CCI Options History — February 2007 In February 2007, CCI traded between $32.71 and $35.39. ATM implied volatility averaged 23.9%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 0.5% (HV 20d: 23.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.07.
Notable Days 2007-02-08 : Highest Volume — 2,259 contracts2007-02-28 : Largest IV drop — 15.4% change2007-02-01 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $34.60 $32.71 $35.39 $34.84 $32.71 Max Pain $34.47 $30.00 $35.00 $35.00 $35.00 ATM IV 23.9% 19.7% 28.0% 27.4% 19.7% Expected Move 6.8% 5.6% 7.8% 7.8% 5.6% HV 20d 23.4% 19.0% 27.1% 24.3% 25.2% Term Structure -0.5% -2.4% 0.5% -1.2% -2.4% VWIV 23.5% 18.5% 27.4% 27.4% 25.0% Skew 25d 3.2% -8.1% 11.3% 0.7% -8.1% Skew 10d 5.7% -6.9% 17.8% 1.4% -6.9% Call IV 25d 20.1% 16.5% 26.6% 23.3% 25.3% Put IV 25d 23.3% 17.2% 29.5% 24.0% 17.2% Bid-Ask Spread % 16.48 3.60 91.67 3.60 19.90 Gamma HHI 0.35 0.25 0.54 0.36 0.32 Net GEX 67.7K -130.7K 361.6K 78.0K -130.7K Net DEX -4.5M -9.7M 190.2K -5.4M -3.9K Net VEX -85.5K -92.2K -78.7K -90.5K -83.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.07 0.00 5.29 0.55 0.14 Total Volume 366 16 2,259 62 243 Total OI 19,754.263 18,004 21,433 19,839 18,416
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2007-02-01 $34.84 $35.00 27.4% 7.8% 24.3% 0.0% 27.4% 0.7% -1.2% 78.0K -5.4M -90.5K 0.55 3.60 40 22 6,048 13,791 2007-02-02 $35.14 $30.00 27.6% 7.5% 24.1% 0.0% 18.5% 3.6% -0.5% 86.1K -6.3M -90.4K 0.24 29.04 33 8 6,048 13,809 2007-02-05 $34.73 $30.00 27.3% 7.3% 24.7% 0.0% 25.4% 9.8% -0.7% 97.1K -4.8M -88.5K 5.29 21.14 38 201 6,060 13,809 2007-02-06 $34.50 $35.00 28.0% 7.3% 24.9% 0.0% 25.6% 10.3% -0.6% 65.7K -4.2M -92.2K 1.14 22.68 59 67 6,074 13,992 2007-02-07 $35.02 $35.00 24.2% 7.5% 25.1% 0.0% 25.8% 10.8% -1.2% 111.0K -5.9M -88.2K 0.66 19.12 249 165 6,080 14,021 2007-02-08 $35.15 $35.00 26.0% 7.5% 24.3% 0.0% 26.0% 11.3% -0.9% 119.5K -5.9M -88.3K 0.84 19.58 1,227 1,032 6,123 14,071 2007-02-09 $34.85 $35.00 22.2% 6.4% 24.2% 0.0% 22.1% 1.5% 0.5% 233.3K -5.2M -89.3K 0.78 8.08 673 526 6,752 14,681 2007-02-12 $34.12 $35.00 22.9% 6.6% 25.0% 0.0% 22.8% 8.1% -0.4% 10.7K 190.2K -87.8K 1.91 19.78 66 126 6,735 14,687 2007-02-13 $34.22 $35.00 22.8% 6.5% 24.9% 0.0% 22.8% 0.1% 0.2% 88.0K -700.5K -87.9K 0.89 6.00 218 195 6,757 14,516 2007-02-14 $35.27 $35.00 23.1% 6.6% 27.1% 0.0% 23.0% 3.9% 0.0% 361.6K -9.0M -82.0K 0.14 6.52 463 66 6,788 14,541 2007-02-15 $35.39 $35.00 23.5% 6.7% 27.0% 0.0% 23.3% 4.4% -0.5% 196.4K -9.7M -80.8K 0.56 5.58 138 77 6,605 14,537 2007-02-16 $34.88 $35.00 22.4% 6.4% 20.6% 0.0% 22.4% 2.7% 0.5% 268.9K -5.0M -85.2K 0.58 6.85 57 33 6,566 14,584 2007-02-20 $34.84 $35.00 22.8% 6.5% 20.5% 0.0% 22.8% 2.6% 0.2% -35.6K -5.0M -82.3K 0.47 7.62 19 9 4,890 13,114 2007-02-21 $34.55 $35.00 22.7% 6.5% 19.5% 0.0% 22.7% 1.0% -0.5% -44.0K -4.2M -81.1K 2.93 6.68 118 346 4,885 13,123 2007-02-22 $34.50 $35.00 22.4% 6.4% 19.5% 0.0% 22.4% 0.8% -0.5% -48.7K -4.1M -78.7K 0.21 6.60 48 10 4,965 13,296 2007-02-23 $34.45 $35.00 22.4% 6.4% 19.2% 0.0% 22.4% 0.5% -0.8% -47.6K -3.9M -82.6K 0.00 5.94 16 0 5,007 13,306 2007-02-26 $34.90 $35.00 22.6% 6.5% 19.0% 0.0% 22.6% 1.7% -0.7% -35.7K -5.1M -81.4K 0.53 6.75 62 33 5,006 13,306 2007-02-27 $33.28 $35.00 23.2% 6.7% 24.9% 0.0% 23.8% -4.2% -0.9% -88.0K -1.6M -84.1K 2.47 91.67 78 193 5,028 13,314 2007-02-28 $32.71 $35.00 19.7% 5.6% 25.2% 0.0% 25.0% -8.1% -2.4% -130.7K -3.9K -83.2K 0.14 19.90 214 29 4,982 13,434
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