CCI Options History — May 2009

In May 2009, CCI traded between $21.90 and $24.49. ATM implied volatility averaged 44.4%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 3.5% (HV 20d: 47.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 4.77.

Notable Days

  • 2009-05-29: Highest Volume — 7,744 contracts
  • 2009-05-07: Largest IV spike — 23.9% change
  • 2009-05-11: Highest IV Rank — 22.4%
  • 2009-05-13: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.34$21.90$24.49$24.14$24.26
Max Pain$22.13$20.00$22.50$22.50$22.50
ATM IV44.4%36.3%52.1%42.4%36.3%
Expected Move12.9%10.4%14.2%12.1%10.4%
HV 20d47.9%42.8%52.0%51.3%42.8%
HV 60d61.7%55.0%65.4%65.4%55.0%
IV Rank16.8%10.8%22.4%15.4%10.8%
IV Percentile34.9%19.8%42.9%37.7%19.8%
Term Structure0.8%-0.8%4.6%4.6%4.0%
VWIV44.9%36.3%54.5%45.4%36.3%
Skew 25d9.8%6.8%14.3%8.6%9.8%
Skew 10d18.4%0.4%31.9%0.4%7.0%
Call IV 25d40.0%32.5%46.2%39.9%32.5%
Put IV 25d49.8%42.2%55.3%48.4%42.2%
Bid-Ask Spread %17.3611.8032.1013.3011.80
Gamma HHI0.340.260.460.410.32
Net GEX944.5K215.4K1.4M1.1M1.3M
Net DEX-23.4M-37.1M-2.3M-32.0M-37.1M
Net VEX-258.8K-280.9K-236.9K-273.3K-255.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.770.0247.400.3047.40
Total Volume1,367.2327,7445407,744
Total OI61,370.1557,20666,84057,20659,856

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$24.14$22.5042.4%12.1%51.3%15.4%45.4%8.6%4.6%1.1M-32.0M-273.3K0.3013.3041412638,98218,224
2009-05-04$24.07$20.0042.6%13.4%49.6%15.6%0.0%10.7%0.3%1.1M-30.7M-267.5K1.7119.9513322839,04418,225
2009-05-05$24.21$20.0037.3%12.9%49.6%11.8%44.8%10.6%0.7%1.2M-31.8M-266.2K0.4122.273,2791,35539,07418,286
2009-05-06$24.43$20.0038.0%12.7%49.3%12.3%47.3%9.8%0.9%1.4M-35.6M-280.9K1.2325.581,0351,27642,23919,484
2009-05-07$23.24$22.5047.1%14.0%52.0%18.8%54.5%14.3%-0.2%969.7K-23.3M-267.9K4.2916.0321190643,02619,602
2009-05-08$23.17$22.5047.2%13.8%49.1%18.9%0.0%13.2%0.5%872.7K-20.9M-260.6K15.0012.832013,01543,12020,462
2009-05-11$23.41$22.5052.1%13.8%49.4%22.4%44.7%7.0%0.8%785.7K-20.8M-272.5K0.0232.10299543,15423,477
2009-05-12$22.95$22.5050.6%13.9%45.5%21.4%53.4%12.2%0.1%508.6K-15.8M-262.7K0.1314.663064043,36323,477
2009-05-13$21.97$22.5051.8%14.2%45.0%22.2%49.1%9.2%0.1%315.3K-5.7M-248.7K0.0312.163311043,26923,495
2009-05-14$22.38$22.5048.2%13.8%45.8%19.4%46.8%9.5%0.7%215.4K-9.4M-251.0K0.1512.40801243,39523,381
2009-05-15$21.90$22.5047.4%13.6%45.9%18.8%47.3%9.4%-0.4%407.1K-2.3M-236.9K0.0917.353,85035643,43523,235
2009-05-18$23.42$22.5046.3%13.3%48.1%18.0%44.8%11.0%-0.2%1.0M-26.4M-263.0K0.9315.0719518140,15618,898
2009-05-19$23.11$22.5044.3%12.7%48.2%16.6%41.0%7.3%1.3%1.0M-23.2M-260.6K0.7915.52856740,22118,878
2009-05-20$23.26$22.5043.7%12.5%48.3%16.2%39.8%8.6%-0.8%1.1M-24.6M-259.8K0.1813.082544740,28818,901
2009-05-21$22.66$22.5043.9%12.6%49.2%16.3%43.9%9.3%0.2%984.9K-19.0M-247.8K19.8025.2259940,33718,910
2009-05-22$22.63$22.5043.2%12.4%48.0%15.8%39.3%6.8%0.6%997.8K-18.8M-246.9K0.4518.28221040,34218,955
2009-05-26$23.34$22.5044.0%12.6%49.3%16.3%42.6%9.1%0.0%1.1M-24.9M-250.4K1.1114.89475240,33418,963
2009-05-27$23.70$22.5043.7%12.5%47.5%16.1%43.0%8.1%1.0%1.2M-29.0M-249.7K0.7613.9830423240,35318,963
2009-05-28$24.49$22.5037.9%10.9%44.8%12.0%0.0%10.9%2.1%1.3M-36.7M-255.2K0.6620.7432021240,57219,027
2009-05-29$24.26$22.5036.3%10.4%42.8%10.8%36.3%9.8%4.0%1.3M-37.1M-255.1K47.4011.801607,58440,81219,044