CCI Options History — February 2009

In February 2009, CCI traded between $15.90 and $20.52. ATM implied volatility averaged 65.9%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 3.8% (HV 20d: 69.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-02-04: Highest Volume — 30,017 contracts
  • 2009-02-17: Largest IV spike — 24.4% change
  • 2009-02-23: Highest IV Rank — 46.9%
  • 2009-02-23: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.43$15.90$20.52$19.31$17.54
Max Pain$19.08$17.50$20.00$20.00$17.50
ATM IV65.9%50.6%86.1%70.1%61.9%
Expected Move19.5%16.7%24.7%20.1%17.8%
HV 20d69.7%61.3%77.4%70.3%67.0%
HV 60d86.7%72.1%102.1%102.1%72.1%
IV Rank32.3%21.3%46.9%35.4%29.5%
IV Percentile69.9%62.3%82.5%71.4%64.7%
Term Structure-0.4%-7.1%9.1%-3.1%5.1%
VWIV69.5%56.0%89.2%72.5%64.0%
Skew 25d13.6%10.0%19.6%16.0%11.5%
Skew 10d26.7%16.9%39.2%39.2%38.9%
Call IV 25d62.8%52.8%76.5%66.3%58.2%
Put IV 25d76.4%66.7%91.8%82.3%69.7%
Bid-Ask Spread %17.2610.3526.8713.4122.83
Gamma HHI0.290.220.390.320.22
Net GEX-83.8K-284.6K128.7K-284.6K-72.1K
Net DEX18.2M610.7K33.3M22.5M19.2M
Net VEX-158.2K-206.3K-115.7K-182.3K-136.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.045.600.041.19
Total Volume4,682.73765830,0172,3643,634
Total OI65,905.42160,01375,95961,25364,692

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-02-02$19.31$20.0070.1%20.1%70.3%35.4%72.5%16.0%-3.1%-284.6K22.5M-182.3K0.0413.412,2699521,97139,282
2009-02-03$20.52$20.0068.2%19.6%70.2%34.0%63.6%12.2%-1.8%-204.7K11.7M-200.4K0.1420.593,35747824,09039,286
2009-02-04$19.96$20.0059.6%17.1%71.0%27.8%61.5%12.0%9.1%-158.8K15.2M-195.5K5.6015.284,55125,46625,52039,589
2009-02-05$20.02$20.0058.3%16.7%71.0%26.9%63.6%14.4%7.7%-197.1K16.0M-206.3K0.7015.273,2942,29427,78742,476
2009-02-06$20.51$20.0054.6%18.4%71.4%24.2%60.3%12.8%-0.4%112.9K610.7K-194.6K0.3416.7091431029,76135,676
2009-02-09$20.21$20.0056.5%18.2%71.6%25.6%59.1%11.6%-0.3%99.8K4.1M-184.6K0.3517.0679927829,22035,685
2009-02-10$18.98$20.0051.3%18.0%73.1%21.8%66.2%12.1%-0.9%-64514.6M-169.2K0.5718.461,8401,04729,17035,785
2009-02-11$19.33$20.0050.6%17.5%73.4%21.3%70.6%10.0%-0.2%96.3K12.0M-168.8K0.3619.2759721530,43036,014
2009-02-12$19.39$20.0059.0%16.9%71.0%27.3%67.1%11.1%0.5%128.7K11.5M-166.4K0.9525.5445242830,60636,079
2009-02-13$19.17$20.0058.4%16.7%71.0%26.9%56.0%10.2%1.1%120.3K13.7M-159.5K0.3826.8756921730,76936,167
2009-02-17$17.51$20.0072.7%20.8%77.4%37.2%69.2%10.5%-2.6%-196.5K25.1M-134.7K0.3115.444,9761,55430,82036,216
2009-02-18$16.80$20.0072.8%20.9%71.2%37.3%77.4%14.4%-1.7%-214.1K30.5M-119.6K1.2714.883,6114,59132,13536,278
2009-02-19$15.99$17.5084.8%24.3%63.4%45.9%79.7%17.4%-7.1%-179.6K33.3M-115.7K1.2111.493,2533,92432,25438,561
2009-02-20$16.83$17.5074.5%21.4%61.3%38.5%76.2%15.7%-4.3%-153.6K29.7M-134.4K1.1818.6777090734,65141,308
2009-02-23$15.90$17.5086.1%24.7%63.6%46.9%89.2%15.3%-6.0%-157.9K26.4M-120.2K1.4010.351,3451,88124,94935,064
2009-02-24$16.80$17.5078.1%22.4%67.7%41.1%83.8%19.6%-5.8%-145.6K24.0M-128.4K1.1912.782,5252,99725,53735,675
2009-02-25$17.76$17.5068.5%19.6%71.3%34.2%69.6%14.9%0.8%-112.0K18.4M-145.2K0.5222.111,89298427,21336,873
2009-02-26$17.70$17.5066.6%19.1%67.8%32.8%70.9%15.7%1.6%-73.8K18.0M-143.9K0.7410.8337927927,93636,678
2009-02-27$17.54$17.5061.9%17.8%67.0%29.5%64.0%11.5%5.1%-72.1K19.2M-136.8K1.1922.831,6581,97627,99936,693