CCI Options History — March 2009

In March 2009, CCI traded between $15.84 and $21.61. ATM implied volatility averaged 64.4%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded below realized volatility by 10.3% (HV 20d: 74.7%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-03-12: Highest Volume — 12,522 contracts
  • 2009-03-30: Largest IV spike — 17.8% change
  • 2009-03-03: Highest IV Rank — 41.9%
  • 2009-03-03: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.26$15.84$21.61$16.39$20.41
Max Pain$21.59$17.50$22.50$17.50$22.50
ATM IV64.4%55.7%79.3%68.9%64.8%
Expected Move18.6%16.0%22.7%19.7%18.6%
HV 20d74.7%65.7%85.0%70.3%65.7%
HV 60d68.9%65.3%70.9%70.5%69.4%
IV Rank31.2%25.0%41.9%34.5%31.6%
IV Percentile62.1%53.2%77.0%67.9%61.5%
Term Structure-0.3%-3.8%3.7%0.9%0.9%
VWIV66.4%55.9%78.9%72.2%62.9%
Skew 25d11.8%8.6%15.9%14.8%11.2%
Skew 10d26.1%17.1%39.4%30.0%21.3%
Call IV 25d61.0%54.3%68.4%66.1%60.2%
Put IV 25d72.8%63.6%84.3%80.9%71.4%
Bid-Ask Spread %15.329.0224.5023.3417.50
Gamma HHI0.280.210.410.210.25
Net GEX151.7K-116.4K422.3K-69.8K342.3K
Net DEX2.7M-18.2M27.9M25.5M-4.2M
Net VEX-187.2K-278.4K-106.0K-113.2K-249.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.033.840.480.57
Total Volume3,008.09118312,5222,212328
Total OI72,539.40962,64182,81863,97280,625

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$16.39$17.5068.9%19.7%70.3%34.5%72.2%14.8%0.9%-69.8K25.5M-113.2K0.4823.341,49172128,44235,530
2009-03-03$15.84$17.5079.3%22.7%70.9%41.9%71.1%15.9%-2.8%-67.6K27.9M-106.0K0.1111.887278228,79435,645
2009-03-04$17.14$17.5066.2%19.0%73.5%32.5%71.5%14.3%3.2%-27.3K22.1M-120.5K0.3424.5092931528,66135,493
2009-03-05$16.51$17.5068.5%19.6%74.0%34.2%78.9%13.9%3.3%-48.3K24.4M-114.7K1.5018.5465497928,90235,692
2009-03-06$16.74$22.5066.2%20.2%74.3%32.5%75.2%14.5%-3.8%-16.1K22.8M-123.8K2.8111.533871,08829,45636,343
2009-03-09$16.71$22.5070.6%20.6%73.3%35.7%69.3%15.2%-3.6%-34.4K24.0M-117.6K0.6011.3620412329,46836,428
2009-03-10$18.48$22.5067.4%20.1%83.2%33.4%68.6%13.2%-2.8%61.0K12.3M-138.6K0.3417.782,06270329,54036,494
2009-03-11$19.40$22.5064.9%19.2%82.2%31.6%67.9%10.8%-2.2%103.7K3.1M-151.2K0.1714.828,6241,50830,48936,674
2009-03-12$20.19$22.5064.6%18.5%83.2%31.4%65.5%12.1%-1.6%198.3K-6.6M-166.5K0.0913.7211,53898432,69037,531
2009-03-13$20.23$22.5064.4%18.5%83.2%31.3%64.2%10.4%-1.9%352.0K-12.8M-212.8K0.9512.9463460441,04038,021
2009-03-16$19.26$22.5064.1%18.4%85.0%31.0%64.9%10.3%-3.2%372.7K-1.1M-192.4K0.0712.176,94246441,48638,326
2009-03-17$19.57$22.5062.6%17.9%78.1%30.0%75.0%11.3%-2.2%422.3K-5.0M-207.0K2.0015.5010621244,38038,438
2009-03-18$20.09$22.5062.3%17.8%76.3%29.7%66.9%10.2%-2.6%340.0K-10.5M-211.2K0.8117.7449940543,78838,614
2009-03-19$20.05$22.5061.2%17.5%73.3%28.9%57.9%11.0%-1.3%407.3K-9.8M-208.1K0.2416.041,35131943,58338,774
2009-03-20$19.45$22.5061.8%17.7%73.2%29.3%61.4%9.7%-1.0%375.5K-3.8M-196.6K3.8418.389938043,69138,737
2009-03-23$21.10$22.5062.3%17.9%73.6%29.8%68.3%13.4%1.7%-116.4K-1.7M-212.3K2.4315.344151,00931,49931,142
2009-03-24$20.98$22.5062.0%17.8%72.2%29.5%60.4%10.0%1.8%-108.9K-1.3M-211.6K0.0315.1610,32526531,80631,730
2009-03-25$21.37$22.5055.7%16.0%70.4%25.0%55.9%10.2%3.3%49.0K-9.8M-262.5K0.189.871552841,84931,826
2009-03-26$21.61$22.5057.0%16.3%70.2%25.9%57.3%9.8%2.5%43.8K-12.2M-268.8K0.0714.546,72446441,84031,841
2009-03-27$21.57$22.5056.0%16.0%70.0%25.2%59.1%9.3%3.7%409.5K-18.2M-278.4K1.6415.3816426948,05832,088
2009-03-30$20.53$22.5065.9%18.9%67.5%32.4%66.1%8.6%0.4%348.7K-6.2M-255.0K1.109.0242747148,21132,202
2009-03-31$20.41$22.5064.8%18.6%65.7%31.6%62.9%11.2%0.9%342.3K-4.2M-249.4K0.5717.5020911948,36932,256