CCI Options History — September 2009

In September 2009, CCI traded between $26.07 and $31.88. ATM implied volatility averaged 35.3%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 3.6% (HV 20d: 31.7%). Max pain ranged from $22.50 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 1.76.

Notable Days

  • 2009-09-04: Highest Volume — 1,134 contracts
  • 2009-09-04: Largest IV drop — 26.9% change
  • 2009-09-01: Highest IV Rank — 14.0%
  • 2009-09-03: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.77$26.07$31.88$26.07$31.36
Max Pain$23.33$22.50$25.00$25.00$25.00
ATM IV35.3%30.1%41.2%40.7%34.8%
Expected Move10.3%9.5%11.8%11.7%10.0%
HV 20d31.7%23.6%36.7%33.2%23.6%
HV 60d35.1%32.5%37.4%37.4%32.5%
IV Rank4.4%0.0%14.0%14.0%3.7%
IV Percentile12.0%0.4%21.8%20.6%11.5%
Term Structure3.2%-0.6%5.0%1.0%5.0%
VWIV35.1%21.3%42.9%40.1%34.8%
Skew 25d8.6%-0.0%21.5%13.3%0.4%
Skew 10d21.0%-2.9%102.0%21.1%-0.3%
Call IV 25d30.8%24.9%34.6%28.9%34.4%
Put IV 25d39.4%33.6%56.0%42.2%34.8%
Bid-Ask Spread %11.805.3921.7321.735.39
Gamma HHI0.600.380.690.380.69
Net GEX1.2M237.5K1.7M237.5K1.7M
Net DEX-35.5M-53.1M-5.3M-5.4M-50.9M
Net VEX-202.8K-235.9K-171.5K-235.9K-174.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.0011.400.772.28
Total Volume433.04841,134316256
Total OI60,414.47659,28761,31559,28761,315

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$26.07$25.0040.7%11.7%33.2%14.0%0.0%13.3%1.0%237.5K-5.4M-235.9K0.7721.7317913725,31733,970
2009-09-02$26.13$25.0040.1%11.5%33.1%8.8%40.1%12.8%0.2%270.2K-5.3M-232.8K0.9621.5534533025,40033,936
2009-09-03$26.94$25.0041.2%11.8%34.6%8.6%41.2%13.4%-0.6%487.5K-10.4M-230.6K0.4010.1536714725,55933,995
2009-09-04$27.83$22.5030.1%9.5%36.7%0.1%41.0%7.9%4.9%807.5K-17.0M-230.7K2.7714.3930183325,76434,059
2009-09-08$28.33$22.5031.0%9.6%36.3%0.7%33.5%11.3%4.7%925.6K-21.5M-224.9K0.649.7331620325,82734,030
2009-09-09$28.71$22.5030.1%9.9%35.8%0.0%42.9%10.9%3.6%1.0M-24.6M-226.9K0.0012.17155026,04134,083
2009-09-10$29.08$22.5034.1%9.8%36.0%3.1%34.1%12.2%3.7%1.2M-27.8M-220.8K0.0013.384026,08434,083
2009-09-11$29.75$22.5033.2%9.5%34.6%2.4%33.0%13.0%4.0%1.3M-34.4M-213.3K0.458.0472332726,08834,083
2009-09-14$29.24$22.5034.0%9.7%34.6%3.0%34.0%12.4%3.9%1.3M-30.2M-210.2K0.057.41160826,37134,394
2009-09-15$29.80$22.5034.6%9.9%31.7%3.5%33.5%13.4%2.7%1.4M-35.6M-209.8K5.687.638850026,38834,402
2009-09-16$30.52$22.5035.0%10.0%30.1%3.8%34.6%6.0%2.6%1.5M-42.1M-201.3K0.3916.5065325526,39834,454
2009-09-17$30.42$22.5035.0%10.0%30.2%3.8%35.0%5.8%2.8%1.5M-42.3M-200.2K0.0016.39150026,64534,382
2009-09-18$30.95$22.5034.9%10.0%30.0%3.7%34.9%7.3%2.9%1.4M-46.7M-195.2K0.6416.7516510526,66834,382
2009-09-21$31.44$22.5036.0%10.3%30.1%4.6%36.0%1.9%3.8%1.4M-48.8M-188.9K0.056.534842425,99934,233
2009-09-22$31.88$22.5037.3%10.7%29.4%5.6%31.8%6.1%2.5%1.3M-52.9M-178.0K0.209.112545126,24534,257
2009-09-23$31.66$22.5035.0%10.0%29.6%3.8%34.4%4.0%4.8%1.4M-53.1M-173.1K0.309.571765226,22434,242
2009-09-24$31.12$22.5035.2%10.1%30.3%4.0%21.3%0.3%4.1%1.5M-48.1M-178.6K11.4011.552022826,31434,264
2009-09-25$31.11$25.0035.7%10.2%29.9%4.4%34.3%-0.0%3.8%1.5M-46.6M-185.9K0.1711.534858326,21934,446
2009-09-28$31.64$25.0037.5%10.8%29.5%5.7%35.2%7.4%2.4%1.5M-51.4M-176.1K9.7112.222827226,55634,493
2009-09-29$31.29$25.0035.8%10.3%27.3%4.5%35.8%21.5%4.0%1.6M-49.9M-171.5K0.006.13230026,55834,536
2009-09-30$31.36$25.0034.8%10.0%23.6%3.7%34.8%0.4%5.0%1.7M-50.9M-174.2K2.285.397817826,77934,536