CCI Options History — June 2008

In June 2008, CCI traded between $38.73 and $42.47. ATM implied volatility averaged 29.9%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.8% (HV 20d: 27.1%). 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 20 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2008-06-16: Highest Volume — 10,618 contracts
  • 2008-06-06: Largest IV spike — 13.0% change
  • 2008-06-09: Highest IV Rank — 47.6%
  • 2008-06-19: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.86$38.73$42.47$41.80$38.73
Max Pain$37.62$35.00$40.00$40.00$40.00
ATM IV29.9%26.9%32.1%26.9%29.7%
Expected Move8.4%7.7%9.0%7.7%8.5%
HV 20d27.1%18.8%31.9%20.6%30.4%
HV 60d24.6%24.0%25.4%25.1%24.1%
IV Rank41.5%32.8%47.6%38.1%40.8%
IV Percentile44.2%25.0%65.5%25.8%38.1%
Term Structure1.5%-0.2%3.7%0.2%3.1%
VWIV28.9%25.4%35.1%26.9%31.9%
Skew 25d5.0%-3.7%11.0%2.5%7.5%
Skew 10d10.4%-7.4%34.6%2.8%14.4%
Call IV 25d25.8%18.2%29.0%23.8%26.5%
Put IV 25d30.9%24.6%34.0%26.3%34.0%
Bid-Ask Spread %17.288.8627.6523.3615.27
Gamma HHI0.300.270.340.320.27
Net GEX2.5M2.0M2.9M2.7M2.0M
Net DEX-66.3M-104.7M-33.8M-75.8M-34.2M
Net VEX-595.1K-673.6K-534.5K-596.3K-566.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.008.671.480.28
Total Volume958.811610,618181423
Total OI81,405.76277,53792,49278,37980,132

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$41.80$40.0026.9%7.7%20.6%38.1%26.9%2.5%0.2%2.7M-75.8M-596.3K1.4823.367310850,57427,805
2008-06-03$41.40$40.0027.9%8.0%20.5%37.0%0.0%9.6%0.2%2.5M-68.0M-589.5K0.459.881074849,65427,883
2008-06-04$40.83$40.0027.5%7.9%21.3%34.3%27.5%6.8%-0.2%2.4M-57.9M-577.6K3.398.91237849,67727,908
2008-06-05$41.41$40.0027.0%7.7%18.8%32.8%27.0%11.0%0.6%2.5M-66.4M-575.0K0.218.862755749,64627,921
2008-06-06$39.78$35.0030.5%8.0%23.8%42.9%27.8%4.6%3.0%2.0M-41.3M-534.5K0.0918.269468949,61327,951
2008-06-09$40.54$35.0032.1%8.5%24.8%47.6%29.8%6.9%1.7%2.3M-56.0M-568.2K0.0215.4781250,07028,020
2008-06-10$41.73$35.0031.9%8.6%26.5%47.0%27.9%3.5%1.7%2.6M-74.7M-568.4K0.0021.131,674250,04828,022
2008-06-11$40.52$35.0032.0%8.7%28.4%47.2%30.4%3.9%1.1%2.4M-56.8M-574.2K0.6414.86613951,65528,022
2008-06-12$40.48$35.0030.6%8.8%27.3%43.2%29.3%5.1%1.4%2.4M-57.0M-574.6K0.6020.8110651,69528,042
2008-06-13$41.35$35.0029.1%8.3%28.6%39.0%26.9%4.3%2.3%2.7M-73.7M-576.4K0.0018.42100051,70528,048
2008-06-16$41.99$35.0030.2%8.7%28.9%42.2%26.9%4.3%0.4%2.7M-91.2M-565.8K0.9320.775,5125,10651,64228,048
2008-06-17$42.36$35.0030.1%8.6%29.1%41.8%29.6%3.4%0.3%2.8M-102.0M-650.3K0.0311.422,3136356,71233,093
2008-06-18$42.02$35.0030.5%8.8%29.1%43.1%25.4%5.2%1.0%2.8M-98.8M-653.1K0.0222.6285258,69233,135
2008-06-19$42.47$35.0031.4%9.0%28.4%45.4%28.3%4.1%0.6%2.9M-104.7M-673.6K0.4910.2846722758,74833,137
2008-06-20$41.40$40.0031.2%8.9%29.5%45.0%30.9%3.9%1.0%2.7M-92.6M-661.5K0.0322.861,0383159,16633,326
2008-06-23$40.75$40.0030.9%8.9%30.1%44.2%29.2%4.5%1.6%2.6M-60.0M-630.3K0.9723.3918618052,92126,943
2008-06-24$40.29$40.0030.3%8.7%30.0%42.4%35.1%3.7%2.3%2.4M-51.8M-607.0K8.6727.6565252,90327,026
2008-06-25$40.31$40.0029.3%8.4%29.9%39.5%29.3%-3.7%2.9%2.5M-55.9M-603.0K0.1519.251362052,90326,997
2008-06-26$39.00$40.0029.6%8.5%31.9%40.2%29.6%8.1%3.7%2.1M-39.0M-582.7K0.9713.9312712353,00227,017
2008-06-27$38.83$40.0029.1%8.3%30.7%39.0%31.9%6.6%3.6%2.0M-33.8M-568.4K0.1415.422283153,00227,017
2008-06-30$38.73$40.0029.7%8.5%30.4%40.8%0.0%7.5%3.1%2.0M-34.2M-566.4K0.2815.273309353,10327,029