CCI Options History — January 2009

In January 2009, CCI traded between $17.02 and $20.68. ATM implied volatility averaged 69.5%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 8.9% (HV 20d: 60.6%). Max pain ranged from $17.50 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.86.

Notable Days

  • 2009-01-26: Highest Volume — 21,904 contracts
  • 2009-01-14: Largest IV spike — 28.8% change
  • 2009-01-20: Highest IV Rank — 45.5%
  • 2009-01-20: Largest Expected Move — 24.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.29$17.02$20.68$18.43$19.52
Max Pain$19.75$17.50$30.00$30.00$20.00
ATM IV69.5%53.7%84.3%65.1%68.4%
Expected Move20.7%18.7%24.2%18.7%19.6%
HV 20d60.6%48.9%71.8%65.9%71.8%
HV 60d105.2%102.1%112.6%112.0%102.3%
IV Rank34.9%23.6%45.5%31.7%34.1%
IV Percentile75.2%70.6%81.7%74.6%70.6%
Term Structure-0.7%-5.3%6.3%6.3%-1.1%
VWIV72.1%61.7%87.1%68.1%72.4%
Skew 25d15.5%11.2%19.1%14.1%16.2%
Skew 10d32.3%23.3%40.8%39.5%28.0%
Call IV 25d65.4%56.9%78.4%56.9%62.7%
Put IV 25d80.8%70.9%93.7%70.9%78.9%
Bid-Ask Spread %19.7310.6826.1910.6820.60
Gamma HHI0.410.270.590.590.35
Net GEX-312.4K-527.8K-143.2K-464.0K-267.1K
Net DEX32.6M14.0M54.1M54.1M19.6M
Net VEX-210.9K-303.5K-139.9K-139.9K-188.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.0415.580.423.53
Total Volume3,884.27321,9042,8841,723
Total OI85,545.7554,353110,39397,35759,753

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$18.43$30.0065.1%18.7%65.9%31.7%68.1%14.1%6.3%-464.0K54.1M-139.9K0.4210.682,03784749,44347,914
2009-01-05$19.59$20.0057.9%19.2%68.4%26.6%72.1%14.6%1.4%-438.4K49.9M-155.6K0.0413.604,57516151,11448,399
2009-01-06$19.69$20.0058.7%19.1%52.8%27.2%64.5%11.2%1.5%-219.0K46.9M-164.4K0.7715.3527921554,42948,441
2009-01-07$19.83$20.0057.7%19.2%51.5%26.4%64.3%14.0%1.7%-207.2K40.9M-164.3K0.9821.254,1664,08354,44545,734
2009-01-08$20.00$20.0054.8%19.2%49.8%24.4%62.7%14.0%0.4%-159.7K37.3M-223.5K0.1721.772474258,52749,763
2009-01-09$20.07$20.0053.7%18.7%49.8%23.6%63.4%14.1%1.6%-143.2K37.4M-222.0K1.2713.8353567858,76149,805
2009-01-12$19.12$20.0065.1%19.5%49.2%31.7%67.8%14.7%-0.6%-219.0K43.0M-205.4K1.7822.197313059,18950,030
2009-01-13$19.18$20.0062.6%19.3%48.9%30.0%61.7%15.8%0.0%-213.5K42.9M-204.6K0.8225.87403359,23650,001
2009-01-14$18.25$20.0080.7%21.4%50.4%43.0%65.8%15.3%-2.2%-406.1K46.9M-186.6K15.5826.19781,21559,25550,025
2009-01-15$18.10$20.0083.2%23.9%49.2%44.8%82.6%18.4%-5.3%-527.8K46.8M-186.6K2.6623.439072,41459,24549,654
2009-01-16$18.70$17.5080.2%23.0%49.7%42.6%87.1%17.1%-5.0%-407.4K44.4M-200.6K1.2125.643,1213,76359,88450,509
2009-01-20$17.02$17.5084.3%24.2%60.0%45.5%84.9%15.3%-3.8%-326.9K27.2M-210.7K0.2115.8674915616,71237,641
2009-01-21$18.72$17.5079.6%22.8%68.9%42.2%75.1%18.3%-2.2%-384.4K22.4M-240.8K0.1720.254517717,40137,627
2009-01-22$20.00$17.5078.9%22.6%71.1%41.7%78.3%16.0%-2.8%-409.1K16.1M-259.7K0.9915.744,9904,94917,76437,646
2009-01-23$19.65$17.5073.3%21.0%71.3%37.7%75.1%15.7%0.3%-330.6K16.0M-271.1K0.8618.583,4022,93921,92241,593
2009-01-26$19.71$17.5072.6%20.8%70.8%37.2%72.7%17.2%0.4%-325.7K15.4M-296.5K0.6919.9812,9248,98024,69344,379
2009-01-27$19.59$20.0072.1%20.7%70.6%36.8%79.7%19.1%-0.4%-241.8K14.7M-303.5K4.0521.146022,44128,05144,551
2009-01-28$20.68$20.0071.1%20.4%70.5%36.0%70.8%15.4%-1.6%-295.3K14.0M-201.0K0.3422.342,12573119,87538,105
2009-01-29$19.95$20.0070.0%20.1%71.7%35.3%72.8%13.0%-2.1%-262.0K16.9M-192.3K0.6820.2948132521,42937,970
2009-01-30$19.52$20.0068.4%19.6%71.8%34.1%72.4%16.2%-1.1%-267.1K19.6M-188.8K3.5320.603801,34321,65538,098