CCI Options History — June 2007 In June 2007, CCI traded between $34.08 and $37.47. ATM implied volatility averaged 20.6%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.6% (HV 20d: 21.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.67.
Notable Days 2007-06-27 : Highest Volume — 8,312 contracts2007-06-06 : Largest IV spike — 19.3% change2007-06-04 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.71 $34.08 $37.47 $37.32 $36.27 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 20.6% 12.4% 24.8% 12.4% 20.2% Expected Move 6.1% 3.5% 6.9% 3.5% 5.8% HV 20d 21.3% 19.5% 23.7% 20.0% 23.6% HV 60d 19.4% 18.5% 21.0% 19.3% 21.0% Term Structure 3.1% 0.8% 11.4% 11.4% 4.4% VWIV 21.3% 20.2% 22.5% 21.1% 20.2% Skew 25d 5.7% 0.3% 11.5% 2.5% 4.0% Skew 10d 9.9% -0.7% 19.4% 4.7% 15.5% Call IV 25d 18.6% 14.7% 23.7% 19.9% 16.2% Put IV 25d 24.3% 20.0% 28.6% 22.4% 20.2% Bid-Ask Spread % 15.08 3.41 29.82 4.01 3.41 Gamma HHI 0.28 0.23 0.40 0.29 0.32 Net GEX 31.6K -315.2K 424.1K 134.8K 424.1K Net DEX -9.9M -33.5M -3.2M -12.5M -33.5M Net VEX -81.9K -121.7K -70.5K -75.6K -121.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.67 0.00 11.33 1.06 0.16 Total Volume 877.476 31 8,312 130 1,245 Total OI 20,975.238 19,659 28,838 20,368 28,838
Daily Data (21 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 2007-06-01 $37.32 $35.00 12.4% 3.5% 20.0% 0.0% 0.0% 2.5% 11.4% 134.8K -12.5M -75.6K 1.06 4.01 63 67 5,953 14,415 2007-06-04 $37.35 $35.00 14.7% 6.9% 20.0% 0.0% 0.0% 2.9% 0.8% 142.8K -12.7M -74.7K 0.00 11.71 31 0 5,979 14,377 2007-06-05 $37.47 $35.00 17.5% 6.1% 19.5% 0.0% 21.1% 1.8% 3.3% 150.2K -13.3M -70.5K 0.46 13.84 1,007 465 5,990 14,377 2007-06-06 $36.73 $35.00 20.9% 6.3% 21.4% 0.0% 22.0% 1.3% 1.9% 54.5K -10.3M -75.3K 0.09 10.12 33 3 5,657 14,226 2007-06-07 $35.84 $35.00 23.5% 6.6% 22.1% 0.0% 21.0% 4.6% 2.6% -31.0K -7.9M -80.8K 0.57 29.82 457 262 5,667 14,223 2007-06-08 $35.63 $35.00 21.9% 6.5% 21.5% 0.0% 0.0% 4.7% 2.3% -52.1K -7.5M -82.7K 1.42 21.08 36 51 5,840 14,340 2007-06-11 $35.50 $35.00 24.8% 6.2% 21.1% 0.0% 21.8% 3.9% 2.9% -78.3K -6.8M -81.0K 6.36 20.78 36 229 5,746 14,391 2007-06-12 $35.24 $35.00 22.8% 6.2% 20.3% 0.0% 21.7% 10.3% 3.2% -171.3K -5.8M -80.6K 3.23 20.06 60 194 5,733 14,529 2007-06-13 $35.10 $35.00 21.4% 6.4% 20.4% 0.0% 22.2% 3.4% 2.3% -216.0K -5.4M -78.9K 0.59 20.07 135 79 5,675 14,450 2007-06-14 $35.16 $35.00 21.4% 6.1% 19.8% 0.0% 21.4% 10.0% 3.3% -315.2K -5.8M -79.5K 0.49 20.01 59 29 5,785 14,464 2007-06-15 $35.35 $35.00 20.8% 6.0% 19.6% 0.0% 20.8% 11.3% 3.3% -149.2K -7.3M -79.1K 2.94 21.73 68 200 5,816 14,462 2007-06-18 $36.37 $35.00 22.5% 6.4% 22.2% 0.0% 22.5% 0.3% 1.4% 68.6K -8.7M -72.8K 11.33 20.91 43 487 5,545 14,114 2007-06-19 $35.96 $35.00 21.5% 6.2% 21.5% 0.0% 21.5% 6.3% 2.5% -21.0K -7.5M -75.7K 0.64 8.28 53 34 5,556 14,583 2007-06-20 $35.32 $35.00 21.9% 6.3% 22.0% 0.0% 22.0% 3.8% 1.9% 32.5K -6.2M -77.3K 0.26 8.67 162 42 5,570 14,207 2007-06-21 $34.95 $35.00 20.5% 5.9% 22.1% 0.0% 20.5% 11.3% 2.9% 36.9K -5.4M -78.5K 0.85 21.75 237 201 5,674 14,203 2007-06-22 $34.93 $35.00 20.4% 5.9% 20.8% 0.0% 20.4% 11.5% 2.9% 52.8K -5.6M -80.2K 0.00 21.46 238 0 5,905 14,382 2007-06-25 $34.43 $35.00 21.3% 6.1% 21.2% 0.0% 21.3% 9.7% 2.1% 64.9K -4.5M -79.4K 0.93 8.19 45 42 6,100 14,382 2007-06-26 $34.08 $35.00 20.8% 6.0% 21.0% 0.0% 0.0% 8.6% 2.5% 43.1K -3.2M -78.4K 3.61 10.31 49 177 6,100 14,420 2007-06-27 $35.00 $35.00 21.2% 6.1% 22.4% 0.0% 21.2% 3.0% 3.6% 79.7K -5.8M -80.0K 0.00 8.68 8,302 10 6,126 14,498 2007-06-28 $35.83 $35.00 20.8% 6.0% 23.7% 0.0% 20.8% 5.0% 3.1% 411.9K -32.2M -116.8K 0.06 11.83 3,304 192 13,679 14,503 2007-06-29 $36.27 $35.00 20.2% 5.8% 23.6% 0.0% 20.2% 4.0% 4.4% 424.1K -33.5M -121.7K 0.16 3.41 1,072 173 14,215 14,623
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