CCI Options History — April 2010

In April 2010, CCI traded between $37.22 and $38.63. ATM implied volatility averaged 25.6%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 3.9% (HV 20d: 21.7%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 4.59.

Notable Days

  • 2010-04-07: Highest Volume — 1,549 contracts
  • 2010-04-08: Largest IV drop — 33.8% change
  • 2010-04-27: Highest IV Rank — 30.7%
  • 2010-04-07: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.85$37.22$38.63$38.37$37.85
Max Pain$37.38$35.00$40.00$35.00$40.00
ATM IV25.6%18.0%29.9%19.9%24.1%
Expected Move7.9%5.7%9.3%5.7%6.9%
HV 20d21.7%15.9%25.4%25.3%18.3%
HV 60d23.2%21.7%24.2%23.7%22.2%
IV Rank19.6%2.1%30.7%6.0%20.1%
IV Percentile16.0%0.4%27.4%1.2%9.1%
Term Structure-0.6%-2.5%3.9%3.9%0.2%
VWIV29.3%23.1%33.7%23.1%27.0%
Skew 25d5.0%3.1%7.0%3.1%4.0%
Skew 10d10.8%4.8%20.4%5.7%7.6%
Call IV 25d26.5%23.7%29.8%23.7%25.1%
Put IV 25d31.5%26.8%35.2%26.8%29.2%
Bid-Ask Spread %17.4511.1024.0818.7123.44
Gamma HHI0.290.250.400.330.26
Net GEX-96.2K-584.2K329.6K-41.4K-20.3K
Net DEX-7.9M-14.3M-4.6M-13.7M-6.6M
Net VEX-168.2K-179.6K-159.7K-178.5K-164.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.590.0066.355.730.39
Total Volume431.381251,54943179
Total OI31,100.90526,33836,71633,98626,906

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$38.37$35.0019.9%5.7%25.3%6.0%23.1%3.1%3.9%-41.4K-13.7M-178.5K5.7318.716436715,05818,928
2010-04-05$38.63$35.0025.9%7.9%25.0%18.6%29.0%4.2%0.2%329.6K-14.3M-176.7K0.2923.40651915,09019,231
2010-04-06$37.58$35.0023.6%8.2%25.4%13.8%31.5%3.6%-0.4%-361.9K-7.8M-179.5K1.3713.4828539115,13419,248
2010-04-07$37.22$35.0027.2%9.3%24.2%21.2%30.1%6.1%-1.6%-584.2K-5.2M-179.6K66.3517.69231,52615,25419,425
2010-04-08$37.62$35.0018.0%8.1%24.5%2.1%27.8%6.3%-0.3%-337.5K-7.6M-176.2K0.3819.07682615,25419,425
2010-04-09$37.57$35.0021.1%7.9%24.5%8.4%31.1%5.4%-0.8%-442.0K-6.1M-174.7K4.3320.233314315,24120,129
2010-04-12$37.59$35.0020.8%8.0%24.5%7.8%32.6%5.6%-0.5%-138.4K-8.1M-165.3K4.6921.445525815,24120,209
2010-04-13$37.62$35.0025.1%7.8%24.3%16.9%29.7%4.4%-1.1%-126.6K-7.6M-161.4K0.2323.793768615,25020,329
2010-04-14$37.32$35.0029.3%8.7%22.1%25.6%30.2%3.8%-2.2%-159.7K-7.7M-159.7K1.2724.0865783415,24320,311
2010-04-15$37.52$35.0026.8%7.7%21.6%21.3%30.0%4.1%-1.5%-113.8K-8.0M-167.8K0.7813.4916913215,78020,936
2010-04-16$37.46$35.0029.9%8.6%21.2%28.2%25.8%4.8%1.0%-111.4K-7.5M-161.3K2.0616.6616133115,61720,852
2010-04-19$37.50$40.0029.8%8.5%21.2%28.0%28.1%4.2%-0.0%-85.1K-4.6M-163.2K1.5415.11355412,52313,815
2010-04-20$38.39$40.0025.7%7.4%22.8%18.9%26.2%7.0%-0.5%55.5K-8.7M-167.8K0.3411.102438312,54813,869
2010-04-21$38.27$40.0026.2%7.5%22.8%20.5%0.0%6.3%-0.9%34.3K-8.1M-165.9K0.0013.9725012,65013,907
2010-04-22$38.21$40.0026.6%7.6%22.6%24.0%31.2%5.8%-0.8%30.9K-7.9M-166.4K1.3614.8815120512,67513,907
2010-04-23$38.41$40.0027.0%7.7%17.2%24.8%32.6%7.0%-1.7%67.6K-8.9M-166.7K2.9112.694513112,67713,830
2010-04-26$38.18$40.0028.7%8.2%17.4%29.1%28.7%5.6%-2.5%38.4K-8.2M-166.4K0.7811.761259812,68913,802
2010-04-27$37.72$40.0029.4%8.4%17.0%30.7%32.3%4.7%-1.6%-25.7K-6.4M-164.3K0.0615.023031812,77313,889
2010-04-28$37.52$40.0027.9%8.0%15.9%27.1%33.7%5.4%-2.2%-64.9K-5.2M-165.8K0.8514.0360351012,68713,898
2010-04-29$38.34$40.0024.1%6.9%17.8%17.8%25.1%4.0%-0.2%35.4K-8.1M-161.2K0.6222.3717410812,73114,158
2010-04-30$37.85$40.0024.1%6.9%18.3%20.1%27.0%4.0%0.2%-20.3K-6.6M-164.6K0.3923.44572212,74414,162