CCI Options History — August 2009

In August 2009, CCI traded between $26.60 and $29.28. ATM implied volatility averaged 34.1%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 3.5% (HV 20d: 37.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.72.

Notable Days

  • 2009-08-11: Highest Volume — 994 contracts
  • 2009-08-31: Largest IV spike — 34.6% change
  • 2009-08-31: Highest IV Rank — 14.9%
  • 2009-08-31: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.99$26.60$29.28$28.94$26.86
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV34.1%30.0%41.9%32.3%41.9%
Expected Move9.9%8.9%12.0%9.2%12.0%
HV 20d37.7%31.3%41.3%34.8%32.4%
HV 60d39.1%36.7%41.0%40.7%37.3%
IV Rank9.3%6.3%14.9%7.9%14.9%
IV Percentile10.4%2.0%24.2%7.5%24.2%
Term Structure1.4%-0.1%3.2%1.2%-0.1%
VWIV34.7%31.2%40.6%32.3%38.8%
Skew 25d6.6%-4.1%11.4%8.6%0.9%
Skew 10d13.9%-5.8%21.1%11.7%7.0%
Call IV 25d32.9%28.3%40.1%32.3%40.1%
Put IV 25d39.5%27.1%42.9%40.9%41.0%
Bid-Ask Spread %17.677.1525.4621.8013.68
Gamma HHI0.470.390.530.490.42
Net GEX626.7K355.0K819.7K732.6K434.4K
Net DEX-20.7M-29.9M-10.5M-27.3M-10.5M
Net VEX-248.2K-261.8K-234.6K-261.8K-235.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.720.0042.400.771.10
Total Volume352.09531994122431
Total OI59,360.85758,41560,71458,62059,115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$28.94$25.0032.3%9.2%34.8%7.9%32.3%8.6%1.2%732.6K-27.3M-261.8K0.7721.80695324,91833,702
2009-08-04$29.28$25.0031.2%9.0%33.7%7.2%31.2%-4.1%2.1%769.8K-29.9M-251.0K0.487.15211024,94633,745
2009-08-05$28.87$25.0033.4%9.6%34.9%8.7%0.0%9.6%0.4%734.9K-26.9M-260.1K0.0022.23301024,93733,749
2009-08-06$28.18$25.0031.6%9.1%36.8%7.4%31.7%6.6%2.0%630.6K-23.0M-254.5K1.2923.0612416025,17833,749
2009-08-07$28.11$25.0030.0%9.6%36.8%6.3%0.0%9.2%1.3%621.7K-21.9M-251.2K0.0416.9549224,98133,775
2009-08-10$27.49$25.0039.0%11.7%38.2%12.7%40.6%6.3%1.0%522.3K-17.4M-251.2K42.4012.71521225,00433,775
2009-08-11$27.01$25.0037.6%11.7%39.2%11.8%40.3%6.1%0.2%451.6K-14.3M-248.3K0.3115.1775923525,00433,987
2009-08-12$27.08$25.0038.8%11.5%36.5%12.6%34.0%5.6%0.8%458.3K-15.3M-250.4K0.3425.4661621025,37134,209
2009-08-13$28.08$25.0033.3%9.6%38.3%8.7%33.4%7.7%1.4%590.3K-22.4M-251.9K1.2521.8729136325,73434,390
2009-08-14$27.60$25.0032.9%9.4%38.9%8.4%33.0%7.6%1.2%601.0K-18.8M-252.6K0.4117.792279225,91534,472
2009-08-17$26.60$25.0040.3%11.6%40.3%13.7%0.0%5.3%0.4%355.0K-13.1M-249.3K0.0617.938815026,04334,441
2009-08-18$27.63$25.0033.8%9.7%41.2%9.0%0.0%6.4%1.5%506.1K-19.6M-256.4K2.8019.25359826,16934,412
2009-08-19$27.94$25.0033.9%9.7%41.3%9.1%0.0%6.2%0.5%612.3K-21.4M-251.9K0.4124.941777226,37634,338
2009-08-20$28.51$25.0032.6%9.3%40.9%8.1%0.0%10.8%1.9%756.8K-25.3M-251.4K0.3112.272206826,09634,324
2009-08-21$28.92$25.0033.1%9.5%40.9%8.5%33.0%11.4%1.3%819.7K-28.8M-244.2K0.1118.152072226,10834,369
2009-08-24$28.50$25.0033.3%9.6%41.2%8.7%33.4%8.1%1.0%753.1K-22.2M-240.8K0.0911.723012624,57033,845
2009-08-25$28.47$25.0032.6%9.3%41.0%8.1%32.6%6.8%1.8%750.9K-22.4M-239.8K0.3917.26662624,74633,869
2009-08-26$28.21$25.0032.3%9.2%40.8%7.9%32.4%5.3%2.4%732.9K-20.7M-235.7K2.3815.9513732624,75833,866
2009-08-27$27.94$25.0031.5%9.0%31.3%7.4%0.0%7.0%2.9%676.1K-18.1M-239.9K1.8814.65173224,84833,944
2009-08-28$27.63$25.0031.1%8.9%31.3%7.1%39.4%6.6%3.2%649.5K-16.1M-234.6K0.2221.183307324,86533,935
2009-08-31$26.86$25.0041.9%12.0%32.4%14.9%38.8%0.9%-0.1%434.4K-10.5M-235.8K1.1013.6820522625,17533,940