CCI Options History — July 2009

In July 2009, CCI traded between $23.12 and $29.09. ATM implied volatility averaged 38.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 2.7% (HV 20d: 36.0%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.05.

Notable Days

  • 2009-07-14: Highest Volume — 2,263 contracts
  • 2009-07-30: Largest IV drop — 29.5% change
  • 2009-07-29: Highest IV Rank — 17.1%
  • 2009-07-08: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.71$23.12$29.09$24.31$28.74
Max Pain$24.77$22.50$25.00$22.50$25.00
ATM IV38.8%31.1%45.1%35.2%31.1%
Expected Move11.9%8.9%13.8%10.1%8.9%
HV 20d36.0%30.0%42.2%39.3%39.4%
HV 60d42.4%39.4%45.6%45.1%42.2%
IV Rank12.6%7.1%17.1%10.0%7.1%
IV Percentile19.4%6.3%34.5%9.9%6.3%
Term Structure-0.2%-4.2%6.7%6.0%1.9%
VWIV41.1%31.2%47.4%35.4%31.2%
Skew 25d6.3%4.1%8.5%4.3%6.4%
Skew 10d12.4%2.6%21.3%2.6%8.5%
Call IV 25d38.3%31.2%45.1%34.3%31.2%
Put IV 25d44.6%37.5%52.3%38.6%37.5%
Bid-Ask Spread %21.619.4128.439.4122.19
Gamma HHI0.330.240.480.260.46
Net GEX516.3K248.9K840.2K483.3K640.0K
Net DEX-15.5M-30.5M-1.4M-13.6M-26.2M
Net VEX-283.5K-305.1K-255.3K-305.1K-264.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.004.430.950.18
Total Volume565.7271002,263688395
Total OI67,035.40957,53476,06472,96958,549

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-07-01$24.31$22.5035.2%10.1%39.3%10.0%35.4%4.3%6.0%483.3K-13.6M-305.1K0.959.4135233634,03138,938
2009-07-02$24.40$22.5035.7%10.2%39.2%10.4%36.5%5.9%6.7%490.7K-14.9M-303.8K0.2513.843588834,14439,143
2009-07-06$23.41$25.0043.9%13.5%42.2%16.3%47.0%6.9%-0.6%422.6K-5.6M-297.1K3.6822.956323234,38339,222
2009-07-07$23.12$25.0041.5%13.6%41.1%14.6%47.4%6.3%-0.4%380.6K-1.4M-294.8K3.3621.2418261134,35139,371
2009-07-08$23.29$25.0040.8%13.8%39.6%14.1%45.1%7.2%-1.5%424.6K-3.0M-288.7K0.0121.357671034,43539,604
2009-07-09$23.80$25.0036.1%12.5%37.1%10.7%47.2%6.6%0.8%510.5K-10.3M-293.3K0.0523.643752034,90739,604
2009-07-10$23.77$25.0032.9%12.4%37.1%8.3%0.0%6.1%0.1%520.0K-9.8M-292.0K0.0024.18100035,04639,614
2009-07-13$24.17$25.0034.1%12.4%35.5%9.3%43.2%6.8%0.3%603.6K-15.4M-283.6K0.8927.82635635,14039,614
2009-07-14$24.26$25.0032.0%12.2%33.7%7.7%42.7%6.0%-1.6%594.4K-16.1M-278.9K1.0628.431,1001,16335,03239,617
2009-07-15$25.33$25.0036.9%12.1%36.0%11.3%43.5%8.5%-0.4%734.5K-27.4M-293.4K0.2224.461904235,52940,510
2009-07-16$25.60$25.0042.6%12.2%35.9%15.3%42.6%7.7%-0.8%840.2K-30.5M-293.9K1.2718.93455735,56440,500
2009-07-17$25.42$25.0041.3%11.8%36.2%14.4%41.2%7.2%-0.9%698.3K-28.5M-284.4K0.4725.8672734034,65240,116
2009-07-20$26.18$25.0041.3%11.8%37.1%14.4%41.5%6.3%-1.2%248.9K-7.0M-278.8K0.1928.023566923,84533,689
2009-07-21$26.96$25.0042.0%12.0%35.1%14.9%35.4%6.6%-1.3%380.0K-12.5M-277.9K0.4314.2927011524,08533,682
2009-07-22$26.99$25.0041.3%11.8%35.3%14.4%42.7%5.1%-0.3%384.6K-13.3M-277.2K1.1314.9025328724,21133,693
2009-07-23$27.70$25.0037.2%10.7%31.2%11.5%38.4%4.1%-2.2%459.7K-17.7M-274.7K2.6721.993821,01924,27733,741
2009-07-24$27.38$25.0042.0%12.0%31.4%14.9%39.7%5.2%-0.7%471.4K-15.6M-280.7K0.4122.881365624,58233,620
2009-07-27$27.16$25.0044.3%12.7%31.1%16.6%44.3%6.0%-2.8%439.9K-14.3M-277.3K4.4321.79219324,71333,659
2009-07-28$27.47$25.0044.1%12.6%30.0%16.4%44.1%5.6%-2.2%492.5K-16.4M-267.8K0.7021.63694824,71833,734
2009-07-29$27.06$25.0045.1%12.9%30.7%17.1%43.5%7.3%-4.2%426.9K-13.5M-272.9K0.6624.6730620324,71533,750
2009-07-30$29.09$25.0031.8%9.1%38.7%7.6%31.5%6.9%1.5%712.3K-28.8M-255.3K0.1420.8795813324,80333,646
2009-07-31$28.74$25.0031.1%8.9%39.4%7.1%31.2%6.4%1.9%640.0K-26.2M-264.6K0.1822.193346124,86233,687