CCI Options History — July 2007

In July 2007, CCI traded between $35.51 and $38.57. ATM implied volatility averaged 23.3%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.8% (HV 20d: 21.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.64.

Notable Days

  • 2007-07-02: Highest Volume — 5,585 contracts
  • 2007-07-12: Largest IV spike — 43.2% change
  • 2007-07-31: Highest IV Rank — 99.0%
  • 2007-07-31: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.34$35.51$38.57$36.90$36.25
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV23.3%15.5%33.6%15.5%33.6%
Expected Move7.0%4.5%9.6%4.5%9.6%
HV 20d21.5%18.2%24.5%24.5%22.0%
HV 60d21.3%20.7%22.2%21.3%22.2%
IV Rank54.2%19.2%99.0%45.0%99.0%
IV Percentile45.9%3.8%99.3%22.2%99.3%
Term Structure0.3%-5.3%12.6%12.6%-5.3%
VWIV24.1%13.3%33.2%13.3%33.2%
Skew 25d3.1%-4.1%9.6%8.8%0.5%
Skew 10d5.3%-7.2%11.2%10.2%-2.2%
Call IV 25d22.5%11.0%32.8%11.0%31.9%
Put IV 25d25.6%19.8%32.4%19.8%32.4%
Bid-Ask Spread %18.2810.8226.4021.9621.40
Gamma HHI0.470.290.620.290.42
Net GEX310.6K217.3K445.3K385.6K238.4K
Net DEX-17.4M-31.2M-9.2M-31.2M-10.4M
Net VEX-74.3K-99.8K-67.6K-99.8K-80.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.009.820.012.05
Total Volume535615,5855,5851,328
Total OI22,71120,42127,21127,21121,353

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$36.90$35.0015.5%4.5%24.5%0.0%13.3%8.8%12.6%385.6K-31.2M-99.8K0.0121.965,5186712,47214,739
2007-07-03$36.99$35.0016.6%4.8%24.5%0.0%20.3%9.6%12.5%244.0K-16.0M-72.9K2.7021.61371007,88414,800
2007-07-05$36.87$35.0022.0%6.3%23.5%45.0%22.3%6.6%2.2%241.3K-15.8M-74.0K0.2421.21298727,89214,765
2007-07-06$37.35$35.0019.4%7.1%22.0%32.5%21.5%2.4%-1.3%262.4K-17.0M-73.1K0.2912.05223658,03814,750
2007-07-09$37.20$35.0021.8%7.5%21.9%44.1%25.9%2.4%-1.7%283.6K-16.9M-73.2K1.0411.541611688,20514,699
2007-07-10$36.87$35.0020.2%7.5%22.1%36.5%0.0%2.2%-1.1%270.5K-16.5M-75.1K0.0014.917108,34914,821
2007-07-11$37.40$35.0016.5%7.6%22.3%19.2%26.4%3.3%-1.8%244.3K-18.6M-72.0K0.7312.1241308,39814,821
2007-07-12$38.05$35.0023.6%6.8%22.7%52.4%23.7%3.7%-0.5%289.5K-19.6M-73.1K0.1410.82334488,40514,830
2007-07-13$37.99$35.0022.2%6.4%22.7%46.0%22.3%3.7%0.6%279.1K-20.2M-71.2K3.4418.5325868,56414,853
2007-07-16$38.04$35.0023.6%6.8%22.8%52.4%23.6%2.9%-0.7%269.1K-20.0M-72.2K0.3315.8646158,56714,886
2007-07-17$38.27$35.0022.6%6.5%20.8%47.5%22.7%3.5%0.2%296.2K-21.0M-67.6K0.0216.45796198,61014,882
2007-07-18$38.10$35.0022.2%6.4%20.4%45.6%27.1%3.9%0.7%398.9K-20.8M-72.5K9.8215.23111089,28214,889
2007-07-19$38.57$35.0022.3%6.4%19.0%46.2%22.5%5.1%0.3%445.3K-22.3M-70.8K0.7112.4249359,29014,785
2007-07-20$38.18$35.0022.6%6.5%19.0%47.6%0.0%3.1%0.8%431.7K-21.4M-69.7K0.5018.85190959,32914,811
2007-07-23$37.95$35.0023.4%6.7%19.3%51.1%23.3%1.8%-0.2%403.6K-15.6M-70.3K0.9815.4142417,61812,803
2007-07-24$37.87$35.0023.8%6.8%18.2%53.1%23.8%1.9%-0.5%403.0K-15.5M-69.8K0.1121.2398117,64012,842
2007-07-25$37.07$35.0026.7%7.7%19.8%66.7%24.9%2.4%-1.4%348.3K-13.7M-73.0K0.0226.4031957,71312,853
2007-07-26$36.05$35.0028.4%8.1%21.0%74.5%19.9%-0.5%-1.8%287.6K-11.3M-76.0K4.0326.321044197,99612,855
2007-07-27$35.51$35.0031.0%8.9%20.1%86.9%31.0%-4.1%-3.5%217.3K-9.2M-77.3K1.8625.9529548,09013,226
2007-07-30$36.63$35.0030.3%8.7%22.6%83.7%30.4%1.9%-3.4%282.0K-11.5M-76.8K5.4223.7312658,09113,235
2007-07-31$36.25$35.0033.6%9.6%22.0%99.0%33.2%0.5%-5.3%238.4K-10.4M-80.3K2.0521.404358938,10313,250