CCI Options History — June 2009

In June 2009, CCI traded between $21.84 and $24.70. ATM implied volatility averaged 41.6%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 2.7% (HV 20d: 44.2%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 4.30.

Notable Days

  • 2009-06-01: Highest Volume — 11,073 contracts
  • 2009-06-25: Largest IV drop — 10.9% change
  • 2009-06-16: Highest IV Rank — 17.6%
  • 2009-06-16: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.06$21.84$24.70$24.70$24.02
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV41.6%34.3%45.7%40.4%36.7%
Expected Move12.0%9.8%13.1%11.6%10.5%
HV 20d44.2%39.7%48.6%42.9%44.4%
HV 60d50.5%45.1%55.9%54.3%45.1%
IV Rank14.6%9.4%17.6%13.8%11.1%
IV Percentile27.1%10.3%35.3%28.2%13.1%
Term Structure3.0%0.6%6.4%0.6%3.7%
VWIV42.6%34.6%50.6%40.3%37.8%
Skew 25d7.7%5.0%10.5%9.3%5.0%
Skew 10d16.6%2.2%26.8%7.6%2.2%
Call IV 25d38.5%29.4%43.1%34.8%35.4%
Put IV 25d46.2%37.2%51.1%44.1%40.4%
Bid-Ask Spread %14.268.4725.0711.119.78
Gamma HHI0.290.230.810.270.25
Net GEX1.1M67.5K7.8M1.2M436.8K
Net DEX-6.3M-34.9M9.9M-34.9M-10.2M
Net VEX-327.5K-361.3K-295.4K-303.0K-307.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.300.0064.1464.140.62
Total Volume1,205.6362311,07311,073282
Total OI77,349.68267,71482,58867,71472,835

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-06-01$24.70$22.5040.4%11.6%42.9%13.8%40.3%9.3%0.6%1.2M-34.9M-303.0K64.1411.1117010,90340,93626,778
2009-06-02$24.33$22.5040.2%11.5%43.3%13.6%40.6%7.4%1.2%1.0M-24.9M-361.3K13.3812.792032,71641,04536,915
2009-06-03$22.99$22.5044.2%12.7%47.7%16.5%50.6%10.5%1.0%788.7K-8.0M-358.6K0.5122.5553026841,13139,074
2009-06-04$22.88$22.5044.0%12.6%47.6%16.4%43.1%5.8%0.7%801.3K-7.1M-356.2K0.5225.071115841,21539,274
2009-06-05$23.06$22.5042.7%12.8%44.3%15.4%40.6%10.5%3.1%876.3K-9.7M-358.1K0.6711.93644341,27739,301
2009-06-08$22.42$22.5045.3%12.9%45.4%17.3%48.6%8.3%2.3%713.8K-2.1M-344.6K0.5011.9850425341,25239,306
2009-06-09$23.16$22.5042.7%12.5%46.9%15.4%43.9%9.8%2.3%953.4K-9.4M-349.2K1.1013.7532335441,28039,288
2009-06-10$22.23$22.5040.8%12.5%48.6%14.0%44.4%7.8%2.4%693.2K1.4M-333.8K0.4212.8332013641,50239,392
2009-06-11$22.42$22.5043.4%12.4%46.1%15.9%48.6%7.4%3.7%833.3K-877.1K-333.2K0.0512.9057341,79939,367
2009-06-12$23.21$22.5042.9%12.3%47.2%15.6%39.4%9.7%3.1%1.0M-9.9M-344.7K0.1114.194615041,50239,367
2009-06-15$22.57$22.5044.4%12.7%47.7%16.6%46.5%8.0%2.4%953.5K-2.5M-324.2K0.0614.772631741,68039,367
2009-06-16$22.33$22.5045.7%13.1%41.0%17.6%42.6%8.0%1.6%931.7K663.1K-323.8K0.0013.103,249041,68239,383
2009-06-17$22.25$22.5044.5%12.8%40.8%16.8%44.9%7.9%2.4%1.1M1.2M-323.6K0.1816.08551043,20539,383
2009-06-18$22.33$22.5044.8%12.8%40.7%16.9%43.4%8.3%2.1%1.4M1.1M-319.1K0.0015.9323041,80039,383
2009-06-19$22.50$22.5041.5%11.9%39.9%14.6%41.7%5.2%4.4%7.8M292.1K-310.4K0.8016.8154243440,08939,383
2009-06-22$21.84$22.5042.4%12.2%41.2%15.2%42.9%5.6%4.1%67.5K9.9M-295.4K0.5117.991005133,13838,436
2009-06-23$22.07$22.5041.2%11.8%39.7%14.3%43.3%6.1%4.4%79.1K8.8M-296.6K0.7116.4856740333,15538,454
2009-06-24$23.37$22.5040.0%11.5%44.7%13.5%40.0%6.1%5.5%308.4K-3.6M-312.3K0.2211.994299433,54738,795
2009-06-25$23.96$22.5035.7%10.2%44.0%10.4%40.5%7.8%5.2%399.3K-9.6M-319.3K3.6214.323591,30033,72638,817
2009-06-26$24.55$22.5034.3%9.8%44.8%9.4%34.6%7.8%6.4%535.6K-17.9M-315.7K0.218.923697633,88137,980
2009-06-29$24.14$22.5036.7%10.5%44.7%11.1%39.6%6.8%3.8%467.3K-11.6M-313.1K6.198.475232233,97238,601
2009-06-30$24.02$22.5036.7%10.5%44.4%11.1%37.8%5.0%3.7%436.8K-10.2M-307.9K0.629.7817410833,97138,864