CCI Options History — October 2008

In October 2008, CCI traded between $17.62 and $28.27. ATM implied volatility averaged 92.6%, placing in the 82.9% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 13.8% (HV 20d: 106.4%). Max pain ranged from $22.50 to $40.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 5.65.

Notable Days

2008-10-03: Highest Volume — 10,995 contracts
2008-10-06: Largest IV spike — 28.1% change
2008-10-02: Highest IV Rank — 100.0%
2008-10-27: Largest Expected Move — 29.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.28	$17.62	$28.27	$28.27	$21.17
Max Pain	$28.91	$22.50	$40.00	$40.00	$22.50
ATM IV	92.6%	61.6%	118.7%	61.6%	88.7%
Expected Move	24.6%	17.7%	29.2%	17.7%	25.4%
HV 20d	106.4%	84.5%	117.4%	84.5%	110.7%
HV 60d	71.5%	53.9%	83.5%	53.9%	83.4%
IV Rank	82.9%	57.0%	100.0%	77.5%	69.3%
IV Percentile	98.0%	94.0%	100.0%	99.6%	94.0%
Term Structure	-11.4%	-19.1%	-7.3%	-11.1%	-9.9%
VWIV	84.5%	61.9%	99.6%	61.9%	88.8%
Skew 25d	9.4%	-1.5%	14.3%	3.8%	14.2%
Skew 10d	20.4%	3.4%	41.3%	3.4%	41.3%
Call IV 25d	81.4%	62.3%	95.1%	62.3%	80.6%
Put IV 25d	90.8%	66.1%	103.3%	66.1%	94.8%
Bid-Ask Spread %	29.38	13.28	72.53	24.52	13.28
Gamma HHI	0.29	0.25	0.36	0.36	0.28
Net GEX	-775.9K	-1.2M	-527.5K	-882.3K	-768.8K
Net DEX	75.1M	62.6M	88.4M	62.6M	67.3M
Net VEX	-261.1K	-330.6K	-192.6K	-265.4K	-257.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.65	0.06	50.26	5.67	0.28
Total Volume	2,030.739	129	10,995	240	409
Total OI	102,819.478	87,683	111,336	102,824	99,728

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2008-10-01	$28.27	$40.00	61.6%	17.7%	84.5%	77.5%	61.9%	3.8%	-11.1%	-882.3K	62.6M	-265.4K	5.67	24.52	36	204	61,006	41,818
2008-10-02	$25.23	$40.00	74.1%	21.2%	91.5%	100.0%	74.0%	-1.5%	-12.2%	-677.8K	66.8M	-226.2K	9.05	14.18	106	959	45,897	41,786
2008-10-03	$25.02	$40.00	71.0%	20.4%	91.5%	94.2%	71.1%	0.4%	-7.9%	-933.7K	76.0M	-279.2K	16.94	27.45	613	10,382	45,983	52,295
2008-10-06	$23.33	$30.00	91.0%	21.8%	92.1%	100.0%	75.5%	9.1%	-10.5%	-939.0K	86.1M	-330.6K	1.14	44.15	793	905	45,782	62,610
2008-10-07	$22.02	$30.00	91.7%	22.0%	92.9%	100.0%	79.5%	7.4%	-11.5%	-954.6K	88.4M	-293.0K	0.91	24.53	651	593	46,397	63,201
2008-10-08	$21.40	$30.00	97.6%	25.0%	93.0%	100.0%	88.1%	8.5%	-17.2%	-810.7K	85.9M	-301.1K	4.80	26.72	1,074	5,156	46,767	63,246
2008-10-09	$20.10	$30.00	102.4%	24.5%	93.8%	100.0%	85.7%	10.3%	-11.5%	-673.2K	84.4M	-256.9K	4.62	64.30	363	1,676	47,693	60,853
2008-10-10	$18.50	$30.00	118.2%	27.8%	94.9%	100.0%	78.4%	7.5%	-19.1%	-600.2K	83.4M	-239.7K	0.26	72.53	208	54	47,795	63,541
2008-10-13	$21.65	$30.00	101.8%	24.0%	115.9%	83.1%	80.6%	12.2%	-11.6%	-812.8K	84.1M	-304.9K	11.87	32.31	413	4,902	47,886	63,235
2008-10-14	$21.43	$30.00	118.7%	23.7%	114.8%	100.0%	90.8%	9.9%	-7.9%	-792.5K	82.1M	-299.3K	50.26	22.05	61	3,066	47,969	63,039
2008-10-15	$19.51	$30.00	116.5%	26.0%	116.0%	97.8%	96.8%	10.4%	-14.0%	-729.7K	83.5M	-245.4K	7.13	32.01	296	2,110	47,981	62,696
2008-10-16	$20.15	$30.00	91.9%	26.4%	116.2%	72.6%	98.3%	11.4%	-14.6%	-777.6K	84.2M	-258.0K	3.24	16.17	460	1,492	48,126	62,569
2008-10-17	$22.16	$30.00	88.1%	25.3%	115.8%	68.8%	85.3%	14.3%	-14.3%	-1.2M	81.8M	-302.2K	0.44	27.46	1,505	661	48,158	62,597
2008-10-20	$22.77	$25.00	83.0%	23.8%	115.5%	63.5%	82.7%	11.9%	-7.6%	-884.5K	65.2M	-295.6K	1.54	20.40	190	292	40,722	54,469
2008-10-21	$21.53	$25.00	76.6%	22.0%	115.8%	57.0%	76.4%	10.1%	-7.3%	-864.4K	68.5M	-259.6K	0.06	16.64	1,795	110	40,821	54,042
2008-10-22	$20.03	$25.00	86.2%	24.7%	117.4%	66.8%	81.6%	9.7%	-10.1%	-705.9K	68.5M	-242.0K	2.13	64.48	114	243	42,454	54,042
2008-10-23	$19.21	$25.00	91.1%	26.1%	115.9%	71.8%	0.0%	12.9%	-12.4%	-639.0K	68.9M	-226.4K	0.67	29.35	260	174	42,543	54,108
2008-10-24	$18.11	$25.00	101.8%	29.2%	116.3%	82.7%	99.6%	6.8%	-12.3%	-552.7K	67.4M	-209.1K	1.19	14.41	499	595	42,740	54,247
2008-10-27	$17.62	$25.00	101.8%	29.2%	107.4%	82.7%	94.1%	8.2%	-10.8%	-527.5K	67.7M	-192.6K	3.45	21.32	238	821	43,169	54,565
2008-10-28	$19.49	$25.00	92.4%	26.5%	112.0%	73.1%	92.4%	14.1%	-10.6%	-663.0K	70.0M	-221.5K	3.90	14.07	143	558	43,378	54,970
2008-10-29	$19.67	$25.00	93.1%	26.7%	112.4%	73.8%	92.2%	12.1%	-7.9%	-687.1K	67.3M	-236.4K	0.18	33.33	109	20	43,451	55,459
2008-10-30	$21.09	$22.50	90.5%	26.0%	110.6%	71.2%	86.2%	13.5%	-9.1%	-765.9K	66.7M	-263.6K	0.15	20.02	1,211	187	43,540	55,474
2008-10-31	$21.17	$22.50	88.7%	25.4%	110.7%	69.3%	88.8%	14.2%	-9.9%	-768.8K	67.3M	-257.1K	0.28	13.28	319	90	44,169	55,559