CCI Options History — June 2010

In June 2010, CCI traded between $35.57 and $39.64. ATM implied volatility averaged 30.5%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 6.6% (HV 20d: 37.0%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.92.

Notable Days

  • 2010-06-09: Highest Volume — 1,651 contracts
  • 2010-06-04: Largest IV spike — 52.8% change
  • 2010-06-07: Highest IV Rank — 70.7%
  • 2010-06-01: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.98$35.57$39.64$35.94$37.26
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.5%23.5%38.3%38.2%38.1%
Expected Move8.7%6.7%11.0%11.0%10.9%
HV 20d37.0%32.9%40.5%35.9%32.9%
HV 60d29.4%27.1%30.7%27.1%29.8%
IV Rank44.6%21.4%70.7%70.3%69.9%
IV Percentile41.4%5.2%85.7%79.8%85.7%
Term Structure1.8%-0.9%4.1%-0.9%1.3%
VWIV28.6%16.0%38.0%18.4%29.0%
Skew 25d9.9%6.4%13.9%11.4%6.4%
Skew 10d17.4%5.7%27.5%12.5%5.7%
Call IV 25d25.9%20.4%33.1%24.1%31.1%
Put IV 25d35.7%32.0%44.0%35.5%37.4%
Bid-Ask Spread %12.188.9230.2812.8610.62
Gamma HHI0.320.260.440.260.28
Net GEX213.6K-280.8K706.2K-194.9K100.6K
Net DEX-10.8M-19.2M1.4M-506.5K-8.7M
Net VEX-128.7K-147.8K-115.2K-136.3K-115.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.0122.603.310.50
Total Volume421.591221,651561,295
Total OI27,121.36426,36228,26326,37426,683

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$35.94$35.0038.2%11.0%35.9%70.3%18.4%11.4%-0.9%-194.9K-506.5K-136.3K3.3112.86134312,66313,711
2010-06-02$36.91$35.0034.7%10.0%36.6%58.8%16.0%13.9%-0.3%-92.7K-4.0M-132.8K0.349.83642212,66313,699
2010-06-03$37.73$35.0023.5%6.7%37.4%21.4%23.8%7.5%2.7%40.7K-6.2M-136.1K0.5030.28542712,71213,699
2010-06-04$36.11$35.0035.8%10.1%40.1%62.5%34.6%9.0%1.1%-206.0K-1.1M-134.8K2.1114.0634973612,69613,710
2010-06-07$35.84$35.0038.3%10.5%39.4%70.7%36.3%8.9%-0.2%-252.5K-73.8K-133.6K0.4310.3433014212,68913,735
2010-06-08$35.57$35.0038.2%10.9%36.2%70.3%38.0%10.8%-0.6%-280.8K1.4M-127.7K1.1510.8071582512,88013,735
2010-06-09$36.05$35.0036.4%10.4%36.4%64.5%35.3%9.3%-0.8%-216.0K-1.5M-129.1K0.9711.4283881313,34614,044
2010-06-10$37.72$35.0029.3%8.4%38.9%40.7%29.5%9.6%1.4%120.1K-9.2M-147.8K0.1011.805485313,78814,475
2010-06-11$39.14$35.0029.2%8.4%40.5%40.5%29.4%6.6%1.4%466.4K-16.9M-140.7K0.6915.5622215313,55314,477
2010-06-14$39.16$35.0029.7%8.5%39.8%42.0%29.7%13.2%1.5%478.1K-17.0M-137.6K0.449.5643719413,63014,464
2010-06-15$39.60$35.0029.3%8.4%39.9%40.7%29.3%13.9%1.6%602.0K-18.6M-132.4K0.019.51156113,64214,441
2010-06-16$39.64$35.0028.7%8.2%39.3%38.8%28.7%13.5%2.1%706.2K-19.2M-132.3K22.6010.59511313,75814,442
2010-06-17$39.31$35.0028.2%8.1%39.5%37.1%28.2%11.7%2.2%648.4K-17.7M-130.1K1.1511.28546213,76114,356
2010-06-18$39.25$35.0026.7%7.7%37.0%32.1%26.7%11.4%2.9%609.1K-17.6M-128.4K0.389.10391513,70714,358
2010-06-21$38.98$35.0026.2%7.5%35.7%30.5%25.7%9.0%2.5%315.2K-15.3M-124.4K0.8813.07605312,93213,702
2010-06-22$38.67$35.0026.2%7.5%35.6%30.4%30.2%9.2%3.2%281.9K-14.2M-118.6K1.268.9214117812,93213,712
2010-06-23$39.09$35.0025.8%7.4%35.4%29.0%27.8%9.3%3.7%370.6K-16.1M-117.8K0.3914.001877313,06813,637
2010-06-24$38.27$35.0026.8%7.7%36.4%32.3%26.8%6.6%3.8%267.1K-12.9M-120.8K0.969.40252413,21213,621
2010-06-25$38.65$35.0026.2%7.5%34.3%30.4%0.0%8.0%3.4%329.8K-14.2M-120.2K0.0011.0603513,20113,642
2010-06-28$38.92$35.0026.7%7.6%33.8%32.0%26.7%8.8%3.7%386.4K-15.8M-118.1K1.9412.915410513,20113,607
2010-06-29$37.86$35.0028.0%8.0%33.5%36.4%29.8%9.4%4.1%219.9K-11.2M-115.7K0.2910.9317513,13313,553
2010-06-30$37.26$35.0038.1%10.9%32.9%69.9%29.0%6.4%1.3%100.6K-8.7M-115.2K0.5010.6286243313,13013,553