CCI Options History — December 2008

In December 2008, CCI traded between $12.75 and $18.92. ATM implied volatility averaged 91.3%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 25.9%. IV traded below realized volatility by 26.6% (HV 20d: 117.8%). Max pain ranged from $17.50 to $35.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.66.

Notable Days

  • 2008-12-17: Highest Volume — 4,770 contracts
  • 2008-12-05: Largest IV drop — 12.0% change
  • 2008-12-01: Highest IV Rank — 78.0%
  • 2008-12-01: Largest Expected Move — 37.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.94$12.75$18.92$12.75$17.58
Max Pain$28.41$17.50$35.00$17.50$30.00
ATM IV91.3%65.3%129.4%129.4%65.3%
Expected Move25.9%18.7%37.1%37.1%18.7%
HV 20d117.8%69.2%148.1%138.1%69.2%
HV 60d117.5%112.1%121.9%113.6%112.1%
IV Rank50.6%31.9%78.0%78.0%31.9%
IV Percentile85.6%75.0%98.8%98.8%75.0%
Term Structure-1.7%-10.1%7.2%-7.7%7.2%
VWIV93.2%66.6%123.7%123.7%66.6%
Skew 25d19.9%12.6%29.5%26.5%15.7%
Skew 10d45.2%29.8%59.8%49.2%41.6%
Call IV 25d82.8%60.1%119.9%119.9%60.1%
Put IV 25d102.7%75.8%146.4%146.4%75.8%
Bid-Ask Spread %16.306.5929.2425.556.59
Gamma HHI0.390.220.810.250.56
Net GEX-152.0K-432.4K2.5M-208.1K-432.4K
Net DEX53.1M46.1M60.5M51.7M54.6M
Net VEX-144.9K-189.1K-100.6K-100.6K-128.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.125.855.850.97
Total Volume1,149.364534,770658443
Total OI107,307.27396,429118,440106,73697,341

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$12.75$17.50129.4%37.1%138.1%78.0%123.7%26.5%-7.7%-208.1K51.7M-100.6K5.8525.559656249,50457,232
2008-12-02$14.19$17.50114.7%32.9%144.8%67.4%114.7%29.5%-4.3%-233.7K53.6M-122.5K0.3029.2442212549,56957,624
2008-12-03$15.35$17.50116.5%33.4%148.1%68.7%113.8%24.3%-6.6%-274.4K53.5M-140.3K0.4122.6790137249,76957,673
2008-12-04$15.41$17.50119.6%34.3%146.6%70.9%118.2%22.1%-9.3%-262.3K52.7M-141.0K0.4726.4653425150,35757,966
2008-12-05$17.52$35.00105.2%29.3%143.2%60.6%102.0%23.2%-9.2%-335.8K50.5M-170.0K0.4615.1779736950,47958,177
2008-12-08$18.18$35.00110.7%29.9%143.6%64.5%100.7%22.7%-10.1%-380.4K49.6M-177.3K3.9214.623721,46051,00858,452
2008-12-09$18.92$35.00100.9%26.6%144.1%57.5%87.1%24.9%-5.4%-429.9K48.4M-184.5K0.1219.833,56342151,11758,823
2008-12-10$18.83$30.0095.5%26.2%142.3%53.6%109.4%23.4%-2.6%-323.3K46.1M-189.1K1.2220.3434441854,32758,973
2008-12-11$17.87$30.0099.1%28.4%124.0%56.2%114.3%22.7%-5.5%-254.0K49.0M-172.9K3.8811.116726054,51059,073
2008-12-12$17.67$30.0098.0%28.1%124.3%55.4%0.0%21.6%-6.1%-207.4K51.2M-162.0K3.1014.6118256554,52859,156
2008-12-15$17.01$30.0097.7%28.0%125.3%55.2%120.7%20.9%-6.2%-174.8K53.6M-150.2K4.7015.922191,02954,50159,601
2008-12-16$17.61$30.0091.8%26.3%125.4%51.0%92.5%18.8%-4.2%-161.0K52.4M-154.5K3.4314.6726992254,59359,293
2008-12-17$18.07$30.0085.2%24.4%122.5%46.2%82.7%18.8%1.8%-119.2K51.6M-154.8K0.8715.882,5452,22554,79059,811
2008-12-18$17.76$30.0079.4%22.8%119.7%42.0%81.2%16.9%3.0%190.2K53.8M-153.7K0.5114.361,15859256,81761,267
2008-12-19$17.46$30.0073.9%21.2%104.0%38.1%76.3%16.9%4.9%2.5M57.0M-144.1K0.4115.8168628056,98861,452
2008-12-22$16.94$30.0071.8%20.6%102.9%36.5%72.4%16.9%3.4%-365.0K60.5M-127.8K0.3912.1176230048,82951,093
2008-12-23$16.74$30.0070.5%20.2%89.2%35.7%69.9%12.6%4.0%-361.2K58.3M-128.3K0.2111.362525448,88750,106
2008-12-24$16.50$30.0070.1%20.1%87.3%35.4%79.4%15.3%4.1%-353.2K54.8M-119.4K2.7912.84143948,98547,697
2008-12-26$16.98$30.0069.2%19.8%84.5%34.7%74.1%15.2%4.9%-382.6K54.7M-126.3K0.6411.4347430248,98647,443
2008-12-29$16.37$30.0073.0%20.9%86.1%37.4%84.2%16.9%2.3%-359.0K54.9M-115.7K1.1914.0819423049,14947,668
2008-12-30$17.01$30.0070.6%20.2%76.9%35.7%73.8%12.9%4.5%-395.1K55.4M-124.6K0.7613.871239349,31347,833
2008-12-31$17.58$30.0065.3%18.7%69.2%31.9%66.6%15.7%7.2%-432.4K54.6M-128.1K0.976.5922521849,42647,915