CCI Options History — December 2010

In December 2010, CCI traded between $41.69 and $43.83. ATM implied volatility averaged 23.2%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.5% (HV 20d: 17.7%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2010-12-20: Highest Volume — 5,065 contracts
  • 2010-12-10: Largest IV drop — 7.7% change
  • 2010-12-08: Highest IV Rank — 47.5%
  • 2010-12-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.57$41.69$43.83$41.98$43.83
Max Pain$39.50$35.00$43.00$43.00$40.00
ATM IV23.2%19.9%27.2%27.1%20.3%
Expected Move6.7%5.7%7.8%7.8%5.8%
HV 20d17.7%15.1%19.8%18.3%15.1%
HV 60d17.1%16.5%18.0%17.4%16.5%
IV Rank32.5%20.4%47.5%47.1%22.0%
IV Percentile19.6%2.8%52.4%50.4%4.8%
Term Structure2.2%0.3%4.2%0.3%2.6%
VWIV23.5%19.5%27.3%27.3%19.5%
Skew 25d2.1%0.9%3.7%2.3%2.8%
Skew 10d6.4%1.9%14.5%5.9%9.5%
Call IV 25d23.0%19.3%26.6%26.0%19.3%
Put IV 25d25.1%22.1%28.4%28.4%22.1%
Bid-Ask Spread %29.3215.2876.9054.3615.28
Gamma HHI0.370.260.630.260.63
Net GEX7.5M5.0M11.0M5.9M7.5M
Net DEX-55.1M-87.3M-29.6M-52.0M-60.2M
Net VEX-236.8K-316.0K-169.4K-283.6K-169.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.015.930.210.07
Total Volume1,508.2273245,065814361
Total OI69,67752,81778,78370,20452,817

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$41.98$43.0027.1%7.8%18.3%47.1%27.3%2.3%0.3%5.9M-52.0M-283.6K0.2154.3667414053,56116,643
2010-12-02$42.68$43.0026.8%7.7%19.4%46.0%26.6%1.1%0.4%7.0M-71.6M-305.4K0.0141.804,8483653,88716,728
2010-12-03$42.28$43.0024.8%7.1%19.6%38.7%24.8%1.4%2.1%7.3M-64.5M-310.3K0.1635.2182613057,95416,709
2010-12-06$42.75$35.0026.1%7.5%19.8%43.5%26.4%1.3%1.8%8.2M-77.0M-309.7K0.1521.401,35020358,21116,808
2010-12-07$43.00$35.0026.4%7.6%19.7%44.6%26.2%1.9%1.2%9.3M-87.3M-316.0K0.2719.6491325059,15116,907
2010-12-08$42.39$35.0027.2%7.5%18.8%47.5%25.7%1.6%1.1%8.4M-64.0M-286.7K0.3422.1135912258,50117,053
2010-12-09$42.18$35.0025.5%7.4%18.6%41.1%25.6%1.5%1.4%7.8M-56.3M-273.7K2.0117.9126453058,56517,004
2010-12-10$42.29$40.0023.5%7.3%17.8%33.8%25.8%0.9%1.9%8.8M-59.8M-272.4K4.1917.6622694658,54617,472
2010-12-13$41.95$40.0022.6%7.2%17.9%30.6%25.7%0.9%1.6%7.8M-46.3M-235.6K5.7022.273822,17758,57217,113
2010-12-14$42.39$40.0022.6%7.1%18.1%30.5%24.2%2.9%1.6%11.0M-54.4M-241.0K0.0625.961,4988658,72316,829
2010-12-15$42.11$40.0023.6%6.8%17.8%34.1%22.7%3.7%2.5%8.5M-42.7M-211.6K0.0321.043,1067859,25916,877
2010-12-16$41.96$40.0023.3%6.7%17.8%32.9%23.1%3.3%3.0%6.8M-39.9M-206.0K5.9331.953732,21161,45016,879
2010-12-17$41.69$40.0022.1%6.3%16.4%28.5%22.2%2.0%4.2%5.0M-29.6M-184.5K0.1023.014614761,39017,393
2010-12-20$42.72$40.0020.6%5.9%18.4%23.1%21.1%1.8%2.8%7.2M-53.8M-206.5K1.6524.751,9093,15649,53510,985
2010-12-21$42.88$40.0020.7%5.9%18.2%23.5%21.1%2.3%3.1%7.4M-53.6M-217.1K1.4030.559021,26350,21913,322
2010-12-22$42.61$40.0019.9%5.7%17.3%20.4%21.3%2.4%2.9%6.6M-47.8M-212.8K1.1730.6824628850,62314,425
2010-12-23$42.49$40.0021.1%6.1%16.3%25.0%20.2%2.7%2.1%6.1M-42.3M-196.8K0.1331.292873750,49114,511
2010-12-27$42.99$40.0021.4%6.1%16.7%26.1%22.7%2.3%2.5%7.5M-53.8M-204.0K0.2176.904088450,43214,545
2010-12-28$42.85$40.0021.6%6.2%15.9%26.5%22.1%2.8%2.4%7.4M-52.1M-198.5K0.1224.3381310050,51714,547
2010-12-29$42.98$40.0021.2%6.1%15.8%25.1%21.0%2.5%3.1%7.6M-51.5M-196.8K0.0125.18486450,20114,592
2010-12-30$43.45$40.0021.1%6.1%15.9%24.9%20.7%2.1%3.0%6.7M-52.4M-170.5K0.0131.77596538,35314,594
2010-12-31$43.83$40.0020.3%5.8%15.1%22.0%19.5%2.8%2.6%7.5M-60.2M-169.4K0.0715.283362538,22314,594