CCI Options History — July 2008

In July 2008, CCI traded between $35.32 and $38.85. ATM implied volatility averaged 37.7%, placing in the 61.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 8.6% (HV 20d: 29.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 4.16.

Notable Days

  • 2008-07-29: Highest Volume — 12,311 contracts
  • 2008-07-02: Largest IV spike — 24.9% change
  • 2008-07-21: Highest IV Rank — 73.7%
  • 2008-07-21: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.44$35.32$38.85$37.71$38.20
Max Pain$37.73$35.00$40.00$40.00$35.00
ATM IV37.7%28.6%41.9%28.6%29.1%
Expected Move10.8%8.2%12.0%8.2%8.3%
HV 20d29.1%25.2%33.8%31.4%29.7%
HV 60d26.3%24.7%28.9%24.7%28.9%
IV Rank61.2%33.7%73.7%37.6%33.7%
IV Percentile82.1%24.6%95.6%29.0%24.6%
Term Structure-2.9%-6.8%4.2%4.2%-0.2%
VWIV37.2%30.8%43.0%31.0%38.3%
Skew 25d5.9%3.0%10.1%4.8%7.5%
Skew 10d11.9%-1.1%18.7%7.4%13.2%
Call IV 25d33.9%23.4%38.0%29.3%28.8%
Put IV 25d39.8%33.3%45.1%34.1%36.3%
Bid-Ask Spread %17.267.7433.2213.8617.83
Gamma HHI0.230.190.260.260.21
Net GEX995.9K360.1K1.8M1.6M1.3M
Net DEX-7.8M-38.9M7.8M-22.9M-26.5M
Net VEX-480.2K-616.3K-429.1K-533.6K-505.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.160.0031.501.130.66
Total Volume1,944.2731312,3116701,299
Total OI84,051.90980,021101,04580,02187,265

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$37.71$40.0028.6%8.2%31.4%37.6%31.0%4.8%4.2%1.6M-22.9M-533.6K1.1313.8631435653,06426,957
2008-07-02$36.20$40.0035.8%10.3%33.8%56.9%30.8%9.9%1.9%1.1M-7.2M-477.4K3.027.748425453,09727,039
2008-07-03$36.69$40.0035.2%10.1%33.8%55.3%30.8%3.3%2.2%1.3M-11.0M-500.0K0.0023.45357053,15427,225
2008-07-07$36.03$40.0038.3%10.8%31.7%64.4%33.6%5.9%-3.6%1.1M-4.7M-457.1K3.9116.27114353,49127,220
2008-07-08$36.82$40.0037.9%10.9%31.9%63.2%34.4%5.6%-4.1%1.3M-11.4M-492.7K0.3916.1033213053,48827,213
2008-07-09$36.38$40.0037.7%10.9%29.4%62.6%0.0%4.5%-3.2%1.2M-7.9M-465.5K0.0017.6480053,55127,212
2008-07-10$36.59$40.0038.5%11.0%28.5%65.0%38.6%5.0%-3.2%1.2M-10.4M-470.0K0.0516.909214553,57927,212
2008-07-11$35.99$40.0039.1%11.2%28.7%65.0%39.1%6.5%-3.6%1.1M-3.8M-448.0K4.3616.05229653,98127,245
2008-07-14$35.58$40.0039.4%11.3%26.9%65.9%39.3%6.3%-3.6%952.6K-1.3M-449.0K0.0014.0401353,99027,340
2008-07-15$35.32$40.0040.8%11.7%25.5%70.1%40.8%4.8%-4.8%912.6K491.1K-449.1K25.5216.96441,12353,99027,112
2008-07-16$36.01$40.0039.6%11.4%26.7%66.5%34.7%7.4%-3.8%1.0M-4.0M-456.8K0.2816.621083053,97727,947
2008-07-17$35.91$40.0041.3%11.8%26.8%71.6%40.9%6.5%-6.7%1.0M-4.7M-454.5K0.3119.201,52546653,94327,962
2008-07-18$35.43$35.0041.3%11.8%25.9%71.6%41.3%4.3%-6.8%1.1M-2.8M-429.1K5.2418.871,4057,36355,18228,208
2008-07-21$35.43$35.0041.9%12.0%25.4%73.7%41.9%5.8%-5.9%589.6K3.9M-455.5K1.7620.1246080951,85731,896
2008-07-22$35.33$35.0040.6%11.6%25.2%69.5%43.0%8.3%-5.4%421.9K7.8M-450.4K31.5020.47412651,33432,341
2008-07-23$36.03$35.0041.9%12.0%26.9%73.4%41.7%5.8%-4.3%632.5K82.4K-485.2K1.4523.301,5272,21251,33832,376
2008-07-24$35.64$35.0039.9%11.4%26.8%67.4%39.8%7.0%-2.4%360.1K4.2M-469.6K6.2333.226223,87552,52134,250
2008-07-25$37.25$35.0036.5%10.5%30.4%56.8%34.9%3.0%-2.6%717.7K-10.2M-515.1K0.6314.1671444752,61336,510
2008-07-28$36.77$35.0037.0%10.6%30.6%58.5%37.0%3.8%-3.4%482.4K-4.9M-481.8K0.5214.7423212153,03436,663
2008-07-29$37.42$35.0037.9%10.9%31.4%61.2%37.6%4.8%-3.7%857.6K-15.1M-501.4K0.3810.998,9243,38753,04736,673
2008-07-30$38.85$35.0030.1%8.6%32.9%37.0%31.4%10.1%-0.5%1.8M-38.9M-616.3K0.0211.112,8385561,52139,524
2008-07-31$38.20$35.0029.1%8.3%29.7%33.7%38.3%7.5%-0.2%1.3M-26.5M-505.2K0.6617.8378351649,10738,158