CCI Options History — September 2007

In September 2007, CCI traded between $35.59 and $40.89. ATM implied volatility averaged 27.7%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 3.3% (HV 20d: 31.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.66.

Notable Days

2007-09-05: Highest Volume — 2,436 contracts
2007-09-14: Largest IV drop — 11.1% change
2007-09-04: Highest IV Rank — 78.8%
2007-09-04: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.00	$35.59	$40.89	$36.83	$40.63
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	27.7%	23.6%	33.4%	33.4%	24.0%
Expected Move	7.9%	6.8%	9.6%	9.6%	6.9%
HV 20d	31.0%	25.1%	38.1%	38.1%	26.4%
HV 60d	30.9%	30.1%	31.6%	30.1%	31.5%
IV Rank	57.3%	42.1%	78.8%	78.8%	43.6%
IV Percentile	67.7%	43.2%	94.0%	94.0%	46.8%
Term Structure	1.7%	-1.7%	4.0%	-1.7%	3.6%
VWIV	27.5%	23.8%	31.2%	26.9%	23.8%
Skew 25d	5.7%	-0.7%	12.1%	4.5%	12.1%
Skew 10d	10.3%	-4.8%	21.5%	2.1%	20.6%
Call IV 25d	24.0%	15.3%	32.0%	28.3%	16.6%
Put IV 25d	29.8%	27.2%	33.3%	32.8%	28.7%
Bid-Ask Spread %	14.86	7.05	23.48	23.48	7.05
Gamma HHI	0.44	0.28	0.81	0.34	0.80
Net GEX	579.9K	-91.0K	1.1M	-91.0K	745.6K
Net DEX	-26.3M	-42.6M	-8.5M	-8.5M	-41.9M
Net VEX	-107.6K	-123.6K	-91.4K	-109.3K	-93.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.00	17.73	0.03	0.43
Total Volume	647.579	18	2,436	1,739	274
Total OI	37,755	32,413	40,372	32,413	39,575

Daily Data (19 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
2007-09-04	$36.83	$35.00	33.4%	9.6%	38.1%	78.8%	26.9%	4.5%	-1.7%	-91.0K	-8.5M	-109.3K	0.03	23.48	1,696	43	8,667	23,746
2007-09-05	$36.25	$35.00	32.3%	9.3%	38.0%	74.6%	0.0%	-0.7%	-0.8%	-84.4K	-9.4M	-111.7K	0.02	22.51	2,386	50	9,633	23,757
2007-09-06	$36.31	$35.00	29.4%	8.4%	33.2%	63.6%	29.4%	9.2%	-1.5%	282.8K	-16.0M	-117.3K	0.24	9.47	1,523	365	11,878	23,799
2007-09-07	$35.76	$35.00	28.3%	8.1%	33.4%	59.7%	28.1%	3.1%	2.4%	305.0K	-15.6M	-123.6K	1.62	13.06	37	60	12,955	24,021
2007-09-10	$35.59	$35.00	30.2%	8.6%	32.4%	66.7%	30.0%	4.7%	0.3%	218.1K	-14.2M	-123.5K	17.73	18.41	22	390	12,955	24,063
2007-09-11	$36.99	$35.00	30.6%	8.7%	35.6%	68.0%	27.1%	3.6%	0.3%	448.8K	-21.4M	-115.2K	0.11	22.87	784	83	12,942	24,433
2007-09-12	$36.84	$35.00	28.6%	8.5%	33.5%	60.9%	30.1%	3.2%	1.5%	486.3K	-21.2M	-116.4K	0.00	9.78	0	104	13,537	24,491
2007-09-13	$37.49	$35.00	30.4%	8.7%	31.3%	67.3%	28.7%	3.5%	-0.4%	629.5K	-24.2M	-114.3K	0.00	10.35	76	0	13,537	24,440
2007-09-14	$37.86	$35.00	27.0%	7.7%	30.8%	54.7%	27.4%	5.9%	2.3%	707.2K	-26.2M	-109.5K	0.19	7.26	206	40	13,561	24,440
2007-09-17	$37.76	$35.00	28.2%	8.1%	28.1%	59.3%	30.2%	3.5%	1.4%	653.6K	-26.3M	-105.6K	0.93	9.47	86	80	13,667	24,433
2007-09-18	$39.14	$35.00	25.9%	7.4%	30.5%	50.5%	26.6%	7.3%	3.4%	1.1M	-33.2M	-93.3K	1.08	15.93	75	81	13,691	24,429
2007-09-19	$38.57	$35.00	26.5%	7.6%	31.0%	52.7%	27.6%	5.7%	2.5%	807.8K	-30.3M	-95.1K	0.98	13.55	1,141	1,121	13,744	24,502
2007-09-20	$38.57	$35.00	26.2%	7.5%	29.4%	51.6%	27.0%	5.5%	2.7%	839.5K	-31.1M	-111.1K	0.03	14.27	29	1	14,842	25,503
2007-09-21	$38.99	$35.00	25.6%	7.3%	28.5%	49.4%	25.6%	6.7%	3.6%	902.1K	-33.3M	-109.2K	0.26	16.23	84	22	14,869	25,503
2007-09-24	$39.15	$35.00	25.6%	7.3%	27.9%	49.3%	26.2%	5.8%	2.8%	776.7K	-34.4M	-102.5K	0.78	20.84	209	162	13,830	24,880
2007-09-25	$38.94	$35.00	25.3%	7.2%	27.9%	48.2%	25.3%	5.4%	2.9%	793.1K	-34.1M	-103.3K	0.00	19.78	18	0	13,907	24,953
2007-09-26	$39.46	$35.00	25.1%	7.2%	25.1%	47.5%	31.2%	8.3%	2.7%	781.0K	-36.4M	-98.7K	5.13	20.53	78	400	13,913	24,953
2007-09-27	$40.89	$35.00	23.6%	6.8%	27.0%	42.1%	23.8%	11.9%	4.0%	694.2K	-42.6M	-91.4K	0.36	7.45	425	153	13,957	25,339
2007-09-28	$40.63	$35.00	24.0%	6.9%	26.4%	43.6%	23.8%	12.1%	3.6%	745.6K	-41.9M	-93.6K	0.43	7.05	191	83	14,145	25,430