CCI Options History — October 2007

In October 2007, CCI traded between $38.03 and $41.32. ATM implied volatility averaged 28.0%, placing in the 58.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 2.2% (HV 20d: 25.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 2.90.

Notable Days

  • 2007-10-19: Highest Volume — 7,009 contracts
  • 2007-10-11: Largest IV spike — 15.5% change
  • 2007-10-30: Highest IV Rank — 75.1%
  • 2007-10-30: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.61$38.03$41.32$40.78$41.07
Max Pain$36.96$35.00$40.00$35.00$35.00
ATM IV28.0%23.1%32.4%24.0%30.3%
Expected Move8.2%6.6%9.3%6.9%8.7%
HV 20d25.8%21.1%29.4%25.9%21.1%
HV 60d31.7%29.7%32.8%31.4%29.7%
IV Rank58.6%40.2%75.1%43.6%67.2%
IV Percentile69.2%34.0%93.3%46.0%79.9%
Term Structure0.3%-2.2%4.3%4.1%-1.7%
VWIV29.9%23.8%33.5%24.1%30.3%
Skew 25d3.9%-2.1%11.5%7.1%7.7%
Skew 10d5.4%-5.2%18.8%8.9%8.2%
Call IV 25d27.6%16.5%34.2%16.5%20.9%
Put IV 25d31.5%22.2%35.1%23.6%28.6%
Bid-Ask Spread %20.286.3232.708.588.96
Gamma HHI0.750.580.870.810.68
Net GEX670.7K307.6K838.5K725.7K583.2K
Net DEX-32.9M-43.4M-24.0M-43.4M-29.5M
Net VEX-91.9K-96.9K-86.7K-89.3K-92.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0029.190.620.11
Total Volume630.478557,0092161,043
Total OI34,969.47824,39540,69539,66425,583

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$40.78$35.0024.0%6.9%25.9%43.6%0.0%7.1%4.1%725.7K-43.4M-89.3K0.628.581338314,21925,445
2007-10-02$39.97$35.0023.1%6.6%27.4%40.2%0.0%11.5%4.3%805.5K-40.0M-90.9K0.308.4546913914,29725,468
2007-10-03$39.03$35.0024.2%6.9%28.3%44.3%24.1%9.2%3.1%838.5K-36.1M-96.6K3.4120.38227514,59325,556
2007-10-04$39.74$35.0023.8%6.8%28.7%42.8%23.8%1.7%3.9%836.6K-39.3M-93.8K6.366.32117014,59225,549
2007-10-05$38.90$40.0023.5%8.0%29.4%41.5%28.6%4.2%1.0%815.7K-35.0M-95.2K1.5620.7815624314,60025,599
2007-10-08$38.71$35.0024.3%8.1%29.4%44.4%31.7%3.6%0.2%800.0K-34.1M-96.9K0.4420.51904014,66425,809
2007-10-09$39.00$35.0024.7%8.1%26.5%46.2%28.3%3.7%0.1%824.1K-35.5M-95.6K11.3721.883034114,66925,798
2007-10-10$39.05$40.0024.5%8.2%26.4%45.3%28.6%3.9%-0.0%835.4K-35.7M-93.7K1.0322.51293014,65925,695
2007-10-11$38.89$40.0028.3%8.1%25.9%59.5%28.3%3.8%0.6%758.4K-34.8M-92.9K0.7723.641027914,65525,724
2007-10-12$39.00$40.0028.3%8.1%25.7%59.8%29.5%3.1%0.2%822.8K-35.2M-92.1K0.6222.82342114,64925,787
2007-10-15$38.41$40.0030.0%8.6%26.4%65.8%30.2%3.0%-0.7%726.5K-32.5M-90.6K0.9023.2651146014,67125,791
2007-10-16$38.03$40.0031.3%9.0%23.1%71.0%31.5%1.3%-2.2%373.7K-29.7M-88.3K0.9829.08454414,52126,158
2007-10-17$39.06$40.0029.8%8.5%24.6%65.1%33.2%2.9%-0.5%805.9K-33.7M-90.4K2.0022.05234614,53226,143
2007-10-18$38.62$40.0029.3%8.4%24.9%63.2%29.5%3.8%-0.4%633.3K-32.4M-89.3K29.1928.021646714,51926,176
2007-10-19$38.35$40.0029.4%8.4%24.7%63.7%32.4%3.5%-0.1%307.6K-31.2M-87.9K0.0027.506,9832614,52925,995
2007-10-22$39.31$35.0030.2%8.7%26.3%66.7%30.8%3.2%-0.3%590.8K-24.0M-93.8K0.2223.741994310,74213,653
2007-10-23$40.11$35.0029.9%8.6%27.1%65.4%31.7%5.0%0.2%591.0K-26.7M-92.1K1.0125.8222122310,83313,676
2007-10-24$40.44$35.0030.1%8.6%26.9%66.3%28.8%3.3%-0.0%572.6K-27.3M-93.6K1.3018.90577410,96313,843
2007-10-25$40.99$35.0032.0%9.2%24.2%73.5%31.5%6.8%-1.2%544.5K-29.3M-92.5K1.4132.7011516210,98713,906
2007-10-26$41.20$35.0030.1%8.6%24.1%66.4%30.1%-0.6%0.7%532.7K-30.1M-91.1K0.5316.8324513010,99714,001
2007-10-29$41.07$35.0031.4%9.0%24.1%71.1%31.4%-2.1%-1.2%543.5K-30.2M-88.5K1.2918.5710413410,99714,001
2007-10-30$41.32$35.0032.4%9.3%22.9%75.1%33.5%0.9%-1.9%557.3K-31.0M-86.7K1.3715.1639354011,07913,975
2007-10-31$41.07$35.0030.3%8.7%21.1%67.2%30.3%7.7%-1.7%583.2K-29.5M-92.7K0.118.9693710611,26814,315