CCI Options History — March 2007

In March 2007, CCI traded between $30.66 and $33.69. ATM implied volatility averaged 25.7%. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 2.9% (HV 20d: 28.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.24.

Notable Days

  • 2007-03-26: Highest Volume — 1,521 contracts
  • 2007-03-08: Largest IV drop — 38.5% change
  • 2007-03-29: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.53$30.66$33.69$32.08$32.13
Max Pain$34.77$30.00$35.00$35.00$35.00
ATM IV25.7%17.5%32.1%31.0%30.1%
Expected Move7.6%6.5%9.2%8.9%8.6%
HV 20d28.6%23.1%31.8%25.8%23.1%
HV 60d26.2%25.1%27.4%26.6%25.1%
Term Structure0.5%-3.4%4.2%-3.2%1.1%
VWIV25.9%20.8%32.2%20.8%30.1%
Skew 25d5.2%1.9%9.8%9.8%1.9%
Skew 10d9.3%2.4%15.8%15.8%4.4%
Call IV 25d23.7%18.7%26.2%18.7%26.2%
Put IV 25d28.9%27.1%31.4%28.6%28.1%
Bid-Ask Spread %14.988.9423.4814.0523.48
Gamma HHI0.320.260.400.340.33
Net GEX-50.7K-210.8K143.3K-144.8K53.8K
Net DEX-765.4K-3.4M4.0M1.2M-1.2M
Net VEX-95.1K-101.5K-87.2K-87.8K-101.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.240.0136.750.780.91
Total Volume426.045261,52185886
Total OI19,717.63618,41221,76718,41221,678

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$32.08$35.0031.0%8.9%25.8%0.0%20.8%9.8%-3.2%-144.8K1.2M-87.8K0.7814.054823765,08513,327
2007-03-02$31.48$35.0029.9%8.6%26.2%0.0%29.2%9.6%-3.4%-174.7K3.0M-94.3K4.3915.441566855,23913,471
2007-03-05$30.66$35.0031.1%7.8%26.7%0.0%24.3%5.2%-0.2%-210.8K4.0M-94.0K1.3018.763264255,19813,295
2007-03-06$31.38$35.0030.6%8.1%28.7%0.0%26.7%4.4%-1.1%-180.5K2.2M-92.7K5.429.30402175,31113,443
2007-03-07$31.59$35.0031.1%8.2%29.0%0.0%28.7%2.9%-1.8%-179.6K1.7M-98.1K0.8512.263553005,33513,494
2007-03-08$32.20$35.0019.2%8.2%29.4%0.0%28.6%3.9%-1.3%-177.0K611.0K-96.6K0.408.94149595,54613,722
2007-03-09$32.47$35.0019.8%8.2%29.6%0.0%25.2%3.3%-2.1%-154.8K75.4K-97.3K0.4812.10107515,65713,769
2007-03-12$33.36$35.0017.5%6.5%31.5%0.0%22.7%6.4%1.7%-84.8K-1.9M-92.7K0.0113.1790255,65713,792
2007-03-13$32.56$35.0021.2%6.8%31.8%0.0%25.5%4.6%0.6%-95.0K-607.2K-97.2K0.7611.981991516,08313,788
2007-03-14$32.41$35.0027.2%8.5%31.7%0.0%24.3%4.4%-0.6%-106.9K-93.4K-98.7K0.1314.93517656,10813,740
2007-03-15$32.74$35.0023.9%6.9%29.7%0.0%28.5%4.1%1.2%-75.1K-763.5K-98.8K1.6013.2710166,17313,759
2007-03-16$33.02$35.0023.9%6.8%29.9%0.0%25.8%4.4%0.9%-49.6K-1.5M-94.2K0.3014.1479246,18313,764
2007-03-19$33.28$35.0024.1%6.9%29.9%0.0%26.2%4.5%0.8%-25.5K-2.2M-93.3K1.2014.1955665,64513,445
2007-03-20$33.10$35.0023.3%6.7%29.9%0.0%23.3%6.0%1.6%-32.4K-1.8M-93.5K36.7515.0841475,69813,433
2007-03-21$33.69$35.0023.1%6.6%30.6%0.0%23.1%6.9%2.3%47.3K-3.4M-88.6K0.0911.86145135,69913,490
2007-03-22$33.46$30.0023.4%6.7%30.7%0.0%23.4%6.0%1.5%46.7K-3.1M-91.7K3.8612.9621815,76813,490
2007-03-23$33.47$35.0023.6%6.8%30.7%0.0%23.8%4.5%2.9%29.7K-3.0M-87.2K0.0319.161,110345,76813,543
2007-03-26$33.16$35.0024.6%7.1%30.3%0.0%24.6%5.9%4.0%102.8K-3.4M-95.8K0.1216.421,3641576,72013,552
2007-03-27$32.79$35.0025.0%7.2%25.5%0.0%27.1%5.6%4.2%143.3K-3.1M-101.4K0.8316.8148407,86513,702
2007-03-28$32.46$35.0030.9%8.9%25.0%0.0%0.0%4.7%2.0%101.6K-2.2M-98.4K0.0019.0202187,87813,708
2007-03-29$32.23$35.0032.1%9.2%24.2%0.0%32.2%5.6%-0.3%50.6K-1.4M-99.0K7.8022.3310787,87813,889
2007-03-30$32.13$35.0030.1%8.6%23.1%0.0%30.1%1.9%1.1%53.8K-1.2M-101.5K0.9123.4845417,87513,803