CCI Options History — March 2008

In March 2008, CCI traded between $33.36 and $35.85. ATM implied volatility averaged 33.4%, placing in the 55.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.0% (HV 20d: 30.5%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.04.

Notable Days

  • 2008-03-20: Highest Volume — 3,156 contracts
  • 2008-03-31: Largest IV spike — 7.9% change
  • 2008-03-03: Highest IV Rank — 61.3%
  • 2008-03-03: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.73$33.36$35.85$35.85$34.49
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV33.4%30.9%35.7%35.7%34.6%
Expected Move9.7%9.2%10.2%10.2%9.9%
HV 20d30.5%25.2%33.3%33.1%31.2%
HV 60d33.6%32.9%34.1%33.8%33.3%
IV Rank55.4%48.7%61.3%61.3%58.5%
IV Percentile80.0%65.5%88.9%88.9%84.9%
Term Structure1.5%-0.4%4.1%1.6%2.7%
VWIV33.0%21.7%40.2%34.1%34.6%
Skew 25d8.4%-1.9%14.8%6.6%11.7%
Skew 10d13.1%-4.1%23.9%13.5%19.2%
Call IV 25d29.9%23.8%36.6%33.9%28.3%
Put IV 25d38.3%31.4%41.5%40.6%40.0%
Bid-Ask Spread %17.888.1431.3131.3119.94
Gamma HHI0.260.250.290.250.25
Net GEX-156.1K-604.2K372.1K50.9K-1.0K
Net DEX-2.9M-24.1M24.2M-22.4M623.9K
Net VEX-499.1K-577.5K-424.2K-577.5K-424.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.040.0062.680.311.82
Total Volume714.05203,1563541,589
Total OI82,893.2577,32985,50684,86178,058

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-03-03$35.85$35.0035.7%10.2%33.1%61.3%34.1%6.6%1.6%50.9K-22.4M-577.5K0.3131.312708448,49836,363
2008-03-04$35.28$35.0035.1%10.1%33.3%59.8%35.1%4.4%0.4%-101.7K-13.1M-575.9K0.2729.68371048,65136,367
2008-03-05$35.75$35.0033.7%9.7%30.4%56.0%33.6%-1.9%1.8%8.0K-22.7M-570.4K4.8220.242813548,61036,318
2008-03-06$35.35$35.0033.7%9.7%30.5%56.0%0.0%4.5%1.9%-127.0K-14.4M-571.1K0.008.1402048,62636,337
2008-03-07$35.03$35.0032.6%10.1%25.2%53.1%35.1%6.6%0.1%-230.8K-10.2M-562.4K0.9114.2011210248,62636,337
2008-03-10$34.00$35.0034.4%9.8%26.7%57.9%34.2%6.5%0.9%-442.2K10.0M-507.7K1.5319.807011,07248,65336,394
2008-03-11$34.99$35.0032.0%9.3%27.3%51.5%32.8%8.4%1.4%-415.4K-6.2M-524.6K0.1118.515085648,59336,338
2008-03-12$34.59$35.0030.9%9.4%27.5%48.7%33.9%6.6%1.1%-510.6K-750.3K-516.1K1.1417.26283248,50236,333
2008-03-13$35.35$35.0032.6%9.3%28.6%53.1%32.6%8.5%1.2%-437.8K-12.5M-513.5K0.1220.052372948,52836,265
2008-03-14$34.45$35.0032.7%9.4%30.0%53.5%32.7%14.8%1.0%-553.8K3.5M-490.7K0.2710.6460516548,70136,252
2008-03-17$33.36$35.0034.7%10.0%31.6%58.8%40.2%12.0%-0.4%-494.2K22.8M-449.9K0.589.16834849,19436,225
2008-03-18$33.90$35.0032.4%9.3%31.2%52.6%21.7%13.4%1.4%-604.2K18.7M-451.2K0.6710.421107449,18536,218
2008-03-19$33.42$35.0032.9%9.4%30.7%54.0%32.6%9.4%0.8%-187.7K24.2M-455.5K0.0011.2027049,27836,201
2008-03-20$33.51$35.0034.8%10.0%30.6%59.0%34.8%13.0%-0.2%-154.7K23.2M-454.4K0.3211.602,38976749,30536,201
2008-03-24$34.73$35.0035.2%10.1%32.1%60.1%30.9%13.6%0.6%237.2K-7.8M-466.7K0.3116.302,21867747,53430,293
2008-03-25$35.25$35.0033.3%9.5%32.7%55.0%33.3%7.4%2.8%241.3K-12.9M-464.9K0.4413.531988847,98630,131
2008-03-26$35.72$35.0032.9%9.4%31.8%54.0%30.4%7.0%3.2%372.1K-24.1M-478.4K0.1527.392613847,17630,153
2008-03-27$35.05$35.0032.3%9.3%32.2%52.5%33.1%4.3%4.1%223.9K-12.9M-475.3K62.6827.73221,37947,28330,166
2008-03-28$34.51$35.0032.1%9.2%32.4%51.8%32.1%10.5%3.3%6.4K-481.7K-452.4K0.2220.57671547,27930,707
2008-03-31$34.49$35.0034.6%9.9%31.2%58.5%34.6%11.7%2.7%-1.0K623.9K-424.2K1.8219.945641,02547,33930,719