CCI Options History — November 2010

In November 2010, CCI traded between $41.50 and $43.36. ATM implied volatility averaged 27.3%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 10.8% (HV 20d: 16.5%). 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 15 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2010-11-02: Highest Volume — 37,483 contracts
  • 2010-11-09: Largest IV spike — 28.0% change
  • 2010-11-09: Highest IV Rank — 61.6%
  • 2010-11-01: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.36$41.50$43.36$43.27$41.54
Max Pain$43.57$40.00$45.00$40.00$43.00
ATM IV27.3%24.2%31.0%30.9%27.0%
Expected Move7.9%7.1%8.9%8.9%7.7%
HV 20d16.5%14.8%18.3%16.9%17.8%
HV 60d18.2%17.3%19.5%19.5%17.3%
IV Rank46.6%36.4%61.6%50.3%46.6%
IV Percentile46.9%21.0%69.4%67.1%49.6%
Term Structure0.5%-2.4%1.9%-2.4%0.7%
VWIV27.9%25.5%31.0%31.0%27.9%
Skew 25d3.0%0.9%7.2%5.3%1.1%
Skew 10d8.8%3.4%15.6%8.2%3.8%
Call IV 25d26.6%24.0%29.2%29.2%26.9%
Put IV 25d29.6%26.4%35.4%34.5%28.0%
Bid-Ask Spread %27.4210.5854.0911.6032.35
Gamma HHI0.480.250.740.640.25
Net GEX4.0M168.1K7.2M4.2M5.0M
Net DEX-41.1M-64.5M-21.3M-45.0M-42.1M
Net VEX-228.4K-305.9K-170.6K-198.9K-273.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.013.050.150.58
Total Volume6,267.9524737,483385632
Total OI64,198.66747,49773,47052,44169,734

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$43.27$40.0030.9%8.9%16.9%50.3%31.0%5.3%-2.4%4.2M-45.0M-198.9K0.1511.603345134,99017,451
2010-11-02$43.29$40.0030.2%8.7%16.5%48.2%30.4%6.6%-1.4%4.5M-45.7M-198.8K0.0410.5836,0811,40235,24317,492
2010-11-03$43.30$40.0028.2%8.1%15.3%42.1%28.5%7.2%-0.4%6.3M-61.0M-268.3K0.0228.061,8124346,92318,706
2010-11-04$43.36$40.0026.5%7.6%15.2%44.8%27.2%6.7%1.4%7.2M-64.5M-271.0K0.1717.9175712647,41218,727
2010-11-05$42.95$45.0026.4%7.8%14.9%44.5%29.4%2.8%0.1%6.2M-52.0M-251.4K0.5134.9585643547,53818,758
2010-11-08$42.58$45.0024.2%8.0%14.8%36.4%28.0%4.1%-0.1%5.7M-47.4M-243.8K0.0519.9816,30178547,97518,876
2010-11-09$41.68$45.0031.0%8.5%16.5%61.6%29.0%3.3%-0.3%3.2M-31.6M-241.4K0.4725.1899947454,36619,104
2010-11-10$42.06$45.0028.8%7.9%15.9%53.4%27.7%2.1%0.7%3.0M-30.0M-210.9K0.5523.5160933445,17019,295
2010-11-11$42.69$45.0026.9%7.7%16.5%46.6%28.2%2.1%1.2%4.1M-36.5M-215.4K0.7124.0814710545,49419,553
2010-11-12$42.42$45.0027.7%7.9%16.1%49.5%29.3%2.3%0.9%3.6M-34.7M-206.2K0.5219.301166045,51119,608
2010-11-15$42.11$45.0027.4%7.9%16.1%48.4%28.6%2.3%1.3%1.2M-26.5M-178.8K0.0425.812,7679745,52219,621
2010-11-16$41.63$45.0027.7%7.9%16.2%49.3%29.1%3.1%1.5%744.8K-21.8M-178.5K0.4428.5533714848,18019,693
2010-11-17$41.50$45.0027.8%8.0%15.1%49.9%26.5%2.2%0.7%168.1K-21.3M-170.6K0.4027.4668927548,44319,648
2010-11-18$42.33$45.0026.3%7.5%16.8%44.3%26.2%2.3%1.2%2.5M-31.4M-172.6K0.4239.312068748,70419,899
2010-11-19$42.70$45.0026.5%7.6%16.8%45.1%27.0%0.9%1.9%4.3M-36.6M-179.4K0.2330.279,4432,12648,75919,898
2010-11-22$42.35$45.0026.0%7.4%17.1%43.0%25.5%2.0%1.6%2.5M-37.7M-231.2K0.0954.0910,41191332,96514,532
2010-11-23$41.66$43.0026.4%7.6%17.9%44.5%25.7%2.1%0.3%4.1M-40.8M-256.7K0.0131.2920,73415643,16515,205
2010-11-24$42.37$43.0024.9%7.1%18.3%39.0%25.8%2.4%1.0%5.0M-51.0M-261.8K0.0233.8118,57830343,73115,313
2010-11-26$42.19$43.0025.9%7.4%17.9%42.8%0.0%1.4%0.4%6.2M-59.7M-305.9K0.2726.26371052,97515,504
2010-11-29$41.62$43.0027.7%7.9%17.9%49.4%27.8%1.2%-0.1%5.3M-46.9M-280.3K3.0531.494571,39452,98015,509
2010-11-30$41.54$43.0027.0%7.7%17.8%46.6%27.9%1.1%0.7%5.0M-42.1M-273.6K0.5832.3540023253,26716,467