CCI Options History — April 2007

Name: CCI Options Analytics - April 2007
Creator: Options Analysis Suite

In April 2007, CCI traded between $32.26 and $35.16. ATM implied volatility averaged 26.4%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 10.5% (HV 20d: 15.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.22.

Notable Days

2007-04-12: Highest Volume — 2,224 contracts
2007-04-12: Largest IV spike — 77.1% change
2007-04-02: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.94	$32.26	$35.16	$32.30	$34.34
Max Pain	$34.50	$30.00	$35.00	$35.00	$35.00
ATM IV	26.4%	15.6%	33.3%	33.3%	25.0%
Expected Move	8.0%	6.9%	9.5%	9.5%	7.2%
HV 20d	15.9%	12.4%	20.8%	20.8%	14.7%
HV 60d	23.5%	22.0%	24.9%	24.9%	22.3%
Term Structure	-1.5%	-4.1%	3.2%	-2.2%	-1.0%
VWIV	27.5%	24.2%	33.4%	33.4%	25.0%
Skew 25d	4.3%	-5.2%	10.9%	5.1%	0.1%
Skew 10d	6.8%	-9.2%	17.4%	6.6%	1.4%
Call IV 25d	24.1%	15.8%	30.2%	27.4%	22.5%
Put IV 25d	28.4%	20.8%	32.5%	32.5%	22.6%
Bid-Ask Spread %	12.68	5.24	28.92	24.39	7.17
Gamma HHI	0.51	0.34	0.78	0.34	0.51
Net GEX	493.2K	69.7K	1.8M	73.2K	448.4K
Net DEX	-6.5M	-10.9M	-1.0M	-1.4M	-6.3M
Net VEX	-97.4K	-100.7K	-92.0K	-97.2K	-97.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.05	7.20	0.05	1.09
Total Volume	449.05	41	2,224	459	338
Total OI	22,750.35	20,683	25,119	21,719	21,603

Daily Data (20 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
2007-04-02	$32.30	$35.00	33.3%	9.5%	20.8%	0.0%	33.4%	5.1%	-2.2%	73.2K	-1.4M	-97.2K	0.05	24.39	439	20	7,893	13,826
2007-04-03	$32.49	$35.00	30.9%	8.8%	19.4%	0.0%	25.6%	3.6%	2.8%	122.2K	-2.0M	-96.9K	0.35	26.73	523	182	8,117	13,826
2007-04-04	$32.30	$35.00	31.2%	9.0%	19.4%	0.0%	0.0%	4.1%	0.3%	87.0K	-1.4M	-97.1K	7.20	13.54	5	36	8,101	14,001
2007-04-05	$32.26	$35.00	28.1%	8.0%	18.2%	0.0%	27.6%	10.4%	3.2%	69.7K	-1.0M	-99.3K	0.15	19.67	157	23	8,106	13,993
2007-04-09	$32.82	$35.00	15.6%	8.4%	19.0%	0.0%	29.8%	3.5%	-3.8%	152.4K	-2.6M	-92.0K	2.72	7.48	198	539	8,197	14,009
2007-04-10	$33.06	$35.00	25.8%	8.3%	16.5%	0.0%	29.6%	5.1%	-3.5%	240.2K	-3.5M	-98.0K	2.01	10.19	122	245	8,244	14,448
2007-04-11	$32.98	$30.00	16.3%	8.3%	13.9%	0.0%	29.0%	3.8%	-3.4%	178.8K	-2.7M	-96.3K	1.28	8.24	72	92	8,288	14,612
2007-04-12	$33.72	$30.00	28.9%	8.3%	15.7%	0.0%	29.2%	1.5%	-3.9%	405.1K	-5.2M	-94.9K	0.93	11.53	1,154	1,070	8,303	14,602
2007-04-13	$34.15	$35.00	27.1%	7.8%	15.9%	0.0%	26.8%	8.9%	-2.7%	579.4K	-7.9M	-100.1K	0.30	14.96	246	74	8,987	15,663
2007-04-16	$34.51	$35.00	28.5%	8.2%	16.1%	0.0%	28.5%	8.6%	-3.3%	685.8K	-9.2M	-100.5K	0.46	18.58	205	94	9,068	15,716
2007-04-17	$34.65	$35.00	29.0%	8.3%	15.9%	0.0%	28.5%	9.9%	-3.4%	736.4K	-9.9M	-100.0K	0.64	18.92	113	72	9,099	15,778
2007-04-18	$34.80	$35.00	29.5%	8.5%	15.7%	0.0%	30.3%	2.1%	-4.1%	818.7K	-10.3M	-99.5K	1.29	28.92	72	93	9,105	15,830
2007-04-19	$34.78	$35.00	28.1%	8.0%	14.7%	0.0%	28.0%	2.2%	-2.9%	1.1M	-10.1M	-98.9K	0.50	5.60	131	65	9,148	15,923
2007-04-20	$34.93	$35.00	27.3%	7.8%	14.4%	0.0%	26.7%	-5.2%	-2.0%	1.8M	-10.9M	-99.0K	0.14	7.12	409	58	9,176	15,943
2007-04-23	$34.81	$35.00	25.5%	7.3%	14.5%	0.0%	25.5%	-0.3%	0.1%	405.5K	-8.1M	-96.3K	0.22	6.48	652	145	6,700	13,983
2007-04-24	$34.69	$35.00	25.2%	7.2%	14.0%	0.0%	25.2%	10.9%	-0.3%	443.8K	-8.1M	-100.7K	1.52	5.60	44	67	6,961	14,056
2007-04-25	$35.16	$35.00	24.1%	6.9%	13.6%	0.0%	24.2%	4.1%	1.1%	499.5K	-9.8M	-93.2K	0.59	6.38	301	178	6,978	14,113
2007-04-26	$35.11	$35.00	24.6%	7.1%	12.8%	0.0%	24.6%	4.2%	0.5%	490.9K	-9.7M	-93.3K	0.68	6.87	161	110	6,994	14,214
2007-04-27	$35.00	$35.00	24.3%	7.0%	12.4%	0.0%	24.3%	3.6%	-0.8%	513.8K	-9.3M	-97.8K	2.19	5.24	149	327	7,116	14,287
2007-04-30	$34.34	$35.00	25.0%	7.2%	14.7%	0.0%	25.0%	0.1%	-1.0%	448.4K	-6.3M	-97.5K	1.09	7.17	162	176	7,108	14,495