CCI Options History — April 2009

In April 2009, CCI traded between $21.09 and $25.11. ATM implied volatility averaged 56.6%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 3.5% (HV 20d: 60.1%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.91.

Notable Days

2009-04-07: Highest Volume — 10,144 contracts
2009-04-30: Largest IV drop — 20.4% change
2009-04-14: Highest IV Rank — 31.7%
2009-04-14: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.49	$21.09	$25.11	$21.09	$24.52
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	56.6%	45.1%	65.0%	62.6%	45.1%
Expected Move	16.5%	12.9%	18.6%	17.9%	12.9%
HV 20d	60.1%	57.0%	65.9%	61.5%	60.0%
HV 60d	68.5%	65.1%	71.8%	68.6%	65.6%
IV Rank	25.7%	17.4%	31.7%	29.9%	17.4%
IV Percentile	51.1%	38.5%	61.9%	59.1%	38.5%
Term Structure	-2.1%	-5.3%	3.1%	3.1%	2.1%
VWIV	56.9%	45.5%	68.5%	57.3%	45.5%
Skew 25d	11.0%	7.8%	14.5%	9.7%	9.9%
Skew 10d	24.8%	4.1%	38.3%	18.6%	4.1%
Call IV 25d	52.8%	39.1%	58.7%	56.6%	39.1%
Put IV 25d	63.8%	49.0%	70.3%	66.2%	49.0%
Bid-Ask Spread %	16.80	8.89	24.02	18.30	13.05
Gamma HHI	0.35	0.27	0.42	0.27	0.42
Net GEX	731.6K	381.3K	1.1M	381.3K	1.1M
Net DEX	-42.4M	-72.8M	-10.7M	-10.7M	-35.3M
Net VEX	-259.3K	-313.5K	-221.9K	-255.7K	-267.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.05	3.33	0.38	0.18
Total Volume	1,672.476	197	10,144	225	1,710
Total OI	70,826.952	47,072	91,136	80,721	56,294

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2009-04-01	$21.09	$22.50	62.6%	17.9%	61.5%	29.9%	57.3%	9.7%	3.1%	381.3K	-10.7M	-255.7K	0.38	18.30	163	62	48,427	32,294
2009-04-02	$23.13	$22.50	57.8%	16.6%	65.2%	26.5%	59.2%	9.3%	2.0%	505.2K	-38.7M	-284.4K	1.25	8.89	2,119	2,649	48,511	32,340
2009-04-03	$24.01	$22.50	50.6%	15.9%	65.6%	21.3%	57.9%	8.3%	-1.8%	589.6K	-52.7M	-293.4K	0.54	19.75	888	483	50,269	33,491
2009-04-06	$23.85	$22.50	54.1%	16.4%	65.9%	23.9%	60.1%	8.9%	-2.3%	605.2K	-50.3M	-286.9K	0.93	14.40	326	303	50,861	33,819
2009-04-07	$23.50	$22.50	59.5%	17.7%	59.0%	27.8%	57.9%	8.3%	-3.3%	571.8K	-45.9M	-285.6K	0.05	15.16	9,620	524	51,024	33,951
2009-04-08	$24.04	$22.50	48.5%	16.7%	57.5%	19.8%	58.7%	7.8%	-3.3%	793.3K	-60.6M	-313.5K	0.48	15.77	165	80	56,930	34,206
2009-04-09	$25.11	$22.50	57.4%	16.4%	57.8%	26.2%	54.5%	9.7%	-2.2%	761.7K	-72.8M	-278.2K	0.84	13.43	660	556	52,050	34,286
2009-04-13	$24.89	$22.50	59.8%	17.1%	58.1%	27.9%	66.5%	12.0%	-4.1%	778.5K	-71.7M	-273.0K	3.33	13.77	70	233	52,433	34,171
2009-04-14	$23.50	$22.50	65.0%	18.6%	59.3%	31.7%	68.5%	11.6%	-3.9%	625.3K	-52.8M	-264.7K	1.36	20.65	432	586	52,507	34,206
2009-04-15	$24.48	$22.50	59.1%	16.9%	60.3%	27.5%	59.2%	11.9%	-3.4%	812.3K	-70.5M	-258.9K	0.26	24.02	562	148	52,388	34,380
2009-04-16	$24.24	$22.50	58.2%	16.7%	60.5%	26.8%	58.9%	11.1%	-3.8%	885.5K	-69.0M	-255.1K	0.35	17.41	600	209	52,779	33,524
2009-04-17	$23.77	$22.50	57.2%	16.4%	61.2%	26.0%	56.9%	12.5%	-4.2%	735.2K	-64.9M	-244.8K	0.47	19.21	237	112	52,551	33,627
2009-04-20	$22.47	$22.50	62.7%	18.0%	64.0%	30.0%	61.2%	13.1%	-5.3%	678.2K	-23.0M	-226.5K	1.17	18.72	369	430	35,023	12,049
2009-04-21	$22.77	$22.50	61.8%	17.7%	57.8%	29.4%	57.1%	13.1%	-3.9%	707.1K	-24.4M	-228.5K	0.29	19.29	260	75	35,205	12,197
2009-04-22	$22.71	$22.50	52.8%	15.2%	57.8%	23.0%	51.8%	11.6%	0.7%	747.4K	-22.7M	-221.9K	0.68	16.09	2,481	1,676	35,427	12,226
2009-04-23	$22.66	$22.50	53.5%	15.3%	57.6%	23.4%	53.7%	12.7%	-0.6%	794.2K	-22.9M	-227.0K	1.38	13.10	1,178	1,628	37,269	13,306
2009-04-24	$23.34	$22.50	53.3%	15.3%	58.3%	23.3%	49.0%	11.3%	-0.6%	882.8K	-27.9M	-234.5K	0.69	19.46	120	83	37,322	13,921
2009-04-27	$23.18	$22.50	56.1%	16.1%	58.4%	25.3%	53.9%	11.5%	-2.2%	867.4K	-27.6M	-230.2K	3.03	19.42	364	1,104	37,384	13,864
2009-04-28	$22.34	$22.50	57.2%	16.4%	57.0%	26.0%	53.2%	11.2%	-3.2%	671.4K	-17.2M	-248.6K	0.13	19.22	175	22	37,605	17,809
2009-04-29	$23.61	$22.50	56.6%	16.2%	59.7%	25.7%	54.2%	14.5%	-3.4%	875.8K	-28.0M	-266.1K	1.35	13.78	707	953	37,637	17,803
2009-04-30	$24.52	$22.50	45.1%	12.9%	60.0%	17.4%	45.5%	9.9%	2.1%	1.1M	-35.3M	-267.0K	0.18	13.05	1,454	256	38,011	18,283