CCI Options History — August 2008

In August 2008, CCI traded between $36.16 and $38.07. ATM implied volatility averaged 31.4%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.8% (HV 20d: 30.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2008-08-01: Highest Volume — 4,427 contracts
  • 2008-08-12: Largest IV spike — 85.7% change
  • 2008-08-13: Highest IV Rank — 81.0%
  • 2008-08-01: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.27$36.16$38.07$37.42$37.40
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV31.4%22.0%44.8%37.5%26.6%
Expected Move8.2%6.5%10.8%10.8%7.6%
HV 20d30.6%25.6%32.8%30.5%26.2%
HV 60d29.6%28.5%30.3%28.5%30.2%
IV Rank36.8%6.2%81.0%60.0%19.2%
IV Percentile40.2%0.8%98.0%84.1%12.3%
Term Structure1.2%-3.6%4.0%-3.6%4.0%
VWIV28.8%22.8%34.2%31.1%27.2%
Skew 25d2.7%0.5%6.3%6.3%4.5%
Skew 10d5.8%-2.8%15.6%6.2%5.5%
Call IV 25d26.7%21.8%31.5%30.6%21.8%
Put IV 25d29.4%26.0%36.9%36.9%26.3%
Bid-Ask Spread %15.759.5525.8917.6525.89
Gamma HHI0.210.200.230.200.23
Net GEX913.3K-18.6K1.4M799.6K1.2M
Net DEX-13.5M-26.5M3.4M-16.6M-12.5M
Net VEX-486.2K-549.8K-416.3K-518.3K-416.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.006.222.596.22
Total Volume753.4761324,4274,427354
Total OI89,915.90587,24493,04787,94987,857

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$37.42$35.0037.5%10.8%30.5%60.0%31.1%6.3%-3.6%799.6K-16.6M-518.3K2.5917.651,2323,19549,53838,411
2008-08-04$36.45$35.0039.8%9.8%31.3%67.1%34.2%3.9%-0.4%227.2K-2.4M-532.9K0.0617.158905749,99741,400
2008-08-05$36.57$35.0040.1%9.7%30.4%68.1%32.7%4.4%-0.6%282.6K-2.5M-536.1K0.1315.734625850,64241,457
2008-08-06$37.22$35.0040.6%9.6%30.7%69.6%29.3%5.7%-1.1%592.0K-12.1M-549.8K0.1321.021171550,42741,462
2008-08-07$36.16$35.0039.0%8.5%32.4%64.6%28.8%2.9%1.3%-18.6K3.4M-492.0K0.0822.863,58529250,52341,457
2008-08-08$36.99$35.0039.6%8.5%32.8%66.5%28.3%2.0%0.6%509.0K-11.2M-512.5K0.269.861423750,81541,543
2008-08-11$37.56$35.0022.0%8.1%32.8%11.7%29.7%2.3%1.4%857.4K-19.5M-513.2K0.219.582785950,80641,563
2008-08-12$37.48$35.0040.9%8.6%32.7%70.5%0.0%2.0%0.9%811.7K-18.7M-513.2K0.179.5569712050,83441,518
2008-08-13$37.43$35.0044.8%8.6%32.1%81.0%29.9%2.5%0.6%843.8K-19.7M-513.1K3.4910.467726951,34041,596
2008-08-14$37.77$35.0026.2%7.5%32.1%18.1%26.9%2.4%2.4%1.1M-22.9M-506.3K1.3610.7218124651,35441,596
2008-08-15$38.07$35.0026.6%7.6%31.6%19.2%0.0%2.7%1.9%1.4M-26.5M-513.1K0.1911.251402751,34341,704
2008-08-18$37.83$35.0026.1%7.5%31.8%17.5%0.0%2.0%2.6%1.4M-22.0M-494.0K0.5313.9620610949,89137,353
2008-08-19$37.20$35.0028.5%8.2%32.5%25.6%27.8%1.7%2.0%1.1M-13.4M-475.2K2.2911.9529166749,93637,353
2008-08-20$37.51$35.0026.0%7.5%32.0%17.2%27.4%1.3%1.9%1.3M-17.0M-477.5K0.0512.462151150,08637,766
2008-08-21$37.65$35.0025.7%7.4%31.6%16.4%0.0%0.6%1.5%1.3M-18.9M-464.1K0.0013.08395050,06837,775
2008-08-22$37.94$35.0023.6%6.8%27.7%9.1%0.0%2.6%2.8%1.4M-21.4M-453.9K0.0513.502211050,01737,775
2008-08-25$36.92$35.0028.4%8.1%29.1%25.3%0.0%0.8%0.7%1.0M-7.3M-438.7K0.1516.641562449,83537,781
2008-08-26$36.39$35.0027.0%7.7%28.8%20.5%26.5%0.5%2.0%777.6K478.9K-421.7K0.4521.4839017549,81137,781
2008-08-27$36.93$35.0026.8%7.7%25.6%20.1%0.0%1.9%2.0%953.4K-5.2M-430.2K0.0124.99161250,05737,881
2008-08-28$37.88$35.0022.8%6.5%26.9%6.2%22.8%3.9%2.9%1.3M-17.3M-438.8K0.1420.972293150,00437,881
2008-08-29$37.40$35.0026.6%7.6%26.2%19.2%27.2%4.5%4.0%1.2M-12.5M-416.3K6.2225.894930549,94537,912