CCI Options History — May 2008

In May 2008, CCI traded between $39.02 and $42.70. ATM implied volatility averaged 28.2%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 9.5% (HV 20d: 18.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 4.36.

Notable Days

  • 2008-05-02: Highest Volume — 12,525 contracts
  • 2008-05-13: Largest IV drop — 36.5% change
  • 2008-05-12: Highest IV Rank — 54.0%
  • 2008-05-27: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.13$39.02$42.70$39.37$42.49
Max Pain$39.52$35.00$40.00$35.00$40.00
ATM IV28.2%20.9%32.9%27.8%28.8%
Expected Move8.1%7.1%8.6%8.0%8.3%
HV 20d18.8%16.3%20.2%19.5%19.3%
HV 60d26.2%24.9%28.3%28.3%25.0%
IV Rank41.7%22.4%54.0%40.6%43.2%
IV Percentile37.6%6.7%72.2%34.1%36.5%
Term Structure-0.8%-1.8%1.1%1.1%-1.0%
VWIV28.4%25.3%30.1%28.1%28.8%
Skew 25d3.9%-1.5%12.9%12.9%5.4%
Skew 10d5.0%-3.2%19.9%19.9%5.6%
Call IV 25d24.9%20.4%27.3%25.2%22.7%
Put IV 25d28.8%24.8%38.1%38.1%28.1%
Bid-Ask Spread %19.388.8536.9220.6920.33
Gamma HHI0.310.280.530.300.31
Net GEX2.1M575.3K2.6M1.7M2.6M
Net DEX-61.9M-89.2M-18.5M-38.6M-79.5M
Net VEX-565.7K-636.9K-106.3K-495.5K-579.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.360.0022.6712.330.01
Total Volume1,645.9051312,5251205,000
Total OI70,647.23824,17377,00659,22175,246

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$39.37$35.0027.8%8.0%19.5%40.6%0.0%12.9%1.1%1.7M-38.6M-495.5K12.3320.69911137,83521,386
2008-05-02$39.44$35.0025.5%7.3%19.5%34.6%0.0%0.1%1.1%1.8M-40.1M-480.9K1.0836.926,0286,49737,84421,407
2008-05-05$39.02$40.0028.0%7.8%19.7%41.0%0.0%9.7%-1.2%1.7M-33.5M-531.2K22.6713.8936843,58627,674
2008-05-06$39.35$40.0027.8%7.8%19.1%40.6%0.0%9.0%-1.1%1.8M-36.9M-543.2K0.6334.538543,58627,677
2008-05-07$40.61$40.0029.6%8.1%20.2%45.3%28.1%4.5%-1.4%2.1M-53.2M-565.5K0.2622.632,29160143,59127,682
2008-05-08$40.63$40.0029.8%8.3%19.1%45.9%28.5%3.1%-0.6%2.2M-54.8M-591.6K0.2121.972,33449845,62227,896
2008-05-09$40.51$40.0028.9%8.3%19.1%43.6%28.1%3.5%-0.8%2.3M-58.5M-620.4K0.1219.201191447,88828,231
2008-05-12$41.07$40.0032.9%8.4%19.3%54.0%0.0%4.5%-1.5%575.3K-18.5M-106.3K0.0125.161,0331511,10813,065
2008-05-13$41.38$40.0020.9%8.2%19.0%22.4%0.0%-1.5%-0.3%2.6M-73.1M-622.8K0.5112.4637619348,76628,240
2008-05-14$42.20$40.0027.5%8.3%18.4%39.7%29.4%2.6%-1.8%2.3M-82.9M-636.9K0.0012.74525048,06228,396
2008-05-15$42.21$40.0029.4%8.4%18.4%44.7%25.3%3.1%-1.5%2.3M-81.8M-636.8K0.7211.8024317648,32628,396
2008-05-16$42.62$40.0024.9%7.1%17.2%32.9%27.8%5.2%-0.4%2.4M-89.2M-633.6K0.008.851,080248,42528,540
2008-05-19$42.70$40.0026.0%7.5%16.7%35.8%27.9%3.3%-0.7%2.5M-84.5M-621.6K0.2711.611624447,32026,576
2008-05-20$42.32$40.0028.9%8.3%16.3%43.6%26.6%3.1%-0.6%2.5M-80.0M-622.2K17.5010.2123547,37926,583
2008-05-21$41.49$40.0028.9%8.3%18.4%43.5%28.9%1.5%-1.1%2.3M-68.8M-613.6K0.9515.14373547,37826,604
2008-05-22$40.96$40.0029.1%8.3%19.2%44.0%0.0%-0.5%-1.3%2.2M-60.5M-589.4K0.1923.041062047,38326,618
2008-05-23$40.88$40.0028.6%8.2%19.1%42.8%28.6%0.2%0.2%2.1M-60.8M-598.1K21.3521.60621,32447,43526,638
2008-05-27$41.35$40.0030.1%8.6%19.4%46.6%30.1%3.5%-1.0%2.2M-64.6M-593.8K0.0320.095,00015047,46527,572
2008-05-28$41.55$40.0029.7%8.5%18.8%45.5%29.6%4.2%-1.1%2.3M-68.5M-606.2K1.7420.98437547,46527,608
2008-05-29$41.66$40.0030.0%8.6%18.8%46.3%30.0%4.4%-1.7%2.4M-71.4M-591.3K11.0023.082022047,48127,612
2008-05-30$42.49$40.0028.8%8.3%19.3%43.2%28.8%5.4%-1.0%2.6M-79.5M-579.1K0.0120.334,9386247,48127,765