CCI Options History — December 2007

In December 2007, CCI traded between $38.02 and $42.75. ATM implied volatility averaged 29.3%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 6.4% (HV 20d: 35.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.91.

Notable Days

2007-12-18: Highest Volume — 2,812 contracts
2007-12-04: Largest IV spike — 17.5% change
2007-12-17: Highest IV Rank — 74.3%
2007-12-17: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.61	$38.02	$42.75	$42.75	$41.60
Max Pain	$36.00	$35.00	$40.00	$40.00	$35.00
ATM IV	29.3%	26.1%	32.2%	26.1%	30.5%
Expected Move	8.4%	7.5%	9.2%	7.5%	8.7%
HV 20d	35.7%	31.2%	42.1%	37.6%	35.5%
HV 60d	31.9%	29.8%	32.9%	29.8%	32.0%
IV Rank	63.5%	51.2%	74.3%	51.2%	67.8%
IV Percentile	70.4%	52.4%	91.7%	53.7%	76.0%
Term Structure	2.5%	-0.6%	4.5%	2.0%	1.1%
VWIV	28.7%	20.3%	34.8%	28.4%	30.5%
Skew 25d	4.7%	0.7%	10.3%	3.7%	4.6%
Skew 10d	6.0%	-4.1%	17.5%	6.4%	2.6%
Call IV 25d	26.0%	18.4%	33.3%	26.2%	25.6%
Put IV 25d	30.7%	24.9%	35.6%	29.9%	30.2%
Bid-Ask Spread %	10.83	6.66	16.43	14.15	11.92
Gamma HHI	0.47	0.38	0.66	0.38	0.46
Net GEX	521.6K	152.1K	1.1M	445.3K	548.4K
Net DEX	-18.3M	-27.4M	-4.6M	-27.3M	-23.1M
Net VEX	-101.0K	-111.3K	-87.8K	-102.3K	-87.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.91	0.02	32.29	0.04	32.29
Total Volume	469.65	17	2,812	541	233
Total OI	29,117.9	27,791	30,717	28,856	28,347

Daily Data (20 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
2007-12-03	$42.75	$40.00	26.1%	7.5%	37.6%	51.2%	28.4%	3.7%	2.0%	445.3K	-27.3M	-102.3K	0.04	14.15	520	21	10,364	18,492
2007-12-04	$40.69	$40.00	30.6%	8.8%	41.8%	68.2%	29.3%	7.6%	-0.6%	501.1K	-19.3M	-111.3K	0.02	8.07	969	20	10,577	18,489
2007-12-05	$41.31	$40.00	29.8%	8.6%	42.1%	65.4%	27.2%	10.3%	0.5%	483.5K	-21.3M	-107.4K	0.43	8.12	889	380	10,385	18,502
2007-12-06	$40.77	$40.00	28.8%	8.3%	39.8%	61.5%	28.8%	8.0%	1.4%	459.1K	-18.1M	-111.1K	0.04	9.82	119	5	10,358	18,754
2007-12-07	$42.05	$35.00	31.0%	8.9%	41.0%	69.8%	30.8%	5.8%	2.4%	429.2K	-23.9M	-104.1K	0.85	9.75	350	297	10,383	18,755
2007-12-10	$41.70	$35.00	31.1%	9.0%	34.8%	70.0%	30.1%	4.8%	1.7%	453.6K	-22.4M	-103.0K	0.11	8.93	95	10	10,310	18,755
2007-12-11	$40.22	$35.00	31.8%	8.9%	37.9%	72.6%	25.1%	5.8%	2.1%	465.1K	-15.6M	-105.7K	7.07	11.56	72	509	10,337	18,765
2007-12-12	$39.16	$35.00	31.4%	8.9%	32.9%	71.1%	31.5%	5.7%	2.5%	318.4K	-10.2M	-106.4K	1.01	13.39	133	135	10,326	18,969
2007-12-13	$38.88	$35.00	31.1%	8.9%	31.4%	70.0%	31.1%	5.1%	2.2%	286.9K	-8.4M	-106.7K	2.43	10.93	14	34	10,340	18,975
2007-12-14	$38.82	$35.00	30.7%	8.8%	31.2%	68.6%	34.3%	3.9%	2.6%	326.3K	-8.5M	-103.4K	1.17	8.49	41	48	10,336	18,959
2007-12-17	$38.02	$35.00	32.2%	9.2%	31.3%	74.3%	34.8%	2.3%	1.5%	152.1K	-4.6M	-100.1K	1.20	8.36	54	65	10,357	18,932
2007-12-18	$39.17	$35.00	28.1%	8.1%	33.5%	58.8%	28.1%	4.5%	4.5%	478.3K	-9.4M	-98.7K	0.18	6.66	2,388	424	10,365	18,887
2007-12-19	$39.70	$35.00	28.5%	8.2%	33.8%	60.3%	28.5%	4.7%	4.0%	965.1K	-15.3M	-105.0K	1.90	13.08	71	135	11,822	18,829
2007-12-20	$40.53	$35.00	28.1%	8.0%	34.3%	58.7%	28.1%	4.7%	4.4%	1.1M	-21.7M	-102.0K	0.45	16.43	85	38	11,822	18,806
2007-12-21	$41.16	$35.00	27.6%	7.9%	34.5%	56.9%	26.9%	4.9%	3.6%	666.8K	-27.4M	-96.7K	0.44	14.33	279	123	11,889	18,828
2007-12-24	$41.09	$35.00	26.6%	7.6%	34.4%	53.3%	26.6%	0.7%	3.4%	616.0K	-21.1M	-94.0K	0.98	10.98	58	57	9,938	17,853
2007-12-26	$41.99	$35.00	27.1%	7.8%	35.1%	55.0%	26.1%	3.3%	3.9%	584.2K	-24.7M	-89.4K	1.88	9.26	218	410	9,979	17,890
2007-12-27	$41.10	$35.00	27.8%	8.0%	35.9%	57.9%	27.8%	0.8%	3.3%	557.6K	-20.7M	-94.2K	3.81	11.41	16	61	10,084	18,259
2007-12-28	$41.53	$35.00	27.9%	8.0%	36.0%	58.1%	20.3%	3.0%	2.9%	563.5K	-22.5M	-90.0K	1.83	10.91	6	11	10,096	18,244
2007-12-31	$41.60	$35.00	30.5%	8.7%	35.5%	67.8%	30.5%	4.6%	1.1%	548.4K	-23.1M	-87.8K	32.29	11.92	7	226	10,095	18,252