CCI Options History — November 2008

In November 2008, CCI traded between $10.19 and $22.44. ATM implied volatility averaged 109.5%, placing in the 79.5% IV rank vs the trailing year. The 30-day expected move averaged 31.3%. IV traded below realized volatility by 9.6% (HV 20d: 119.1%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 19.41.

Notable Days

  • 2008-11-12: Highest Volume — 10,220 contracts
  • 2008-11-12: Largest IV spike — 27.7% change
  • 2008-11-12: Highest IV Rank — 100.0%
  • 2008-11-21: Largest Expected Move — 45.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.11$10.19$22.44$21.78$14.07
Max Pain$19.34$17.50$22.50$22.50$17.50
ATM IV109.5%76.5%160.1%80.4%106.7%
Expected Move31.3%21.9%45.9%23.0%30.6%
HV 20d119.1%104.9%139.0%108.9%135.7%
HV 60d97.8%83.5%112.4%83.5%112.4%
IV Rank79.5%56.9%100.0%60.8%61.7%
IV Percentile96.6%91.7%100.0%92.5%94.4%
Term Structure-6.7%-19.3%1.8%-6.5%0.9%
VWIV111.2%77.9%169.0%80.4%122.2%
Skew 25d22.6%2.5%35.5%18.2%24.8%
Skew 10d46.3%5.3%78.8%47.8%54.5%
Call IV 25d100.5%72.7%146.7%77.9%103.6%
Put IV 25d123.1%83.9%177.9%96.1%128.4%
Bid-Ask Spread %21.4513.6526.0113.6525.73
Gamma HHI0.270.240.340.290.26
Net GEX-417.3K-863.6K-144.1K-817.4K-224.8K
Net DEX63.7M49.5M76.1M66.4M53.4M
Net VEX-139.4K-273.8K-75.4K-263.1K-121.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.410.07285.000.07285.00
Total Volume2,176.52617910,220179286
Total OI106,283.15899,929114,52599,929106,464

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$21.78$22.5080.4%23.0%108.9%60.8%80.4%18.2%-6.5%-817.4K66.4M-263.1K0.0713.651681144,28055,649
2008-11-04$22.44$22.5076.5%21.9%107.6%56.9%77.9%11.2%-4.6%-863.6K65.6M-273.8K6.6315.233062,02944,35955,659
2008-11-05$20.75$22.5083.6%24.0%110.8%64.1%79.3%12.2%-3.5%-812.1K69.3M-252.9K1.6423.4841167344,39557,334
2008-11-06$17.53$22.5087.2%25.0%124.1%67.8%82.6%2.5%-3.1%-601.4K74.0M-177.8K4.4021.634171,83344,74857,589
2008-11-07$17.28$20.0083.9%23.2%120.9%64.4%78.6%8.5%-2.8%-611.0K76.1M-162.9K2.3419.9512028144,52558,320
2008-11-10$17.07$20.0085.8%23.7%104.9%66.4%85.0%11.0%-3.2%-608.5K75.7M-158.1K51.3323.89630844,07958,173
2008-11-11$16.12$20.0094.4%24.6%106.1%75.2%84.8%10.9%-2.7%-536.1K74.8M-138.9K0.3222.5373723343,79158,158
2008-11-12$13.32$20.00120.5%37.0%120.4%100.0%134.4%26.6%-19.3%-280.4K66.2M-94.2K4.2814.991,9348,28644,22258,288
2008-11-13$13.56$20.00121.1%34.7%119.7%100.0%113.5%35.5%-9.5%-357.1K70.0M-102.0K1.2419.971,2111,49845,73864,717
2008-11-14$14.06$20.00107.6%30.8%113.9%86.5%97.0%30.2%-7.5%-409.4K70.7M-118.1K0.7020.913,0682,16346,73065,622
2008-11-17$13.92$17.50110.3%31.6%112.5%89.2%123.5%31.2%-9.1%-340.2K69.2M-116.9K0.2619.7572018549,23065,160
2008-11-18$13.11$17.50124.6%35.7%112.6%100.0%122.9%28.6%-13.3%-259.9K67.0M-96.3K0.1921.5662612249,90564,620
2008-11-19$12.32$17.50122.8%35.2%112.1%98.2%122.4%33.8%-5.9%-212.9K57.3M-90.7K1.1223.601,3521,50850,28359,163
2008-11-20$10.65$17.50147.0%42.1%120.1%100.0%134.0%32.7%-15.2%-159.7K52.3M-75.4K1.5226.0155484151,42060,320
2008-11-21$10.19$17.50160.1%45.9%119.7%100.0%169.0%31.2%-17.1%-144.1K49.6M-75.6K4.2625.701,0574,50051,66160,311
2008-11-24$12.03$17.50135.8%38.9%138.2%82.6%158.7%31.3%-6.4%-208.3K49.5M-100.2K1.8825.9233663347,67457,323
2008-11-25$12.92$17.50125.2%35.9%135.2%74.9%142.9%25.1%-0.1%-225.8K50.8M-111.1K1.3120.7228537247,92156,902
2008-11-26$13.92$17.50106.9%30.6%139.0%61.8%104.3%24.6%1.8%-256.3K52.3M-120.3K0.2222.401,87540947,94956,698
2008-11-28$14.07$17.50106.7%30.6%135.7%61.7%122.2%24.8%0.9%-224.8K53.4M-121.3K285.0025.73128549,50356,961