CCI Options History — September 2010

In September 2010, CCI traded between $40.93 and $44.15. ATM implied volatility averaged 24.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.2% (HV 20d: 20.8%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.53.

Notable Days

  • 2010-09-20: Highest Volume — 806 contracts
  • 2010-09-09: Largest IV spike — 103.8% change
  • 2010-09-09: Highest IV Rank — 45.8%
  • 2010-09-09: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.56$40.93$44.15$41.03$44.15
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV24.1%14.4%29.4%26.4%21.3%
Expected Move7.1%5.8%8.4%7.6%6.1%
HV 20d20.8%19.1%24.1%22.7%19.1%
HV 60d26.0%25.1%27.8%27.8%25.1%
IV Rank28.4%0.0%45.8%31.3%21.0%
IV Percentile21.1%0.0%52.4%30.6%5.2%
Term Structure3.5%1.3%5.7%3.5%3.6%
VWIV25.2%16.1%29.9%26.4%21.3%
Skew 25d4.7%-4.1%16.6%8.3%-1.3%
Skew 10d12.2%-3.9%36.2%10.1%-1.1%
Call IV 25d22.3%17.5%24.2%17.5%20.7%
Put IV 25d26.9%17.9%34.5%25.8%19.4%
Bid-Ask Spread %14.998.0319.449.138.03
Gamma HHI0.270.250.350.260.35
Net GEX396.7K141.9K628.8K210.2K628.8K
Net DEX-17.0M-22.9M-10.7M-11.5M-22.9M
Net VEX-108.6K-121.6K-97.2K-121.6K-98.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.0523.004.030.79
Total Volume223.14342806397136
Total OI22,468.33321,78622,99821,78622,777

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$41.03$40.0026.4%7.6%22.7%31.3%26.4%8.3%3.5%210.2K-11.5M-121.6K4.039.137931810,96910,817
2010-09-02$40.93$40.0025.3%7.2%22.7%27.4%25.2%16.6%3.7%141.9K-10.7M-118.2K2.848.99318811,00111,037
2010-09-03$42.04$40.0028.0%8.0%24.0%36.4%25.6%5.2%3.8%271.2K-14.9M-119.2K0.4214.672018411,01011,084
2010-09-07$42.44$40.0027.3%8.4%24.1%34.2%29.3%5.0%3.1%362.2K-16.4M-115.0K10.0013.8955011,15611,116
2010-09-08$42.55$40.0014.4%7.0%24.0%0.0%28.9%4.5%5.5%379.4K-16.9M-114.2K0.2719.2533911,15611,117
2010-09-09$42.10$40.0029.4%8.4%20.0%45.8%29.9%5.7%2.8%308.6K-16.4M-111.8K23.0016.7136911,16111,119
2010-09-10$42.40$40.0029.1%8.3%19.8%44.8%23.4%5.1%3.4%343.2K-17.1M-114.5K0.1016.041081111,16211,121
2010-09-13$42.53$40.0022.8%6.5%19.7%25.4%28.6%5.2%5.7%366.8K-17.7M-107.3K1.4517.199814211,16211,130
2010-09-14$42.24$40.0028.4%8.1%19.6%42.7%28.4%4.1%3.5%353.1K-17.6M-105.1K0.4416.5827112011,19511,200
2010-09-15$42.70$40.0022.7%6.5%19.5%25.1%22.7%4.3%5.6%409.1K-18.5M-110.1K1.9817.7416031711,37111,319
2010-09-16$41.64$40.0027.9%8.0%20.4%41.0%26.8%3.9%3.0%284.9K-14.3M-108.8K2.3018.42378511,42111,558
2010-09-17$41.81$40.0027.5%7.9%20.2%39.9%27.5%4.7%2.9%320.5K-15.0M-107.5K0.5114.011547911,44511,553
2010-09-20$42.38$40.0026.5%7.6%20.6%36.9%25.4%4.3%2.9%367.7K-15.1M-100.8K1.0319.2639840810,79411,057
2010-09-21$43.03$40.0021.6%6.2%21.1%21.9%22.0%4.6%2.7%461.0K-17.5M-106.1K0.2313.691333011,09711,447
2010-09-22$42.71$40.0020.1%5.8%20.9%17.4%23.0%4.8%4.5%445.5K-17.0M-110.2K0.2213.33461011,19511,436
2010-09-23$42.56$40.0021.7%6.2%20.4%22.2%25.3%4.3%3.1%428.4K-16.4M-107.0K0.6314.90815111,20811,431
2010-09-24$43.40$40.0020.6%5.9%20.4%19.0%24.2%0.5%1.3%529.0K-18.9M-103.8K0.1619.442604111,22511,451
2010-09-27$43.13$40.0021.4%6.1%20.1%21.2%28.0%5.4%3.5%512.7K-18.8M-106.6K0.6114.55895411,28811,492
2010-09-28$43.84$40.0022.4%6.4%19.6%24.3%16.1%-4.1%2.3%585.8K-20.9M-97.2K2.0513.089820111,27411,516
2010-09-29$44.08$40.0020.7%5.9%19.2%19.0%20.6%7.1%4.0%620.0K-22.5M-98.1K0.0515.9893511,27811,489
2010-09-30$44.15$40.0021.3%6.1%19.1%21.0%21.3%-1.3%3.6%628.8K-22.9M-98.0K0.798.03766011,28811,489