CCI Options History — July 2010

In July 2010, CCI traded between $36.45 and $39.56. ATM implied volatility averaged 28.3%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.9% (HV 20d: 29.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 4.82.

Notable Days

  • 2010-07-26: Highest Volume — 5,604 contracts
  • 2010-07-14: Largest IV spike — 42.8% change
  • 2010-07-06: Highest IV Rank — 68.6%
  • 2010-07-06: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.15$36.45$39.56$36.96$39.51
Max Pain$39.52$35.00$40.00$35.00$40.00
ATM IV28.3%20.0%37.7%37.5%24.6%
Expected Move8.7%6.9%10.8%10.8%7.0%
HV 20d29.1%21.3%34.3%32.0%31.5%
HV 60d31.9%29.7%34.1%29.8%33.3%
IV Rank37.3%9.8%68.6%68.0%25.0%
IV Percentile34.5%2.0%84.5%83.3%14.7%
Term Structure0.0%-2.3%3.0%1.5%2.3%
VWIV30.6%24.2%38.0%36.9%24.6%
Skew 25d9.1%2.9%12.8%5.2%8.8%
Skew 10d18.5%2.5%25.5%4.1%14.0%
Call IV 25d26.1%21.2%31.6%31.5%21.4%
Put IV 25d35.2%30.2%40.1%36.7%30.2%
Bid-Ask Spread %16.058.6023.539.8423.21
Gamma HHI0.360.270.650.280.64
Net GEX383.6K-14.3K1.2M55.8K1.2M
Net DEX-10.8M-16.8M-3.7M-7.6M-16.8M
Net VEX-97.9K-115.2K-83.2K-115.2K-103.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.820.0150.001.310.17
Total Volume612.429325,6048691,023
Total OI21,941.33314,88226,89226,74119,090

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$36.96$35.0037.5%10.8%32.0%68.0%36.9%5.2%1.5%55.8K-7.6M-115.2K1.319.8437649313,13613,605
2010-07-02$36.80$35.0034.5%9.9%27.8%57.9%34.5%2.9%3.0%-14.3K-6.6M-105.8K22.0015.7524412,98713,643
2010-07-06$36.89$40.0037.7%10.8%27.6%68.6%38.0%8.4%-1.3%82.9K-7.8M-104.9K13.9011.591013912,98913,236
2010-07-07$37.80$40.0024.8%8.8%28.5%25.8%28.4%9.0%-0.4%236.0K-11.0M-104.3K0.6912.64292012,99713,353
2010-07-08$38.55$40.0025.4%8.5%28.9%27.7%29.7%7.1%-0.6%421.5K-14.4M-103.9K0.3014.682146513,02213,373
2010-07-09$38.01$40.0022.0%8.4%24.9%16.4%34.9%9.8%0.1%295.7K-12.5M-104.5K0.1815.574939113,09213,424
2010-07-12$37.46$40.0022.9%10.2%21.3%19.5%0.0%7.8%-1.9%170.6K-11.2M-98.1K50.0014.9215013,40613,486
2010-07-13$38.31$40.0020.0%8.4%23.0%9.8%29.3%10.3%-0.4%319.0K-13.2M-98.0K0.7819.85181413,40613,475
2010-07-14$38.25$40.0028.5%8.4%22.6%38.2%32.3%10.1%-0.1%339.5K-12.8M-96.5K0.0119.42153213,23013,464
2010-07-15$37.95$40.0028.7%8.2%22.6%38.8%28.7%9.4%-0.1%191.2K-11.7M-90.7K0.3918.80642513,12813,466
2010-07-16$36.47$40.0035.5%10.2%26.2%61.2%35.3%7.4%-2.3%93.1K-8.5M-85.6K6.6818.782214713,18313,482
2010-07-19$36.45$40.0034.3%9.8%26.3%57.4%34.7%8.6%-1.1%107.5K-3.7M-83.2K0.9020.0162569,6875,195
2010-07-20$38.65$40.0028.5%8.2%34.3%38.1%33.2%10.5%-0.7%214.8K-8.1M-89.7K0.2323.536341449,7305,240
2010-07-21$38.43$40.0029.5%8.5%34.2%41.3%29.6%10.8%-0.9%228.1K-8.2M-91.5K0.7519.9017112810,0095,314
2010-07-22$38.84$40.0028.7%8.2%34.2%38.7%31.9%11.3%-0.5%268.5K-9.3M-92.7K0.258.601764410,0855,320
2010-07-23$39.56$40.0028.2%8.1%33.9%37.1%28.2%12.8%-0.8%299.6K-10.7M-90.8K0.5010.761045210,1845,330
2010-07-26$39.15$40.0025.7%7.4%34.0%28.6%25.7%9.8%1.3%291.7K-10.1M-90.7K0.0313.535,41818610,1365,343
2010-07-27$38.97$40.0026.3%7.5%34.0%30.9%26.3%10.9%0.8%1.1M-14.7M-103.0K0.4912.2682039813,6785,295
2010-07-28$38.99$40.0026.4%7.6%32.4%31.0%26.4%9.7%1.1%1.0M-14.3M-104.5K0.5214.4648024913,7745,625
2010-07-29$39.19$40.0024.1%6.9%31.7%23.5%24.2%10.0%1.7%1.1M-14.5M-98.4K1.2018.8611113313,6125,538
2010-07-30$39.51$40.0024.6%7.0%31.5%25.0%24.6%8.8%2.3%1.2M-16.8M-103.6K0.1723.2187714613,6005,490