CCI Options History — October 2010

In October 2010, CCI traded between $41.67 and $44.11. ATM implied volatility averaged 27.6%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.8% (HV 20d: 17.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.60.

Notable Days

  • 2010-10-11: Highest Volume — 21,171 contracts
  • 2010-10-11: Largest IV spike — 64.0% change
  • 2010-10-27: Highest IV Rank — 81.5%
  • 2010-10-27: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.69$41.67$44.11$44.11$43.12
Max Pain$41.67$40.00$45.00$40.00$40.00
ATM IV27.6%15.0%41.1%19.9%30.8%
Expected Move8.6%5.7%11.8%5.7%8.8%
HV 20d17.8%15.5%19.7%19.0%17.3%
HV 60d21.7%19.3%24.9%24.9%19.7%
IV Rank40.3%1.7%81.5%16.8%50.1%
IV Percentile44.4%0.4%97.6%2.0%66.7%
Term Structure-1.4%-6.7%4.5%4.5%-2.7%
VWIV30.6%19.9%38.7%19.9%32.9%
Skew 25d3.2%-1.5%10.2%-0.9%5.0%
Skew 10d8.1%-1.2%20.4%-1.2%7.6%
Call IV 25d28.5%18.8%36.0%20.0%28.8%
Put IV 25d31.7%19.1%38.4%19.1%33.8%
Bid-Ask Spread %19.209.4433.419.4416.52
Gamma HHI0.500.270.650.350.65
Net GEX2.1M231.3K4.5M629.7K4.5M
Net DEX-30.1M-48.6M-16.2M-22.6M-48.6M
Net VEX-168.9K-223.8K-90.0K-97.0K-219.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0033.332.080.82
Total Volume2,668.3815521,17177316
Total OI40,382.47622,82354,82922,84854,829

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$44.11$40.0019.9%5.7%19.0%16.8%19.9%-0.9%4.5%629.7K-22.6M-97.0K2.089.44255211,31511,533
2010-10-04$43.61$45.0020.9%7.2%17.6%19.9%30.2%5.1%1.7%581.5K-21.1M-95.7K33.3329.30310011,34011,483
2010-10-05$44.06$45.0021.3%7.1%17.7%21.1%24.6%10.2%2.5%628.9K-22.4M-95.7K0.0020.8355011,34011,574
2010-10-06$43.31$45.0022.0%7.2%18.9%23.1%26.5%5.3%2.1%513.1K-19.3M-94.2K2.5024.30225511,32111,574
2010-10-07$43.08$45.0018.2%7.1%18.6%11.4%0.0%7.4%2.1%462.5K-18.4M-92.7K2.0418.43265311,31811,575
2010-10-08$42.54$45.0015.0%7.2%19.1%1.7%26.7%6.1%1.9%400.6K-16.8M-95.9K8.4814.703328011,31211,554
2010-10-11$42.15$45.0024.6%8.8%19.3%31.1%29.0%4.1%-0.0%231.3K-16.2M-90.0K0.3315.4215,9185,25311,30111,785
2010-10-12$41.83$45.0020.4%9.3%19.4%18.2%31.6%2.3%-1.0%1.6M-24.8M-182.6K0.1523.855,24077126,58216,878
2010-10-13$42.45$40.0024.2%9.2%19.7%29.7%31.2%3.7%-1.1%2.5M-37.3M-208.4K0.1730.683,12854331,35917,506
2010-10-14$42.88$40.0030.7%8.8%17.7%49.8%31.1%6.5%-2.5%3.0M-45.8M-223.8K0.1919.7071513633,79517,859
2010-10-15$42.42$40.0033.1%9.5%18.2%57.0%30.9%1.6%-3.7%2.8M-40.3M-217.8K0.1310.607469934,06817,993
2010-10-18$42.11$40.0033.0%9.5%17.7%56.9%32.3%-1.5%-2.1%2.7M-30.1M-204.7K0.1712.9480313631,67114,650
2010-10-19$41.67$40.0031.8%9.1%17.1%53.2%32.4%0.8%-2.3%2.2M-23.2M-192.4K0.6220.1663639431,93114,771
2010-10-20$42.35$40.0032.6%9.3%18.0%55.5%32.0%0.9%-2.2%2.8M-32.7M-205.1K0.1114.353644032,44815,052
2010-10-21$42.23$40.0032.1%9.2%18.0%54.0%31.3%-0.3%-1.8%2.7M-31.3M-203.2K0.2416.232756532,65215,052
2010-10-22$42.56$40.0031.9%9.1%16.7%53.3%32.1%1.1%-4.8%3.1M-35.9M-207.3K0.3711.701907132,85515,019
2010-10-25$42.58$40.0032.0%9.2%16.6%53.6%32.5%1.6%-4.6%3.2M-37.4M-197.3K0.2912.951995832,91815,090
2010-10-26$42.74$40.0035.3%10.1%15.5%63.8%35.9%3.1%-6.3%3.0M-39.2M-201.2K1.7326.792,7784,79433,08215,114
2010-10-27$42.13$40.0041.1%11.8%15.9%81.5%38.7%2.4%-6.7%2.5M-32.5M-214.7K0.8733.414,3623,79934,70517,066
2010-10-28$42.64$40.0028.9%8.3%16.7%44.2%30.3%2.8%-1.7%3.5M-36.3M-207.9K0.0720.903,28322035,40117,361
2010-10-29$43.12$40.0030.8%8.8%17.3%50.1%32.9%5.0%-2.7%4.5M-48.6M-219.3K0.8216.5217414237,46817,361