CCI Options History — May 2010

In May 2010, CCI traded between $34.82 and $38.41. ATM implied volatility averaged 33.8%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 6.5% (HV 20d: 27.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2010-05-06: Highest Volume — 774 contracts
  • 2010-05-28: Largest IV spike — 44.1% change
  • 2010-05-20: Highest IV Rank — 80.5%
  • 2010-05-20: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.68$34.82$38.41$38.41$37.03
Max Pain$36.25$35.00$40.00$40.00$35.00
ATM IV33.8%22.5%41.3%25.1%32.5%
Expected Move9.6%6.5%11.8%7.2%9.3%
HV 20d27.2%18.1%35.0%19.0%35.0%
HV 60d23.9%21.2%26.6%21.2%26.6%
IV Rank52.2%18.3%80.5%22.9%51.3%
IV Percentile53.7%3.2%86.9%13.9%41.3%
Term Structure-0.4%-4.6%2.7%-0.0%1.9%
VWIV31.5%16.9%41.5%19.3%32.3%
Skew 25d7.7%2.6%9.9%5.9%7.5%
Skew 10d15.3%1.8%20.9%10.8%7.8%
Call IV 25d29.5%24.5%37.9%25.1%24.5%
Put IV 25d37.2%30.3%47.8%30.9%32.0%
Bid-Ask Spread %23.7414.7838.0518.9628.20
Gamma HHI0.270.250.350.260.25
Net GEX-174.2K-525.7K54.9K54.9K-38.5K
Net DEX-2.2M-8.8M5.5M-8.8M-4.6M
Net VEX-154.2K-166.9K-140.4K-160.3K-140.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.0111.540.160.10
Total Volume303.14774744
Total OI27,151.4526,28027,88126,90126,374

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-05-03$38.41$40.0025.1%7.2%19.0%22.9%19.3%5.9%-0.0%54.9K-8.8M-160.3K0.1618.96641012,74414,157
2010-05-04$37.52$40.0026.3%7.5%18.2%26.3%28.4%2.6%-0.5%-70.4K-5.5M-159.5K0.2016.743887712,72914,163
2010-05-05$37.26$40.0034.7%10.0%18.1%50.3%32.8%7.3%-4.6%-104.4K-4.7M-164.3K0.2528.792476112,84014,171
2010-05-06$36.57$40.0038.4%11.0%18.8%60.8%35.8%5.2%-3.2%-181.1K-1.6M-164.3K0.7038.0545432012,97414,154
2010-05-07$35.80$40.0039.5%10.5%20.0%63.8%38.2%9.5%-0.8%-254.2K1.5M-166.9K2.8814.7812836913,27414,153
2010-05-10$37.34$35.0030.0%9.8%25.5%37.0%33.4%6.8%-0.2%-76.5K-3.9M-156.0K4.4122.484118113,18214,227
2010-05-11$36.81$35.0036.9%9.7%26.0%56.6%27.5%7.7%0.2%-165.2K-2.8M-159.0K11.5421.701315013,16914,256
2010-05-12$37.76$35.0029.4%7.6%27.5%35.7%26.8%6.9%1.0%-6.6K-6.6M-159.8K6.4827.547951213,17914,318
2010-05-13$37.14$35.0033.2%9.5%28.1%46.4%41.5%7.5%-0.6%-129.1K-4.0M-159.4K0.2619.771092813,11214,562
2010-05-14$36.52$35.0033.6%9.6%28.7%53.3%26.6%8.3%-0.2%-278.4K-666.1K-157.0K1.7921.7516529513,07314,590
2010-05-17$36.67$35.0033.4%9.6%28.7%53.9%28.2%8.8%2.7%-258.0K-1.3M-150.5K0.5624.571015712,96914,413
2010-05-18$36.11$35.0034.7%10.0%27.6%58.8%16.9%9.4%-0.3%-369.6K744.0K-147.1K0.8623.861139713,02314,445
2010-05-19$36.00$35.0035.1%10.1%27.6%60.0%28.8%9.8%0.2%-400.6K1.5M-146.5K0.4022.7032713213,11214,451
2010-05-20$34.82$35.0041.3%11.8%29.6%80.5%40.6%9.9%-3.2%-525.7K5.5M-152.8K1.3923.3021630013,30714,491
2010-05-21$36.03$35.0038.9%11.1%32.5%72.5%37.9%9.0%-0.7%-228.6K1.4M-153.8K0.8318.9322018213,35314,528
2010-05-24$35.71$35.0037.7%10.8%32.6%68.6%37.7%9.4%-1.5%-186.2K601.6K-147.9K0.7619.46463512,75213,688
2010-05-25$36.33$35.0037.0%10.6%33.2%66.2%0.0%8.7%0.3%-129.1K-1.1M-151.0K0.0127.72344312,76913,712
2010-05-26$36.22$35.0035.1%10.1%33.2%59.9%35.1%8.1%-0.8%-142.2K-2.4M-146.4K0.0432.4180312,56913,711
2010-05-27$37.57$35.0022.5%6.5%35.0%18.3%32.3%6.5%2.5%5.3K-7.1M-140.4K0.1022.991011012,62413,711
2010-05-28$37.03$35.0032.5%9.3%35.0%51.3%0.0%7.5%1.9%-38.5K-4.6M-140.4K0.0028.200412,66313,711