CCI Options History — February 2010

In February 2010, CCI traded between $35.28 and $38.62. ATM implied volatility averaged 30.0%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 4.5% (HV 20d: 25.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 5.09.

Notable Days

2010-02-01: Highest Volume — 5,954 contracts
2010-02-23: Largest IV spike — 30.0% change
2010-02-12: Highest IV Rank — 25.7%
2010-02-12: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.18	$35.28	$38.62	$37.27	$37.80
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	30.0%	23.9%	34.8%	32.6%	24.0%
Expected Move	8.6%	6.9%	10.0%	9.4%	6.9%
HV 20d	25.5%	22.6%	27.7%	23.6%	23.7%
HV 60d	22.9%	21.8%	25.0%	24.7%	22.7%
IV Rank	19.0%	11.1%	25.7%	22.6%	11.2%
IV Percentile	15.7%	1.2%	35.7%	19.4%	2.0%
Term Structure	0.6%	-1.8%	2.1%	0.0%	2.1%
VWIV	31.0%	24.8%	35.6%	28.3%	33.4%
Skew 25d	6.2%	0.8%	8.5%	2.9%	7.3%
Skew 10d	10.8%	1.5%	17.4%	4.0%	8.8%
Call IV 25d	27.2%	24.1%	31.5%	28.9%	24.9%
Put IV 25d	33.4%	29.6%	38.2%	31.8%	32.2%
Bid-Ask Spread %	18.10	9.41	27.25	10.78	22.25
Gamma HHI	0.35	0.29	0.46	0.43	0.31
Net GEX	-112.4K	-475.3K	490.8K	490.8K	-107.0K
Net DEX	-859.5K	-9.9M	9.4M	-9.0M	-2.8M
Net VEX	-214.3K	-232.9K	-179.9K	-179.9K	-224.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.09	0.06	38.96	38.96	0.85
Total Volume	972.474	85	5,954	5,954	85
Total OI	35,833.684	26,486	38,941	26,486	38,520

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
2010-02-01	$37.27	$40.00	32.6%	9.4%	23.6%	22.6%	28.3%	2.9%	0.0%	490.8K	-9.0M	-179.9K	38.96	10.78	149	5,805	17,181	9,305
2010-02-02	$37.30	$40.00	31.1%	8.9%	22.8%	20.4%	31.1%	3.3%	1.1%	45.1K	-2.5M	-204.6K	1.15	13.40	92	106	17,246	14,252
2010-02-03	$36.79	$40.00	30.2%	8.7%	22.6%	19.1%	28.7%	0.8%	1.7%	-31.0K	946.6K	-196.2K	4.93	20.47	44	217	17,256	14,277
2010-02-04	$35.59	$40.00	32.0%	9.2%	24.6%	21.7%	28.2%	6.0%	1.1%	-215.2K	7.9M	-190.8K	1.47	9.41	151	222	17,261	14,571
2010-02-05	$35.28	$40.00	33.2%	9.7%	24.3%	23.4%	33.8%	7.5%	-0.2%	-244.1K	9.4M	-185.1K	1.84	17.15	552	1,013	17,272	14,643
2010-02-08	$35.66	$40.00	33.7%	9.8%	24.7%	24.0%	34.1%	5.6%	-0.5%	-266.5K	7.0M	-193.4K	2.19	16.94	36	79	17,732	15,292
2010-02-09	$35.87	$40.00	33.1%	9.8%	24.9%	23.3%	34.2%	7.0%	-1.0%	-247.4K	5.4M	-197.6K	31.84	19.00	160	5,094	17,744	15,313
2010-02-10	$35.97	$40.00	32.5%	9.6%	24.4%	22.4%	33.4%	6.3%	0.4%	-475.3K	9.4M	-226.1K	1.06	25.28	121	128	17,832	20,381
2010-02-11	$36.98	$40.00	33.3%	9.5%	26.3%	23.5%	33.1%	6.2%	0.8%	-280.4K	2.4M	-228.9K	0.72	27.25	345	249	17,925	20,459
2010-02-12	$37.33	$40.00	34.8%	10.0%	26.6%	25.7%	33.5%	6.3%	-1.8%	-226.8K	-283.1K	-232.9K	6.64	26.86	36	239	18,071	20,552
2010-02-16	$37.98	$40.00	28.1%	8.1%	27.5%	16.1%	30.8%	6.5%	0.9%	-128.3K	-4.6M	-224.4K	0.40	13.28	270	109	18,106	20,559
2010-02-17	$38.40	$40.00	27.4%	7.9%	27.7%	15.0%	30.4%	8.2%	0.8%	5.0K	-8.2M	-229.8K	0.24	13.81	176	43	18,240	20,567
2010-02-18	$38.49	$40.00	26.8%	7.7%	27.7%	14.1%	29.9%	7.8%	1.5%	9.7K	-9.2M	-225.4K	1.30	13.77	99	129	18,324	20,543
2010-02-19	$38.62	$40.00	27.3%	7.8%	27.3%	14.8%	35.6%	8.5%	0.8%	101.2K	-9.9M	-224.0K	0.68	17.14	879	595	18,336	20,605
2010-02-22	$38.29	$40.00	26.5%	7.6%	25.4%	13.7%	27.1%	7.7%	1.1%	-59.0K	-7.5M	-229.0K	0.17	14.75	168	29	17,849	20,089
2010-02-23	$37.16	$40.00	34.4%	9.9%	26.8%	25.2%	32.6%	6.6%	-1.7%	-257.8K	1.2M	-226.9K	2.17	23.93	169	366	17,878	20,112
2010-02-24	$37.85	$40.00	25.1%	7.2%	27.0%	12.9%	25.3%	6.3%	1.7%	-139.0K	-3.2M	-227.6K	0.10	14.39	256	26	17,969	20,248
2010-02-25	$37.85	$40.00	23.9%	6.9%	25.9%	11.1%	24.8%	6.4%	2.1%	-109.2K	-2.7M	-224.2K	0.06	24.08	227	13	18,070	20,260
2010-02-26	$37.80	$40.00	24.0%	6.9%	23.7%	11.2%	33.4%	7.3%	2.1%	-107.0K	-2.8M	-224.9K	0.85	22.25	46	39	18,257	20,263