CCI Options History — April 2008

In April 2008, CCI traded between $35.27 and $39.46. ATM implied volatility averaged 34.6%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 6.3% (HV 20d: 28.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 191.57.

Notable Days

  • 2008-04-10: Highest Volume — 4,166 contracts
  • 2008-04-09: Largest IV spike — 24.4% change
  • 2008-04-07: Highest IV Rank — 79.0%
  • 2008-04-15: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.81$35.27$39.46$35.27$38.85
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV34.6%28.1%42.4%34.6%28.2%
Expected Move10.0%8.1%12.0%9.9%8.1%
HV 20d28.3%20.4%34.4%32.3%20.4%
HV 60d32.7%29.5%34.4%33.5%29.5%
IV Rank58.4%41.5%79.0%58.6%41.5%
IV Percentile73.4%36.9%96.0%85.3%36.9%
Term Structure-1.3%-5.5%4.5%2.5%0.9%
VWIV34.7%28.2%41.1%33.8%28.2%
Skew 25d9.8%2.6%16.3%16.3%10.3%
Skew 10d18.2%2.9%26.4%26.4%16.3%
Call IV 25d29.8%22.6%36.8%25.3%26.7%
Put IV 25d39.5%34.0%43.7%41.7%37.0%
Bid-Ask Spread %20.328.8739.0919.8922.48
Gamma HHI0.290.250.340.250.30
Net GEX978.7K96.7K1.6M96.7K1.6M
Net DEX-46.4M-77.0M-13.8M-13.8M-35.2M
Net VEX-465.5K-508.0K-426.1K-450.8K-478.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio191.570.004165.000.600.00
Total Volume986.045234,166133110
Total OI72,812.77352,51584,33879,30859,411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$35.27$35.0034.6%9.9%32.3%58.6%33.8%16.3%2.5%96.7K-13.8M-450.8K0.6019.89835047,62731,681
2008-04-02$36.42$35.0034.7%9.9%33.8%58.7%34.7%11.3%3.6%409.8K-36.7M-458.5K0.1729.771,08218547,68831,666
2008-04-03$37.26$35.0036.0%10.3%34.4%62.2%33.7%2.6%4.5%763.9K-53.9M-476.8K0.3313.4794130748,43031,774
2008-04-04$37.39$35.0035.6%11.4%34.1%61.1%39.9%6.7%-3.6%709.3K-54.9M-465.1K0.4628.1728413048,60432,047
2008-04-07$37.09$35.0042.4%11.8%34.0%79.0%37.2%7.7%-4.3%670.0K-49.6M-468.2K7.8925.171471,16048,57632,065
2008-04-08$37.71$35.0032.1%10.0%32.0%51.9%34.6%10.4%-1.4%847.7K-61.8M-469.3K0.6939.0952135748,59732,485
2008-04-09$37.04$35.0040.0%11.7%31.8%72.6%39.4%9.5%-4.7%631.3K-49.4M-452.9K1.8814.9081548,27131,391
2008-04-10$36.53$35.0040.1%11.5%31.9%72.9%40.2%8.0%-3.9%429.0K-42.9M-426.1K4165.0016.5814,16548,27731,392
2008-04-11$36.43$35.0039.9%11.4%31.2%72.4%34.2%8.0%-3.7%219.4K-40.9M-474.8K0.1516.695218048,27735,271
2008-04-14$36.50$35.0041.6%11.9%29.4%77.0%41.1%7.0%-5.2%235.7K-42.9M-445.3K0.7920.2315912548,68835,280
2008-04-15$37.07$35.0041.7%12.0%26.6%77.2%38.6%8.7%-5.5%580.8K-54.7M-443.3K9.1818.871110148,77735,354
2008-04-16$37.99$35.0032.9%9.4%27.3%54.0%33.1%11.7%-1.5%1.1M-70.5M-440.8K0.1222.471471848,78335,352
2008-04-17$37.94$35.0033.6%9.6%26.4%55.8%33.7%9.6%-2.1%1.1M-70.1M-433.6K4.3922.473113648,88935,370
2008-04-18$38.83$35.0031.2%9.0%27.0%49.6%31.2%12.0%-0.5%1.5M-77.0M-448.8K12.668.871061,34248,90735,431
2008-04-21$39.46$35.0031.5%9.0%25.1%50.2%31.5%12.1%-0.9%1.4M-37.8M-469.4K0.0011.753,190533,84418,671
2008-04-22$38.99$35.0031.7%9.1%25.7%50.9%33.7%10.5%-0.6%1.3M-34.4M-446.4K4.0115.7410140533,84418,671
2008-04-23$39.00$35.0034.7%9.9%25.6%58.6%34.7%5.5%-3.4%1.5M-41.0M-501.2K0.5224.771,61684337,97418,872
2008-04-24$38.92$35.0030.4%8.7%24.2%47.4%37.4%12.2%-0.6%1.6M-37.5M-499.5K5.1917.624252,20638,04619,389
2008-04-25$39.20$35.0029.7%8.5%22.9%45.5%35.4%13.2%-0.0%1.6M-40.2M-508.0K0.5319.24754038,05921,341
2008-04-28$39.15$35.0030.0%8.6%22.9%46.3%30.0%11.0%-0.2%1.6M-40.9M-503.7K0.0020.6796038,05821,381
2008-04-29$38.75$35.0028.1%8.1%22.8%41.5%28.2%10.8%1.5%1.6M-34.8M-480.4K0.0418.183551337,98921,381
2008-04-30$38.85$35.0028.2%8.1%20.4%41.5%28.2%10.3%0.9%1.6M-35.2M-478.0K0.0022.48110038,02521,386