CCI Options History — November 2007

In November 2007, CCI traded between $36.86 and $41.95. ATM implied volatility averaged 31.0%, placing in the 69.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.6% (HV 20d: 33.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 3.06.

Notable Days

  • 2007-11-29: Highest Volume — 3,615 contracts
  • 2007-11-09: Largest IV spike — 36.0% change
  • 2007-11-12: Highest IV Rank — 92.7%
  • 2007-11-09: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.18$36.86$41.95$39.95$41.95
Max Pain$39.52$35.00$40.00$35.00$40.00
ATM IV31.0%27.1%37.2%29.4%29.4%
Expected Move8.7%7.9%9.9%8.4%8.4%
HV 20d33.7%21.8%39.4%22.8%37.4%
HV 60d29.8%27.5%31.7%28.6%29.8%
IV Rank69.8%55.2%92.7%63.8%63.8%
IV Percentile80.8%60.9%99.1%74.8%69.1%
Term Structure1.1%-1.9%2.8%0.5%0.9%
VWIV29.0%18.0%33.9%28.3%24.5%
Skew 25d4.3%0.9%6.9%1.1%4.8%
Skew 10d9.2%-1.9%17.0%1.2%4.1%
Call IV 25d27.6%21.8%30.3%24.5%24.2%
Put IV 25d31.9%25.6%35.0%25.6%29.0%
Bid-Ask Spread %21.437.3434.267.3418.74
Gamma HHI0.540.400.680.660.40
Net GEX541.1K432.6K794.3K511.7K432.6K
Net DEX-23.2M-33.7M-14.8M-25.4M-23.5M
Net VEX-98.9K-110.2K-91.9K-95.6K-110.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.060.0023.701.141.95
Total Volume646.524443,615148378
Total OI26,818.28625,40228,99325,52628,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$39.95$35.0029.4%8.4%22.8%63.8%28.3%1.1%0.5%511.7K-25.4M-95.6K1.147.34697911,18614,340
2007-11-02$40.55$35.0028.7%8.2%21.9%61.0%28.7%3.9%0.1%498.8K-26.9M-93.2K0.738.53302211,06814,359
2007-11-05$40.34$40.0030.8%8.3%21.9%68.8%28.8%5.9%1.5%503.8K-26.4M-91.9K0.8716.1436832011,05014,352
2007-11-06$40.30$40.0029.5%8.2%21.8%64.2%0.0%6.2%1.4%526.6K-26.4M-93.0K7.9920.177862311,30714,565
2007-11-07$38.75$40.0031.8%8.4%26.2%72.6%0.0%3.1%1.2%522.0K-20.4M-94.5K0.5721.39281611,36814,624
2007-11-08$38.99$40.0027.1%7.9%26.3%55.2%27.5%4.4%2.8%503.3K-21.2M-93.7K0.0634.261,5068611,36414,608
2007-11-09$36.86$40.0036.9%9.9%33.0%91.7%33.9%5.4%0.2%671.1K-14.8M-95.5K2.6823.0814238112,50714,635
2007-11-12$36.93$40.0037.2%9.7%32.7%92.7%31.6%4.4%-1.9%616.7K-14.8M-92.3K2.1625.7530365512,58014,887
2007-11-13$39.26$40.0034.0%8.8%39.4%80.8%30.7%3.6%0.6%672.3K-24.6M-98.9K0.7817.1647837112,60915,020
2007-11-14$40.30$40.0031.6%8.7%39.4%71.8%30.5%4.7%0.3%753.0K-29.3M-98.5K0.7621.6318013612,76015,159
2007-11-15$40.62$40.0029.8%8.6%39.1%65.3%29.8%2.9%1.9%794.3K-31.0M-97.6K2.9320.337020512,76415,164
2007-11-16$41.17$40.0030.1%8.6%39.1%66.3%30.2%5.7%2.0%548.8K-33.7M-94.7K23.7023.00571,35112,77115,229
2007-11-19$41.02$40.0030.6%8.8%38.4%68.2%30.6%4.5%1.3%486.1K-21.2M-103.9K7.2625.71342479,96816,106
2007-11-20$41.38$40.0029.7%8.5%37.9%64.8%29.0%3.8%2.1%451.8K-21.8M-104.6K0.0024.7018609,94916,702
2007-11-21$40.70$40.0030.6%8.8%38.3%68.4%30.6%4.9%1.7%448.3K-19.8M-104.0K1.0720.3345348510,03716,302
2007-11-23$41.13$40.0030.6%8.8%38.2%68.0%0.0%5.1%2.4%473.3K-21.8M-105.6K0.2723.87371010,42516,552
2007-11-26$40.86$40.0032.7%9.4%38.2%76.0%18.0%4.2%0.3%463.4K-20.7M-105.1K4.2924.523515010,40516,562
2007-11-27$40.56$40.0030.7%8.8%38.3%68.6%29.7%3.6%2.1%477.5K-19.6M-103.4K0.0026.3707710,39516,566
2007-11-28$40.91$40.0030.7%8.8%38.4%68.5%29.0%6.9%0.9%497.1K-21.0M-102.0K0.3430.732368010,39516,618
2007-11-29$41.29$40.0030.0%8.6%38.5%66.1%30.0%0.9%1.2%509.7K-22.5M-99.7K1.6316.211,3732,24210,34316,590
2007-11-30$41.95$40.0029.4%8.4%37.4%63.8%24.5%4.8%0.9%432.6K-23.5M-110.2K1.9518.7412825010,36018,633