CCI Options History — December 2009

In December 2009, CCI traded between $35.20 and $39.79. ATM implied volatility averaged 30.1%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 7.0% (HV 20d: 23.1%). 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 20 of 22 days. Put/call ratio averaged 1.96.

Notable Days

  • 2009-12-14: Highest Volume — 4,007 contracts
  • 2009-12-17: Largest IV drop — 9.4% change
  • 2009-12-07: Highest IV Rank — 10.6%
  • 2009-12-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.63$35.20$39.79$37.00$39.04
Max Pain$26.36$25.00$35.00$35.00$25.00
ATM IV30.1%23.9%35.9%35.6%24.6%
Expected Move8.6%6.8%10.2%10.2%7.0%
HV 20d23.1%19.9%31.1%31.1%21.3%
HV 60d30.5%29.6%30.9%30.8%29.7%
IV Rank5.2%0.0%10.6%8.4%1.1%
IV Percentile8.4%0.0%25.8%21.4%1.2%
Term Structure2.5%-0.4%6.7%-0.1%2.5%
VWIV29.6%20.4%36.7%34.2%20.4%
Skew 25d5.0%-7.7%10.4%4.7%7.7%
Skew 10d11.0%-12.5%19.1%2.7%12.5%
Call IV 25d27.2%19.2%31.2%30.6%23.2%
Put IV 25d32.3%21.3%38.4%35.3%30.9%
Bid-Ask Spread %9.553.4521.5616.694.33
Gamma HHI0.570.340.780.420.77
Net GEX801.9K386.1K1.3M1.0M614.5K
Net DEX-46.3M-51.9M-39.6M-50.3M-45.6M
Net VEX-115.5K-132.3K-103.0K-118.3K-103.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0023.860.620.00
Total Volume605.136354,00724935
Total OI54,667.72752,04457,35955,19752,479

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$37.00$35.0035.6%10.2%31.1%8.4%34.2%4.7%-0.1%1.0M-50.3M-118.3K0.6216.691549520,16735,030
2009-12-02$37.11$35.0035.4%10.2%27.3%9.1%33.4%4.4%-0.4%996.6K-51.9M-115.4K0.7816.6213510520,23135,103
2009-12-03$36.67$35.0034.3%9.8%28.2%7.8%34.3%3.0%0.3%1.1M-47.3M-121.2K1.5221.5636855820,12735,153
2009-12-04$36.89$25.0035.0%9.7%27.0%8.6%30.5%6.1%3.1%1.0M-49.6M-113.3K0.957.2785681119,92335,514
2009-12-07$36.43$25.0035.9%9.8%27.2%10.6%33.1%6.9%2.9%1.1M-46.9M-129.7K0.6111.181388420,67936,235
2009-12-08$35.54$25.0034.2%9.7%25.1%8.6%34.1%6.3%3.0%1.2M-41.7M-132.3K0.4612.071175420,80236,281
2009-12-09$35.20$25.0033.3%9.7%25.4%8.4%33.3%7.1%2.4%1.3M-39.6M-128.3K1.7812.6315327320,84136,333
2009-12-10$35.98$25.0033.9%9.7%21.1%9.5%31.6%6.8%2.0%1.3M-45.5M-127.2K0.327.31963120,81936,509
2009-12-11$35.98$25.0033.1%9.5%20.8%8.4%32.1%7.3%3.2%1.3M-45.2M-126.8K0.7411.55272020,83836,521
2009-12-14$36.74$25.0033.5%9.6%21.6%9.2%30.5%5.9%2.7%984.8K-51.4M-116.8K0.028.253,9208720,77136,541
2009-12-15$36.80$25.0033.3%9.5%21.1%8.8%36.7%5.1%3.0%459.7K-41.2M-115.1K0.119.704555117,72436,569
2009-12-16$36.67$25.0032.2%9.2%19.9%7.9%32.1%4.6%3.5%419.5K-40.5M-112.5K0.8410.3424520517,52136,520
2009-12-17$37.51$25.0029.1%8.4%21.2%3.6%29.4%3.2%4.1%386.1K-44.3M-110.9K0.479.381306117,65636,488
2009-12-18$38.29$25.0026.5%7.6%22.1%0.0%26.4%6.7%6.7%394.7K-47.1M-109.6K0.039.824721217,72236,534
2009-12-21$38.85$25.0025.4%7.3%22.2%0.0%27.1%6.2%2.4%480.4K-45.8M-107.4K0.296.7434910216,45535,589
2009-12-22$39.08$25.0025.4%7.3%22.2%0.0%25.4%7.5%2.2%497.1K-45.8M-107.5K0.125.615166216,38835,681
2009-12-23$39.25$25.0023.9%6.8%21.0%0.0%23.6%7.8%2.6%605.6K-46.8M-106.8K23.868.85421,00216,65035,732
2009-12-24$39.79$25.0024.0%6.9%21.3%0.1%24.6%10.4%2.8%605.8K-48.3M-112.9K8.038.781371,10016,61936,622
2009-12-28$39.71$25.0024.6%7.0%20.3%1.1%24.5%0.8%2.7%619.0K-47.8M-118.4K0.003.45145016,66937,716
2009-12-29$39.75$25.0024.9%7.1%20.4%1.6%24.9%-7.7%2.0%644.0K-48.4M-104.6K0.523.83442316,56535,916
2009-12-30$39.47$25.0024.8%7.1%20.6%1.5%0.0%-0.2%2.1%637.4K-47.5M-104.0K0.954.07222116,53635,921
2009-12-31$39.04$25.0024.6%7.0%21.3%1.1%20.4%7.7%2.5%614.5K-45.6M-103.0K0.004.3335016,53935,940