CCI Options History — January 2008

In January 2008, CCI traded between $33.17 and $40.12. ATM implied volatility averaged 38.2%, placing in the 84.7% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 7.2% (HV 20d: 31.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.71.

Notable Days

  • 2008-01-30: Highest Volume — 23,011 contracts
  • 2008-01-16: Largest IV spike — 11.2% change
  • 2008-01-16: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.43$33.17$40.12$40.12$36.12
Max Pain$37.86$35.00$40.00$35.00$35.00
ATM IV38.2%30.9%47.6%31.6%36.6%
Expected Move11.0%8.9%13.7%9.1%10.5%
HV 20d31.1%26.3%36.9%36.9%35.6%
HV 60d34.0%32.6%36.4%32.6%36.4%
IV Rank84.7%66.3%100.0%72.0%68.7%
IV Percentile95.8%82.1%100.0%88.4%94.0%
Term Structure-2.8%-7.3%2.0%1.0%-3.8%
VWIV40.8%30.9%58.4%31.6%36.6%
Skew 25d11.7%2.5%20.9%3.4%17.5%
Skew 10d21.3%4.1%32.9%4.1%31.3%
Call IV 25d32.0%23.8%40.4%24.4%23.8%
Put IV 25d43.7%27.8%58.7%27.8%41.3%
Bid-Ask Spread %17.454.4130.564.4121.73
Gamma HHI0.350.230.510.510.23
Net GEX111.5K-553.2K853.0K528.0K579.9K
Net DEX-3.6M-24.2M14.4M-15.5M-24.2M
Net VEX-177.7K-395.9K-86.4K-92.3K-395.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.710.0536.497.160.89
Total Volume3,3486823,01135168
Total OI39,439.57128,50470,11028,50470,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$40.12$35.0031.6%9.1%36.9%72.0%31.6%3.4%1.0%528.0K-15.5M-92.3K7.164.414330810,09618,408
2008-01-03$39.25$40.0030.9%8.9%33.5%69.4%30.9%8.6%1.5%426.7K-10.2M-92.6K0.0611.756173910,11718,599
2008-01-04$38.63$40.0032.0%9.6%33.2%73.5%0.0%4.6%-0.1%339.7K-7.0M-92.7K11.1020.561011110,57818,583
2008-01-07$38.34$40.0033.7%9.5%33.0%79.8%34.0%6.6%-0.4%334.9K-5.7M-88.5K0.4325.12512210,58818,434
2008-01-08$38.03$40.0034.6%9.6%30.5%83.3%36.2%2.5%0.3%281.7K-4.7M-86.4K0.3226.1563620510,63318,456
2008-01-09$38.49$40.0032.2%9.2%31.1%74.3%32.0%5.8%2.0%444.0K-6.5M-89.8K0.0530.038,59541411,19018,660
2008-01-10$38.30$40.0032.5%9.3%28.7%75.4%34.1%6.2%1.8%853.0K-13.7M-192.7K2.4229.9140898719,61419,043
2008-01-11$37.37$40.0035.7%10.2%28.4%87.2%32.6%3.1%-0.4%403.2K-7.2M-180.5K0.1030.561,82018919,65819,665
2008-01-14$37.05$40.0037.0%10.6%28.5%92.2%31.0%4.8%-1.0%300.3K-8.1M-185.3K0.4419.76823621,25319,660
2008-01-15$37.09$40.0039.1%11.2%28.5%99.9%41.4%7.3%-2.3%256.1K-8.3M-174.1K2.9017.083491,01321,26419,683
2008-01-16$36.15$40.0043.5%12.5%29.0%100.0%57.7%14.4%-6.5%-82.5K-4.7M-170.7K36.4910.711916,97021,47720,162
2008-01-17$35.94$40.0043.8%12.6%26.3%100.0%50.3%12.1%-6.6%-373.2K-2.3M-181.5K1.5112.71436521,50126,955
2008-01-18$34.02$40.0042.6%12.2%31.0%96.3%43.4%11.1%-3.8%-393.4K10.4M-166.7K0.6118.133,5082,15021,49026,973
2008-01-22$33.50$35.0044.3%12.7%29.2%100.0%46.7%20.9%-6.0%-206.9K5.4M-158.6K27.777.991764,88816,93815,075
2008-01-23$33.17$35.0047.6%13.7%27.7%100.0%58.4%19.3%-7.1%-553.2K14.4M-193.2K0.818.512,1831,77016,94119,848
2008-01-24$34.31$35.0045.5%13.0%31.8%94.0%54.6%20.9%-7.0%-413.9K7.5M-229.1K0.119.371,87920018,61621,157
2008-01-25$34.03$35.0045.0%12.9%29.7%92.5%50.0%19.8%-7.3%-349.2K7.8M-228.7K0.999.221,3581,34119,91921,206
2008-01-28$34.24$35.0040.9%11.7%29.9%81.1%41.2%20.5%-4.8%-295.8K6.1M-237.9K0.0511.341,5767621,11922,378
2008-01-29$35.81$35.0038.2%10.9%35.0%73.2%37.7%19.9%-4.0%176.0K-6.7M-232.6K3.9716.765882,33222,41922,447
2008-01-30$35.15$35.0035.7%10.2%35.0%66.3%36.1%16.2%-3.3%85.4K-3.5M-262.2K0.8124.7612,68310,32822,75124,567
2008-01-31$36.12$35.0036.6%10.5%35.6%68.7%36.6%17.5%-3.8%579.9K-24.2M-395.9K0.8921.73363235,22234,888