.375.904331625,67313,793
2007-01-25$34.90$35.0022.4%6.4%25.9%0.0%22.4%1.5%2.1%130.1K-5.2M-95.4K0.597.9680475,96413,874
2007-01-26$35.41$35.0023.9%6.9%25.2%0.0%23.9%4.2%1.0%122.6K-6.6M-91.8K1.316.621822386,01713,883
2007-01-29$34.89$35.0026.6%7.6%25.8%0.0%26.6%1.6%-0.3%113.8K-5.2M-90.9K1.106.249341,0256,03413,905
2007-01-30$35.11$35.0027.6%7.9%25.1%0.0%27.6%4.3%-1.3%77.8K-5.4M-89.8K0.486.973281575,86013,856
2007-01-31$35.16$35.0028.0%8.0%24.4%0.0%28.0%3.0%-2.0%86.2K-6.5M-91.0K1.485.9621316,05513,764