CCI Options History — September 2008

In September 2008, CCI traded between $27.17 and $37.42. ATM implied volatility averaged 42.1%, placing in the 63.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 1.7% (HV 20d: 43.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2008-09-30: Highest Volume — 11,716 contracts
  • 2008-09-29: Largest IV spike — 45.9% change
  • 2008-09-23: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.14$27.17$37.42$37.42$28.97
Max Pain$39.29$35.00$40.00$35.00$40.00
ATM IV42.1%21.3%73.5%21.3%60.2%
Expected Move11.9%6.1%21.1%6.1%17.3%
HV 20d43.8%24.3%84.4%24.3%84.4%
HV 60d35.9%28.7%54.0%29.2%54.0%
IV Rank63.9%1.2%100.0%1.2%74.9%
IV Percentile78.1%0.4%100.0%0.4%99.6%
Term Structure-3.3%-14.0%15.0%15.0%-10.8%
VWIV43.4%29.8%73.6%32.4%60.4%
Skew 25d4.9%-0.5%11.0%3.0%6.1%
Skew 10d9.5%-5.7%21.4%2.4%8.1%
Call IV 25d39.8%19.3%74.3%24.8%60.9%
Put IV 25d44.7%27.8%73.8%27.8%67.0%
Bid-Ask Spread %25.918.6563.9322.9722.06
Gamma HHI0.260.200.350.230.35
Net GEX-302.0K-939.7K1.2M1.2M-939.7K
Net DEX31.7M-11.9M60.0M-11.9M59.3M
Net VEX-346.2K-422.8K-273.6K-422.8K-278.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.046.920.060.12
Total Volume1,957.09519311,71619311,716
Total OI89,98787,68293,77687,71992,750

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-09-02$37.42$35.0021.3%6.1%24.3%1.2%0.0%3.0%15.0%1.2M-11.9M-422.8K0.0622.971821149,90537,814
2008-09-03$36.70$35.0028.5%8.2%25.4%25.9%0.0%8.8%0.8%892.0K-2.7M-399.3K0.2715.521674549,87537,814
2008-09-04$35.41$35.0032.4%9.3%27.5%38.8%32.4%5.6%-1.8%446.4K11.0M-390.0K2.768.658852,44549,93837,744
2008-09-05$35.12$40.0031.6%8.6%25.8%36.3%29.8%5.3%1.3%-45.0K19.4M-381.2K3.1318.2011235149,99139,845
2008-09-08$35.94$40.0034.1%9.3%25.9%44.8%32.3%6.5%-0.4%227.8K11.1M-391.3K2.1817.3113028450,03239,967
2008-09-09$34.86$40.0036.6%9.5%27.0%53.1%33.1%4.3%-0.6%-70.2K20.0M-387.6K1.8415.6712122350,05939,802
2008-09-10$34.04$40.0034.4%9.3%27.9%45.6%32.9%2.9%0.2%-411.7K31.3M-350.0K0.0416.442801250,03939,775
2008-09-11$33.82$40.0032.6%9.4%27.9%39.7%33.2%3.6%-0.2%-526.7K35.5M-333.2K0.4913.4530815250,10039,785
2008-09-12$34.09$40.0034.0%9.7%27.8%44.3%36.9%6.1%-0.1%-395.2K31.6M-355.5K0.5219.851,21262650,10939,820
2008-09-15$32.78$40.0036.7%10.5%29.8%53.5%37.0%9.9%-1.9%-636.5K41.7M-323.1K2.6312.144451,17151,09739,881
2008-09-16$33.52$40.0035.2%10.1%31.7%48.4%36.3%11.0%-1.2%-596.2K39.4M-322.6K1.0034.2930029950,50540,773
2008-09-17$31.03$40.0045.8%13.1%40.4%84.5%43.3%5.2%-8.1%-837.3K53.2M-309.1K0.8838.2415013250,71040,836
2008-09-18$31.94$40.0047.7%13.7%42.2%90.9%46.1%3.1%-7.5%-744.4K47.3M-306.9K0.5441.822,4161,31450,74240,646
2008-09-19$35.25$40.0046.3%13.3%56.7%86.1%47.0%4.1%-7.3%-20.3K6.8M-413.6K0.1363.932,41130252,04141,735
2008-09-22$32.78$40.0049.1%14.1%61.6%95.7%51.6%4.2%-6.6%-331.5K31.6M-374.3K0.7232.361,4651,05148,86439,099
2008-09-23$31.23$40.0052.6%15.1%62.9%100.0%53.3%3.8%-7.3%-669.0K44.6M-326.4K0.9720.701,2671,22749,68338,935
2008-09-24$30.70$40.0050.8%14.6%63.0%94.3%48.9%0.2%-7.2%-699.5K48.4M-311.9K6.9225.133562,46249,83739,209
2008-09-25$31.67$40.0049.5%14.2%64.0%90.3%49.5%3.1%-6.9%-737.9K42.9M-306.4K1.4920.4444566149,87339,713
2008-09-26$31.47$40.0050.3%14.4%62.8%92.8%47.2%6.7%-5.3%-765.9K45.2M-312.3K2.8123.1414440449,82439,672
2008-09-29$27.17$40.0073.5%21.1%79.6%100.0%73.6%-0.5%-14.0%-651.0K60.0M-273.6K1.1761.771,5741,84149,88241,006
2008-09-30$28.97$40.0060.2%17.3%84.4%74.9%60.4%6.1%-10.8%-939.7K59.3M-278.8K0.1222.0610,4281,28851,00041,750