CCI Options History — February 2008

In February 2008, CCI traded between $33.21 and $37.91. ATM implied volatility averaged 36.9%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 1.8% (HV 20d: 38.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.59.

Notable Days

  • 2008-02-12: Highest Volume — 12,823 contracts
  • 2008-02-27: Largest IV spike — 26.1% change
  • 2008-02-05: Highest IV Rank — 100.0%
  • 2008-02-06: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.85$33.21$37.91$37.00$36.09
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV36.9%26.2%50.4%36.2%35.1%
Expected Move10.0%7.5%11.4%10.4%10.1%
HV 20d38.7%34.1%43.0%36.4%34.3%
HV 60d35.3%34.1%36.9%36.8%35.2%
IV Rank65.0%36.2%100.0%67.7%59.8%
IV Percentile87.6%40.1%100.0%93.3%88.1%
Term Structure0.6%-2.8%3.0%-2.8%1.7%
VWIV35.9%27.2%47.4%35.9%35.1%
Skew 25d7.6%2.8%15.3%15.3%5.5%
Skew 10d18.9%10.4%35.0%35.0%12.1%
Call IV 25d31.3%20.1%37.0%20.1%33.4%
Put IV 25d38.9%32.1%48.6%35.4%38.9%
Bid-Ask Spread %23.4916.0328.2322.3328.23
Gamma HHI0.260.220.340.230.25
Net GEX30.1K-949.4K642.9K162.6K113.8K
Net DEX-18.8M-54.4M24.8M-24.5M-26.3M
Net VEX-539.0K-616.4K-386.4K-386.4K-604.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.036.351.085.00
Total Volume2,281.2531612,8233,555528
Total OI81,332.366,50792,67366,50785,001

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$37.00$35.0036.2%10.4%36.4%67.7%35.9%15.3%-2.8%162.6K-24.5M-386.4K1.0822.331,7091,84631,61034,897
2008-02-04$36.56$35.0040.1%9.7%36.3%78.8%30.3%6.8%1.0%71.6K-22.8M-421.8K0.3816.032389033,18136,614
2008-02-05$35.11$35.0050.4%11.1%38.7%100.0%47.4%12.1%-0.5%-290.7K-2.0M-411.6K3.8818.691,5395,96533,32836,670
2008-02-06$34.80$35.0049.7%11.4%38.7%98.3%41.5%11.6%-1.9%-527.6K3.0M-453.7K4.1927.992921,22434,60741,546
2008-02-07$33.21$35.0039.8%10.6%40.9%72.1%40.3%7.6%0.6%-949.4K24.8M-433.3K1.0820.513,3503,62934,75142,051
2008-02-08$33.90$35.0034.1%10.3%42.1%57.1%40.3%8.4%1.0%-748.0K16.5M-470.1K1.8421.7034864135,68143,786
2008-02-11$34.75$35.0040.2%10.8%42.9%73.3%38.0%9.1%-0.9%-431.4K2.6M-478.4K0.4824.721,41068035,79144,158
2008-02-12$34.99$35.0040.0%10.7%43.0%72.6%41.1%6.9%0.1%-330.2K-195.7K-494.9K0.0322.4012,43738635,93743,753
2008-02-13$35.11$35.0043.1%10.5%43.0%80.7%35.9%9.5%0.6%47.2K-11.8M-601.1K0.7824.3174858648,21943,759
2008-02-14$34.96$35.0035.7%10.2%42.2%61.4%34.9%7.9%0.8%92.7K-8.2M-599.7K1.5924.3359094048,61844,055
2008-02-15$35.36$35.0035.2%10.1%42.4%59.9%41.5%8.8%1.0%610.9K-19.6M-602.1K1.3524.4015420848,96743,167
2008-02-19$36.11$35.0033.8%9.7%37.9%56.3%33.5%6.8%0.6%77.3K-24.0M-580.6K0.6320.6290556845,77835,106
2008-02-20$36.62$35.0032.9%9.4%37.4%54.0%31.5%5.2%1.5%220.0K-33.0M-610.3K0.1722.7388914946,37135,621
2008-02-21$36.09$35.0032.3%9.2%37.7%52.3%32.1%4.2%1.6%149.9K-25.0M-589.6K6.3524.224327347,11535,646
2008-02-22$37.00$35.0033.2%9.5%36.9%54.9%27.2%5.3%1.5%354.5K-38.4M-605.6K0.8424.5583970747,11935,707
2008-02-25$37.03$35.0034.1%9.8%36.6%57.1%33.7%6.4%-0.2%401.3K-41.4M-607.0K0.1525.774266547,82036,305
2008-02-26$37.91$35.0026.2%7.5%37.3%36.2%31.5%5.8%3.0%642.9K-54.4M-616.4K0.9723.9022321748,11436,310
2008-02-27$37.42$35.0033.0%9.5%34.6%54.2%32.8%6.1%1.0%522.5K-49.0M-614.0K0.1727.393516048,19436,374
2008-02-28$37.07$35.0033.0%9.5%34.1%54.2%33.9%2.8%2.0%413.0K-42.8M-598.7K0.8525.0020117148,50036,419
2008-02-29$36.09$35.0035.1%10.1%34.3%59.8%35.1%5.5%1.7%113.8K-26.3M-604.6K5.0028.238844048,49836,503