CCI Options History — January 2011

In January 2011, CCI traded between $40.73 and $43.86. ATM implied volatility averaged 22.8%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 4.0% (HV 20d: 18.8%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.07.

Notable Days

  • 2011-01-25: Highest Volume — 23,002 contracts
  • 2011-01-13: Largest IV spike — 20.0% change
  • 2011-01-20: Highest IV Rank — 40.6%
  • 2011-01-20: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.49$40.73$43.86$43.42$42.17
Max Pain$40.60$40.00$43.00$40.00$40.00
ATM IV22.8%20.1%25.3%21.8%21.8%
Expected Move6.7%5.8%7.3%6.3%6.2%
HV 20d18.8%14.7%23.9%15.1%23.9%
HV 60d17.6%16.2%19.6%16.6%19.6%
IV Rank31.1%21.3%40.6%27.6%27.4%
IV Percentile19.6%4.0%38.5%12.7%14.3%
Term Structure0.3%-2.5%2.8%2.8%1.6%
VWIV23.2%18.9%26.0%23.0%20.7%
Skew 25d2.8%1.3%4.3%3.7%2.2%
Skew 10d6.0%-7.2%16.5%6.6%4.0%
Call IV 25d21.8%18.5%23.7%21.0%20.8%
Put IV 25d24.7%20.7%26.7%24.7%23.0%
Bid-Ask Spread %38.3921.9059.2321.9040.86
Gamma HHI0.300.120.610.610.19
Net GEX2.5M431.0K6.7M6.7M792.2K
Net DEX-22.2M-52.2M-3.5M-50.4M-6.5M
Net VEX-187.5K-426.4K-95.3K-161.1K-407.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0319.090.670.68
Total Volume2,533.319623,002448196
Total OI51,274.720,16166,26252,81645,103

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-01-03$43.42$40.0021.8%6.3%15.1%27.6%23.0%3.7%2.8%6.7M-50.4M-161.1K0.6721.9026818038,21214,604
2011-01-04$43.35$40.0021.8%6.3%14.7%27.6%21.7%1.6%2.3%6.5M-52.2M-156.4K0.0326.445311838,07314,586
2011-01-05$42.90$40.0020.9%6.0%15.1%24.0%21.6%2.2%1.1%5.5M-40.2M-138.3K1.3028.8040652937,98714,601
2011-01-06$42.14$40.0023.7%6.8%15.6%34.6%24.6%2.4%1.3%3.4M-27.2M-123.2K0.7427.4775155937,92814,868
2011-01-07$42.60$43.0020.4%6.6%16.0%22.3%23.2%3.3%1.5%4.4M-32.9M-127.2K1.8429.8924945737,76115,126
2011-01-10$42.57$43.0021.6%6.9%15.9%26.6%24.5%4.3%0.3%4.2M-30.7M-116.2K0.3134.381725337,77815,251
2011-01-11$42.36$43.0021.6%7.1%15.8%26.8%25.3%3.5%-0.9%3.3M-25.6M-106.2K1.1240.681,1501,28737,74215,267
2011-01-12$42.09$43.0021.1%7.2%15.5%24.7%25.8%4.3%-2.5%2.3M-22.2M-100.6K0.1741.813305638,60215,806
2011-01-13$41.92$40.0025.3%7.2%15.4%40.4%21.4%4.3%-2.1%1.8M-18.8M-95.3K0.7933.986,1454,87438,81115,832
2011-01-14$40.73$40.0024.6%7.0%18.4%37.8%24.9%2.3%0.6%508.9K-3.5M-144.0K1.6439.0920733943,93220,635
2011-01-18$42.04$40.0024.4%7.0%21.7%37.2%25.9%2.4%-0.1%1.9M-19.5M-140.2K0.5443.841,13461543,97320,778
2011-01-19$41.57$40.0023.6%6.8%20.1%34.0%26.0%3.1%0.2%771.1K-12.7M-135.9K19.0933.48571,08844,50821,302
2011-01-20$42.18$40.0025.3%7.3%20.8%40.6%24.7%2.5%-0.5%1.6M-24.9M-140.6K0.1544.501,10817044,48821,774
2011-01-21$41.82$40.0024.9%7.1%20.9%38.8%24.8%2.9%-0.4%1.3M-11.8M-133.3K2.3240.176091,41144,07121,378
2011-01-24$42.49$40.0023.8%6.8%21.7%35.0%22.4%2.9%-2.2%431.0K-4.3M-127.7K0.0649.829315710,6219,540
2011-01-25$42.93$40.0023.1%6.6%21.7%32.1%21.6%2.9%-0.9%694.6K-6.5M-129.2K0.9444.4511,87511,12711,4969,581
2011-01-26$43.64$40.0023.7%6.8%22.4%34.6%23.3%2.4%-0.1%1.3M-19.0M-419.4K1.2845.8336246523,28820,693
2011-01-27$43.86$40.0022.1%6.3%22.4%28.4%18.9%2.5%1.8%1.5M-19.8M-426.4K6.2259.237949123,41421,113
2011-01-28$43.05$40.0020.1%5.8%23.1%21.3%19.6%1.3%2.3%1.3M-16.1M-422.0K1.6041.1912720323,41421,557
2011-01-31$42.17$40.0021.8%6.2%23.9%27.4%20.7%2.2%1.6%792.2K-6.5M-407.3K0.6840.861177923,45821,645