CCI Options History — August 2007

In August 2007, CCI traded between $35.08 and $39.30. ATM implied volatility averaged 31.2%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 5.6% (HV 20d: 36.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 3 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 3.86.

Notable Days

  • 2007-08-30: Highest Volume — 1,868 contracts
  • 2007-08-14: Largest IV spike — 75.8% change
  • 2007-08-06: Highest IV Rank — 100.0%
  • 2007-08-16: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.88$35.08$39.30$35.71$36.76
Max Pain$35.87$35.00$40.00$35.00$35.00
ATM IV31.2%18.3%39.1%31.6%33.8%
Expected Move9.2%5.5%11.2%9.0%9.7%
HV 20d36.8%22.5%42.4%22.5%38.1%
HV 60d27.6%22.4%30.5%22.4%30.2%
IV Rank74.4%24.5%100.0%89.4%80.3%
IV Percentile83.9%5.9%100.0%96.6%96.4%
Term Structure-0.2%-1.7%2.5%-1.7%-0.1%
VWIV31.5%22.1%39.1%31.5%33.8%
Skew 25d4.1%-1.7%7.6%5.7%3.0%
Skew 10d7.8%-6.0%20.0%5.5%1.7%
Call IV 25d29.0%20.2%36.8%22.9%30.7%
Put IV 25d33.0%24.2%42.9%28.6%33.7%
Bid-Ask Spread %19.729.6631.689.6615.51
Gamma HHI0.350.320.470.400.34
Net GEX-181.2K-637.8K302.5K111.6K-117.1K
Net DEX-7.1M-16.9M2.8M-8.2M-8.2M
Net VEX-114.2K-141.9K-82.6K-82.6K-117.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.860.0024.838.092.02
Total Volume471.30441,868800151
Total OI32,081.30421,99234,23621,99232,379

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$35.71$35.0031.6%9.0%22.5%89.4%31.5%5.7%-1.7%111.6K-8.2M-82.6K8.099.66887128,34313,649
2007-08-02$37.54$35.0019.0%5.5%29.0%31.0%26.5%0.6%1.7%-40.7K-10.6M-103.3K2.0531.682575278,02423,954
2007-08-03$36.75$35.0027.3%7.8%29.7%69.7%22.1%4.0%2.5%-242.8K-6.9M-115.8K1.5016.285338028,05524,214
2007-08-06$36.89$35.0036.3%9.5%29.7%100.0%33.2%6.2%-1.3%-211.8K-7.1M-117.5K1.9617.11821618,50224,653
2007-08-07$37.44$35.0033.2%9.4%30.0%86.9%30.6%7.6%-0.6%-94.5K-9.6M-113.5K5.6021.8715848,57924,683
2007-08-08$39.30$35.0027.8%8.1%34.2%64.4%28.8%6.3%-0.1%302.5K-16.9M-99.1K0.4130.486732738,58324,724
2007-08-09$38.99$35.0028.5%8.6%33.9%67.5%29.9%5.8%-0.2%211.4K-14.6M-117.5K0.6627.083542358,93124,893
2007-08-10$37.99$40.0023.8%9.2%35.3%47.8%33.9%4.2%-0.6%-12.6K-10.8M-119.7K0.6529.634873158,94525,092
2007-08-13$38.10$40.0018.3%9.0%35.3%24.5%31.2%4.0%0.1%-12.4K-11.2M-117.1K2.3130.0139909,10324,809
2007-08-14$36.81$40.0032.1%10.3%37.3%82.3%32.6%4.7%-1.1%-262.0K-6.9M-119.8K0.1221.94120149,09024,839
2007-08-15$35.54$40.0038.0%10.3%39.1%100.0%36.1%6.1%-0.7%-533.5K-806.3K-131.1K24.8319.72184479,16824,821
2007-08-16$35.08$35.0039.1%11.2%38.8%100.0%39.1%6.2%-1.4%-637.8K2.8M-141.9K3.0518.341504589,16525,071
2007-08-17$36.43$35.0035.5%10.2%41.5%86.5%33.3%6.6%0.6%-331.6K-5.2M-129.6K1.7617.332013539,13424,819
2007-08-20$36.34$35.0033.4%9.6%41.5%78.8%33.8%4.9%0.8%-334.9K-4.0M-121.0K22.7324.40153417,44923,862
2007-08-21$36.11$35.0032.1%9.2%41.5%73.8%32.1%4.9%1.2%-371.0K-2.8M-122.2K6.2023.3410627,45923,892
2007-08-22$37.22$35.0031.1%8.9%42.4%70.2%29.8%3.1%0.5%-159.7K-7.6M-110.3K1.7210.66901557,45923,870
2007-08-23$36.52$35.0030.9%8.9%41.7%69.2%30.9%2.0%0.6%-252.4K-5.7M-111.1K0.5012.8920107,48523,805
2007-08-24$37.21$35.0031.7%9.1%41.8%72.4%26.6%4.3%-0.2%-150.2K-7.7M-107.6K0.0014.8411207,49423,805
2007-08-27$37.03$35.0032.0%9.2%40.4%73.5%32.2%4.2%-0.2%-166.1K-7.3M-104.4K0.4915.95138687,50823,805
2007-08-28$35.89$35.0033.1%9.5%41.8%77.7%33.1%-1.7%-1.1%-328.8K-4.4M-108.0K1.9315.741052037,53323,762
2007-08-29$36.54$35.0033.5%9.6%41.9%79.0%0.0%1.4%-1.5%-223.2K-6.0M-107.2K0.0014.19407,58123,649
2007-08-30$36.03$35.0035.1%10.1%38.0%85.0%0.0%-0.4%-1.5%-311.1K-4.5M-109.1K0.1014.951,6981707,58123,649
2007-08-31$36.76$35.0033.8%9.7%38.1%80.3%33.8%3.0%-0.1%-117.1K-8.2M-117.1K2.0215.51501018,67523,704