CCI Options History — November 2009

In November 2009, CCI traded between $30.03 and $37.80. ATM implied volatility averaged 36.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 1.6% (HV 20d: 37.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2009-11-30: Highest Volume — 2,329 contracts
  • 2009-11-18: Largest IV spike — 17.1% change
  • 2009-11-03: Highest IV Rank — 15.1%
  • 2009-11-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.54$30.03$37.80$30.03$36.69
Max Pain$32.25$30.00$35.00$30.00$35.00
ATM IV36.0%30.1%47.1%44.8%36.4%
Expected Move10.3%8.6%13.5%12.8%10.4%
HV 20d37.6%31.7%43.9%33.6%31.7%
HV 60d32.7%31.3%33.6%32.1%31.3%
IV Rank7.0%2.3%15.1%13.4%9.1%
IV Percentile19.7%1.2%49.2%46.4%27.4%
Term Structure-0.6%-6.0%1.3%-5.4%-1.0%
VWIV35.8%29.9%47.0%44.4%36.4%
Skew 25d5.3%3.1%7.5%5.0%4.6%
Skew 10d8.1%-1.5%19.4%8.3%1.3%
Call IV 25d32.6%28.7%44.5%44.5%31.0%
Put IV 25d37.9%32.5%50.0%49.5%35.6%
Bid-Ask Spread %17.969.9929.6829.6823.07
Gamma HHI0.410.270.520.290.45
Net GEX731.1K132.6K1.0M132.6K1.0M
Net DEX-42.2M-56.1M-12.8M-12.8M-47.6M
Net VEX-119.0K-138.8K-105.6K-138.8K-109.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.054.772.640.34
Total Volume816.15442,3295282,329
Total OI53,390.149,30755,61949,30754,222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-11-02$30.03$30.0044.8%12.8%33.6%13.4%44.4%5.0%-5.4%132.6K-12.8M-138.8K2.6429.6814538315,26534,042
2009-11-03$31.59$30.0047.1%13.5%38.1%15.1%47.0%7.5%-6.0%214.0K-18.7M-135.0K1.2811.9452467215,30834,356
2009-11-04$31.96$30.0040.8%11.7%38.3%10.3%40.4%3.2%-1.8%314.0K-22.2M-123.9K0.1724.152654615,48634,655
2009-11-05$32.88$30.0034.1%9.8%39.3%5.3%34.1%5.0%-1.6%293.3K-24.5M-128.6K0.0715.482,02714915,55434,677
2009-11-06$33.53$30.0032.5%9.3%39.6%4.1%32.6%5.9%1.3%550.0K-29.9M-130.4K0.0728.011,97514817,23634,703
2009-11-09$34.98$30.0034.5%9.5%41.8%5.6%33.0%7.4%1.2%814.1K-39.6M-129.9K0.6516.24754918,94034,795
2009-11-10$34.96$30.0032.9%9.4%41.8%4.4%38.9%5.5%1.3%893.2K-40.7M-119.0K2.5117.098421118,91234,844
2009-11-11$36.54$30.0035.7%9.8%43.9%6.5%32.7%5.5%0.6%831.5K-48.7M-113.4K0.2215.814048718,94034,981
2009-11-12$36.15$30.0034.7%9.9%39.8%5.7%34.6%4.8%0.0%865.1K-46.9M-115.6K0.0516.121,2566518,93934,957
2009-11-13$36.63$30.0033.6%9.6%38.9%5.0%29.9%5.1%0.4%923.4K-50.3M-117.6K0.1911.2797619019,85735,002
2009-11-16$37.11$30.0038.0%10.9%38.5%8.2%37.3%6.7%-1.3%838.0K-51.3M-123.4K1.8219.755761,04919,86935,112
2009-11-17$37.80$35.0031.7%9.1%37.9%3.5%37.8%4.9%1.1%797.9K-56.1M-109.9K0.7119.29654620,00035,508
2009-11-18$37.35$35.0037.1%10.6%37.1%7.6%37.1%6.3%-0.7%807.4K-53.4M-117.7K1.1319.6016418620,01135,541
2009-11-19$36.99$35.0036.0%10.3%37.4%6.8%35.5%5.8%-0.4%833.4K-51.8M-115.8K4.7720.41136220,01235,607
2009-11-20$37.45$35.0036.2%10.4%36.1%6.9%31.1%5.8%-0.9%826.5K-54.3M-112.0K2.3820.58133120,01535,600
2009-11-23$37.66$35.0030.1%8.6%35.4%2.3%30.0%5.4%1.3%844.5K-51.2M-105.6K0.139.996728518,79334,560
2009-11-24$37.01$35.0034.2%9.8%34.8%6.6%31.2%5.1%0.5%934.4K-48.6M-109.8K0.4112.5433513719,01434,595
2009-11-25$37.00$35.0032.6%9.3%33.2%5.4%0.0%3.8%0.2%943.0K-49.7M-110.3K0.4713.431376519,32934,606
2009-11-27$36.46$35.0036.2%10.4%34.2%9.0%36.3%3.1%-0.9%948.6K-46.2M-113.9K0.1714.795388919,33134,628
2009-11-30$36.69$35.0036.4%10.4%31.7%9.1%36.4%4.6%-1.0%1.0M-47.6M-109.7K0.3423.071,74358619,57334,649