CCI Options History — January 2010

In January 2010, CCI traded between $36.94 and $39.99. ATM implied volatility averaged 26.8%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.1% (HV 20d: 19.6%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.20.

Notable Days

2010-01-27: Highest Volume — 7,762 contracts
2010-01-14: Largest IV spike — 44.0% change
2010-01-26: Highest IV Rank — 25.0%
2010-01-26: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.49	$36.94	$39.99	$39.61	$36.94
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	26.8%	17.0%	34.3%	25.4%	31.1%
Expected Move	8.0%	7.0%	9.8%	7.6%	8.9%
HV 20d	19.6%	15.9%	23.4%	20.9%	23.4%
HV 60d	27.8%	26.2%	30.0%	29.8%	26.6%
IV Rank	10.9%	0.0%	25.0%	2.5%	20.3%
IV Percentile	7.5%	0.0%	28.2%	2.8%	12.7%
Term Structure	2.4%	-1.1%	5.0%	4.8%	0.5%
VWIV	27.8%	23.6%	31.2%	26.6%	29.8%
Skew 25d	5.9%	2.7%	9.9%	4.3%	2.9%
Skew 10d	9.7%	2.5%	18.3%	5.3%	2.5%
Call IV 25d	24.9%	20.0%	29.6%	25.6%	27.6%
Put IV 25d	30.8%	28.6%	34.3%	29.9%	30.4%
Bid-Ask Spread %	12.87	7.88	26.36	12.54	17.81
Gamma HHI	0.53	0.33	0.81	0.81	0.42
Net GEX	505.6K	231.7K	759.9K	713.3K	456.5K
Net DEX	-30.4M	-49.8M	-7.8M	-47.7M	-7.8M
Net VEX	-134.8K	-181.1K	-100.9K	-101.0K	-181.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.03	6.58	0.03	0.64
Total Volume	1,175.789	105	7,762	503	713
Total OI	37,959.526	17,548	58,212	52,497	26,477

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$39.61	$40.00	25.4%	7.6%	20.9%	2.5%	26.6%	4.3%	4.8%	713.3K	-47.7M	-101.0K	0.03	12.54	487	16	16,557	35,940
2010-01-05	$39.99	$40.00	26.6%	7.8%	21.0%	4.4%	27.4%	4.5%	4.3%	759.9K	-49.8M	-103.3K	0.49	18.07	117	57	16,915	35,940
2010-01-06	$39.42	$40.00	25.4%	7.7%	21.2%	2.4%	26.8%	4.4%	4.5%	746.9K	-47.1M	-103.3K	2.09	19.16	34	71	16,914	35,996
2010-01-07	$38.77	$40.00	25.2%	7.6%	19.9%	2.1%	26.5%	4.3%	4.3%	655.2K	-44.3M	-102.9K	2.74	26.36	39	107	16,905	36,035
2010-01-08	$38.96	$40.00	24.4%	7.7%	19.2%	0.8%	23.6%	9.9%	4.2%	716.1K	-45.0M	-101.9K	1.56	7.88	202	315	16,912	36,053
2010-01-11	$38.97	$40.00	26.7%	7.4%	18.2%	4.5%	26.3%	8.6%	4.7%	740.0K	-43.8M	-100.9K	6.58	9.90	178	1,172	16,725	36,356
2010-01-12	$38.25	$40.00	18.9%	7.3%	19.9%	0.0%	28.7%	6.9%	4.1%	231.7K	-39.3M	-105.1K	0.04	18.85	796	35	16,792	37,299
2010-01-13	$38.67	$40.00	17.0%	7.1%	19.0%	0.0%	26.7%	7.6%	4.9%	548.8K	-42.9M	-110.8K	0.04	8.96	3,807	146	17,187	37,274
2010-01-14	$38.61	$40.00	24.5%	7.0%	19.1%	10.8%	25.5%	7.6%	5.0%	426.1K	-44.2M	-151.8K	0.27	9.24	117	31	20,784	37,354
2010-01-15	$38.69	$40.00	26.1%	7.5%	18.9%	13.1%	26.1%	6.7%	2.9%	431.1K	-44.6M	-150.9K	0.33	9.91	958	315	20,827	37,385
2010-01-19	$38.83	$40.00	26.9%	7.7%	17.4%	14.2%	27.3%	8.0%	0.2%	377.3K	-17.0M	-153.4K	0.06	9.57	268	16	11,767	5,781
2010-01-20	$38.96	$40.00	26.8%	7.7%	15.9%	14.1%	27.0%	8.1%	0.4%	403.2K	-17.6M	-153.8K	0.25	8.02	244	62	11,958	5,785
2010-01-21	$38.43	$40.00	26.1%	7.5%	15.9%	13.2%	26.3%	5.8%	1.5%	378.1K	-16.3M	-151.0K	0.49	10.61	313	153	12,077	5,827
2010-01-22	$37.35	$40.00	33.8%	9.7%	18.5%	24.3%	30.2%	4.5%	-0.8%	330.7K	-13.7M	-154.8K	2.41	9.18	546	1,314	12,310	5,919
2010-01-25	$38.05	$40.00	29.3%	8.4%	19.8%	17.7%	31.2%	6.3%	-0.9%	438.3K	-16.6M	-153.4K	2.91	8.74	82	239	12,667	5,735
2010-01-26	$37.44	$40.00	34.3%	9.8%	19.6%	25.0%	30.7%	4.3%	-1.1%	399.3K	-14.4M	-148.7K	0.78	13.21	217	169	12,709	5,778
2010-01-27	$38.25	$40.00	29.5%	8.5%	21.5%	18.0%	30.5%	4.7%	-0.6%	461.7K	-16.9M	-152.7K	0.90	11.30	4,094	3,668	12,765	5,704
2010-01-28	$37.17	$40.00	30.7%	8.8%	23.4%	19.8%	30.3%	2.7%	2.0%	392.4K	-8.0M	-180.7K	0.20	15.18	1,033	209	16,414	9,408
2010-01-29	$36.94	$40.00	31.1%	8.9%	23.4%	20.3%	29.8%	2.9%	0.5%	456.5K	-7.8M	-181.1K	0.64	17.81	435	278	17,124	9,353