CCI Options History — October 2009

In October 2009, CCI traded between $30.22 and $34.44. ATM implied volatility averaged 36.9%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 7.8% (HV 20d: 29.1%). Max pain ranged from $25.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.39.

Notable Days

  • 2009-10-02: Highest Volume — 3,174 contracts
  • 2009-10-13: Largest IV drop — 24.3% change
  • 2009-10-30: Highest IV Rank — 12.0%
  • 2009-10-30: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.96$30.22$34.44$30.30$30.22
Max Pain$30.00$25.00$35.00$25.00$30.00
ATM IV36.9%27.0%43.1%36.2%43.1%
Expected Move11.1%9.8%12.3%10.4%12.3%
HV 20d29.1%22.6%34.7%28.2%34.2%
HV 60d32.8%31.4%34.4%33.5%32.1%
IV Rank6.6%0.0%12.0%4.8%12.0%
IV Percentile19.8%0.0%40.1%16.7%40.1%
Term Structure-1.6%-3.8%4.0%3.7%-3.1%
VWIV38.0%34.4%45.6%36.2%42.8%
Skew 25d6.8%4.1%10.3%7.2%4.4%
Skew 10d14.6%1.1%22.9%9.6%7.6%
Call IV 25d34.5%26.7%42.7%26.7%42.7%
Put IV 25d41.3%33.9%47.0%33.9%47.0%
Bid-Ask Spread %14.665.0224.735.0224.73
Gamma HHI0.450.270.730.710.29
Net GEX829.0K150.7K2.0M1.8M157.2K
Net DEX-40.6M-76.1M-14.3M-41.0M-14.3M
Net VEX-142.0K-182.5K-109.7K-181.3K-139.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.008.560.497.04
Total Volume658.63693,174538426
Total OI56,164.63645,98864,09561,23349,126

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-10-01$30.30$25.0036.2%10.4%28.2%4.8%36.2%7.2%3.7%1.8M-41.0M-181.3K0.495.0236117726,78334,450
2009-10-02$30.49$25.0036.3%10.4%26.8%4.8%36.3%6.5%4.0%1.9M-42.7M-181.3K3.556.246982,47627,07434,554
2009-10-05$31.02$30.0036.7%11.6%25.3%5.1%0.0%8.7%-2.2%1.8M-47.9M-182.5K0.4213.991737327,48936,156
2009-10-06$31.43$30.0038.6%11.7%25.1%6.6%40.2%8.2%-1.9%1.6M-51.7M-171.5K8.5619.067866827,30636,205
2009-10-07$31.35$30.0038.0%11.6%25.0%6.1%35.8%8.2%-2.5%1.8M-51.3M-165.6K0.0019.749027,28836,172
2009-10-08$31.06$30.0035.6%11.4%25.3%4.3%45.6%7.0%-1.9%2.0M-49.7M-168.1K2.4222.874310427,27436,172
2009-10-09$31.46$30.0037.3%11.6%24.5%5.6%40.4%8.0%-2.9%1.9M-53.7M-161.8K1.7912.587513427,22836,114
2009-10-12$31.95$30.0035.7%11.5%23.7%4.4%37.6%6.3%-2.9%1.3M-59.4M-148.8K0.3113.60712227,21536,145
2009-10-13$31.90$30.0027.0%11.4%23.1%0.0%36.6%6.7%-1.8%516.0K-63.7M-134.4K0.8712.05615327,20436,165
2009-10-14$32.50$30.0032.4%11.6%22.6%4.0%35.5%6.9%-2.5%267.1K-66.7M-128.8K1.0119.559910027,18936,153
2009-10-15$34.40$30.0035.0%10.0%29.4%6.0%35.8%5.9%-1.7%534.7K-76.1M-109.7K0.2720.181,72946627,21236,203
2009-10-16$33.66$30.0035.1%10.1%30.6%6.1%0.0%4.1%-1.6%352.3K-72.9M-111.7K7.3018.053021927,53936,556
2009-10-19$34.44$30.0035.0%10.0%31.1%6.0%39.0%6.1%-1.4%295.5K-29.3M-113.8K1.0318.9231031813,41032,578
2009-10-20$33.84$30.0034.9%10.0%31.9%5.9%35.9%10.3%-1.0%306.6K-28.2M-113.2K0.489.1759228413,67632,821
2009-10-21$33.11$30.0034.1%9.8%32.9%5.3%34.5%7.5%-0.2%318.0K-25.8M-121.3K3.6010.4918165214,10932,937
2009-10-22$32.96$30.0034.5%9.9%32.2%5.6%34.4%8.0%-1.1%263.8K-24.3M-131.8K0.309.4142612714,26733,253
2009-10-23$32.27$30.0039.9%11.4%33.3%9.6%38.2%5.5%-1.9%306.8K-23.0M-127.4K0.669.6022114514,45233,303
2009-10-26$31.91$30.0040.7%11.7%33.1%10.3%36.1%5.4%-2.3%272.3K-21.2M-129.9K0.599.0818911114,63733,300
2009-10-27$31.20$30.0041.7%12.0%33.9%11.0%39.9%6.0%-3.7%235.4K-18.6M-132.2K8.2211.939981414,70133,315
2009-10-28$30.55$35.0042.5%12.2%34.7%11.6%42.4%6.4%-3.8%150.7K-14.3M-135.8K1.9521.9818235514,79334,004
2009-10-29$31.04$35.0041.1%11.8%32.8%10.5%37.6%6.2%-3.3%204.1K-16.5M-133.5K1.6714.3942771214,94134,153
2009-10-30$30.22$30.0043.1%12.3%34.2%12.0%42.8%4.4%-3.1%157.2K-14.3M-139.9K7.0424.735337315,23433,892