CCI Options History — May 2007

In May 2007, CCI traded between $34.03 and $36.82. ATM implied volatility averaged 23.8%. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.2% (HV 20d: 20.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 5.25.

Notable Days

  • 2007-05-16: Highest Volume — 2,410 contracts
  • 2007-05-03: Largest IV drop — 26.2% change
  • 2007-05-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.33$34.03$36.82$34.67$36.82
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.8%21.6%30.6%26.4%21.6%
Expected Move6.8%6.2%8.8%7.6%6.2%
HV 20d20.6%14.8%23.7%14.8%23.0%
HV 60d22.1%19.2%23.3%22.3%19.2%
Term Structure-0.4%-4.6%1.2%-2.1%1.2%
VWIV23.4%16.0%31.3%26.4%21.9%
Skew 25d5.5%0.1%15.1%1.1%6.0%
Skew 10d7.5%0.7%24.8%2.7%9.7%
Call IV 25d17.5%14.8%22.9%22.9%14.8%
Put IV 25d23.0%19.1%37.6%24.0%20.8%
Bid-Ask Spread %9.344.4920.306.6820.30
Gamma HHI0.400.240.740.500.30
Net GEX266.9K-20.2K670.6K430.1K73.2K
Net DEX-8.5M-15.7M-3.5M-6.8M-11.0M
Net VEX-88.5K-98.9K-48.0K-98.9K-81.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.250.0243.670.871.27
Total Volume523.682792,410183111
Total OI21,369.45511,25223,79921,76820,286

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$34.67$35.0026.4%7.6%14.8%0.0%26.4%1.1%-2.1%430.1K-6.8M-98.9K0.876.6898857,11714,651
2007-05-02$35.19$35.0030.6%8.8%15.4%0.0%31.3%15.1%-4.6%404.9K-9.5M-97.9K1.625.416109877,16714,691
2007-05-03$34.17$35.0022.6%6.5%19.2%0.0%22.6%0.1%0.7%403.6K-4.6M-97.2K1.098.883543857,23015,212
2007-05-04$34.30$35.0024.6%6.9%19.1%0.0%24.0%7.2%-0.8%401.6K-5.4M-97.9K2.3318.311974597,29515,255
2007-05-07$34.03$35.0026.0%6.9%18.7%0.0%24.0%6.5%-1.0%314.3K-3.5M-97.0K25.1018.98102517,40615,520
2007-05-08$34.17$35.0024.9%6.7%18.6%0.0%25.2%7.8%-0.2%367.9K-4.0M-96.4K0.6118.7964397,40615,485
2007-05-09$35.02$35.0023.6%6.9%20.2%0.0%24.2%2.8%-0.9%516.4K-8.2M-96.8K0.136.17149207,41315,478
2007-05-10$34.50$35.0024.0%6.9%19.9%0.0%23.4%0.6%-0.7%489.8K-5.2M-93.2K0.955.171061017,45015,473
2007-05-11$34.95$35.0022.7%6.5%19.9%0.0%22.7%3.1%0.6%637.9K-7.9M-96.0K0.776.13124967,50415,496
2007-05-14$35.56$35.0023.0%6.6%20.5%0.0%16.0%5.8%0.8%670.6K-9.4M-48.0K1.255.942483095,8045,448
2007-05-15$35.52$35.0023.3%6.7%20.5%0.0%23.3%5.4%-0.1%667.9K-11.9M-86.2K3.227.65953067,61315,728
2007-05-16$35.96$35.0023.2%6.6%20.8%0.0%0.0%6.6%-0.3%171.1K-15.7M-83.3K0.026.082,353577,66315,887
2007-05-17$35.59$35.0022.9%6.6%21.2%0.0%0.0%5.6%-0.2%49.5K-14.2M-82.7K0.136.75536727,47015,905
2007-05-18$35.63$35.0023.3%6.7%21.2%0.0%23.2%5.7%-0.4%140.2K-14.8M-87.0K0.486.482941417,83415,965
2007-05-21$36.31$35.0023.1%6.6%22.0%0.0%22.1%7.5%1.0%25.5K-8.5M-88.2K10.288.15686995,66214,443
2007-05-22$35.87$35.0024.2%6.9%22.5%0.0%24.2%6.9%-0.5%33.9K-7.7M-85.0K0.547.53127695,68314,335
2007-05-23$36.08$35.0022.1%6.3%22.2%0.0%22.1%6.9%-0.0%61.4K-8.6M-84.6K43.679.1993935,79014,351
2007-05-24$35.29$35.0021.9%6.3%23.7%0.0%21.9%3.2%0.5%-4.3K-6.4M-89.0K7.477.98322395,78914,488
2007-05-25$35.44$35.0022.7%6.5%23.7%0.0%22.7%4.5%-0.6%-20.2K-6.8M-88.2K12.094.49789435,79214,598
2007-05-29$35.78$35.0023.2%6.6%22.7%0.0%23.0%5.5%-1.0%5.7K-7.8M-86.9K1.558.6731485,82814,352
2007-05-30$36.41$35.0023.1%6.6%23.2%0.0%0.0%6.7%0.1%31.5K-9.3M-86.0K0.0411.7212355,81614,349
2007-05-31$36.82$35.0021.6%6.2%23.0%0.0%21.9%6.0%1.2%73.2K-11.0M-81.0K1.2720.3049625,93214,354