CCI Options History — August 2010

In August 2010, CCI traded between $38.76 and $41.12. ATM implied volatility averaged 26.7%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.8% (HV 20d: 27.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.27.

Notable Days

  • 2010-08-18: Highest Volume — 4,662 contracts
  • 2010-08-11: Largest IV spike — 10.2% change
  • 2010-08-16: Highest IV Rank — 39.3%
  • 2010-08-16: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.38$38.76$41.12$40.87$41.12
Max Pain$37.73$35.00$40.00$40.00$40.00
ATM IV26.7%23.0%28.9%24.8%28.0%
Expected Move7.8%6.6%8.3%7.1%8.0%
HV 20d27.5%22.1%33.5%33.1%22.7%
HV 60d31.1%27.8%33.7%33.7%27.9%
IV Rank32.1%19.8%39.3%25.7%36.3%
IV Percentile30.6%4.8%42.9%15.9%40.1%
Term Structure2.3%1.2%3.8%1.8%2.9%
VWIV27.6%15.4%35.0%24.8%27.9%
Skew 25d6.7%-2.5%13.4%5.6%10.0%
Skew 10d10.0%-5.0%22.0%6.7%12.5%
Call IV 25d22.8%17.4%28.6%18.4%17.4%
Put IV 25d29.5%23.2%34.2%24.0%27.4%
Bid-Ask Spread %15.757.3426.2512.0011.75
Gamma HHI0.520.260.770.600.26
Net GEX1.2M160.7K2.9M1.4M222.3K
Net DEX-18.0M-28.7M-9.3M-24.3M-11.5M
Net VEX-112.0K-132.4K-93.9K-104.5K-123.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.270.0148.070.851.82
Total Volume526.591804,66297293
Total OI21,065.45519,55625,56619,55621,760

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$40.87$40.0024.8%7.1%33.1%25.7%24.8%5.6%1.8%1.4M-24.3M-104.5K0.8512.0052644614,0395,517
2010-08-03$40.76$40.0024.4%7.0%33.3%24.5%24.4%4.8%2.2%1.4M-24.0M-104.0K1.537.3413320314,2075,518
2010-08-04$40.99$40.0024.6%7.1%32.5%25.2%24.6%5.8%1.9%1.4M-25.9M-109.0K0.138.38991314,2285,599
2010-08-05$41.10$40.0023.0%6.6%31.9%19.8%15.4%5.2%3.6%1.5M-26.9M-107.0K0.068.931981214,2185,608
2010-08-06$40.54$40.0024.1%7.8%31.9%23.3%25.1%6.7%1.2%1.5M-23.2M-105.7K0.6122.1518611314,3075,610
2010-08-09$40.50$40.0024.8%7.9%31.3%25.8%33.3%5.8%1.4%1.6M-23.3M-103.9K0.0118.67267214,4415,683
2010-08-10$40.37$40.0024.4%7.9%30.6%24.6%29.0%7.0%1.3%1.7M-22.9M-104.6K1.4821.16669814,5395,683
2010-08-11$38.95$35.0026.9%8.3%33.5%32.9%35.0%5.5%1.6%1.4M-13.8M-97.7K1.8618.177213414,5445,681
2010-08-12$38.78$35.0028.3%8.1%33.4%37.6%28.9%10.8%2.0%1.3M-12.4M-96.7K0.947.6217616514,5545,719
2010-08-13$38.76$35.0028.3%8.1%29.7%37.4%32.6%11.3%2.6%1.4M-11.9M-93.9K5.217.892001,04214,6505,758
2010-08-16$39.38$35.0028.9%8.3%30.0%39.3%0.0%12.4%1.8%2.0M-14.3M-97.2K1.8611.15285214,7076,411
2010-08-17$39.91$35.0028.0%8.0%22.4%36.5%28.0%4.8%2.3%2.9M-19.1M-96.1K0.3020.251033114,6866,081
2010-08-18$40.88$35.0027.6%7.9%23.5%35.2%27.9%7.4%2.2%2.0M-28.7M-95.4K48.0723.81954,56714,7116,413
2010-08-19$40.61$35.0028.0%8.0%23.6%36.5%28.0%6.3%2.0%2.0M-25.7M-128.3K0.7523.43725414,73710,829
2010-08-20$40.60$35.0027.9%8.0%22.8%36.2%27.8%6.2%2.5%2.5M-23.0M-132.4K0.1523.631992914,73410,818
2010-08-23$40.77$35.0027.2%7.8%22.4%33.9%27.2%4.8%2.8%200.9K-11.0M-126.8K1.1626.25809310,72010,186
2010-08-24$40.34$35.0028.3%8.1%22.8%37.5%28.3%11.5%2.2%167.7K-9.3M-125.7K1.4517.8916223510,78710,249
2010-08-25$41.01$40.0028.3%8.1%23.3%37.4%28.3%13.4%2.4%213.2K-11.5M-127.8K0.8219.4216913910,77710,328
2010-08-26$40.43$40.0028.2%8.1%24.1%37.0%28.0%-2.5%3.0%160.7K-10.2M-127.6K0.589.4645526410,78710,444
2010-08-27$41.09$40.0026.7%7.7%24.5%32.0%26.7%-0.3%3.6%226.0K-12.0M-127.8K1.3918.7915721910,92110,509
2010-08-30$40.50$40.0026.7%7.7%22.1%32.2%0.0%5.2%3.8%172.1K-10.2M-127.8K0.948.30716711,01410,728
2010-08-31$41.12$40.0028.0%8.0%22.7%36.3%27.9%10.0%2.9%222.3K-11.5M-123.5K1.8211.75336010,97710,783