CCI Options History — February 2011

In February 2011, CCI traded between $41.85 and $46.17. ATM implied volatility averaged 21.0%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 3.6% (HV 20d: 24.6%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2011-02-01: Highest Volume — 23,319 contracts
2011-02-22: Largest IV spike — 8.9% change
2011-02-23: Highest IV Rank — 39.4%
2011-02-23: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.09	$41.85	$46.17	$43.21	$42.15
Max Pain	$43.32	$40.00	$44.00	$40.00	$43.00
ATM IV	21.0%	18.1%	25.0%	19.9%	24.4%
Expected Move	6.1%	5.4%	7.2%	5.7%	7.0%
HV 20d	24.6%	21.5%	26.1%	25.5%	24.8%
HV 60d	20.4%	20.1%	21.3%	20.2%	21.3%
IV Rank	24.4%	13.8%	39.4%	20.2%	37.2%
IV Percentile	13.6%	1.2%	44.0%	2.0%	38.1%
Term Structure	0.9%	-1.2%	2.5%	0.7%	0.9%
VWIV	20.7%	15.7%	24.5%	19.5%	24.5%
Skew 25d	2.7%	0.9%	4.7%	3.5%	2.9%
Skew 10d	8.8%	3.1%	14.9%	10.8%	5.5%
Call IV 25d	20.1%	17.1%	23.7%	19.6%	23.7%
Put IV 25d	22.8%	20.4%	26.6%	23.1%	26.6%
Bid-Ask Spread %	45.31	29.76	63.76	45.38	48.16
Gamma HHI	0.20	0.18	0.21	0.20	0.18
Net GEX	2.5M	1.2M	3.4M	1.2M	1.7M
Net DEX	-88.3M	-120.1M	-13.1M	-13.1M	-65.7M
Net VEX	-833.0K	-1.2M	-412.1K	-412.1K	-648.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.00	2.80	0.00	1.11
Total Volume	3,007	13	23,319	23,319	4,029
Total OI	63,462.421	45,210	90,286	45,210	49,466

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$43.21	$40.00	19.9%	5.7%	25.5%	20.2%	19.5%	3.5%	0.7%	1.2M	-13.1M	-412.1K	0.00	45.38	23,319	0	23,519	21,691
2011-02-02	$43.50	$40.00	19.9%	5.7%	25.6%	20.4%	18.6%	3.3%	0.6%	2.5M	-84.7M	-924.1K	0.41	35.50	99	41	46,745	21,691
2011-02-03	$44.00	$40.00	18.7%	5.4%	25.6%	15.9%	18.5%	4.7%	1.4%	2.7M	-89.3M	-933.2K	0.24	36.00	451	107	46,816	21,724
2011-02-04	$44.90	$44.00	18.1%	5.6%	25.4%	13.8%	15.7%	3.1%	0.9%	3.1M	-100.5M	-925.9K	0.70	38.16	179	126	46,961	21,807
2011-02-07	$44.40	$44.00	19.4%	5.8%	25.7%	18.5%	19.9%	1.6%	1.4%	2.9M	-98.7M	-929.6K	0.57	42.85	223	128	46,899	21,900
2011-02-08	$45.11	$44.00	19.1%	5.7%	26.1%	17.4%	19.3%	3.7%	0.5%	3.0M	-104.0M	-929.3K	0.32	39.52	201	64	47,075	22,023
2011-02-09	$44.94	$44.00	18.5%	5.6%	26.1%	15.0%	0.0%	2.3%	1.4%	3.1M	-103.6M	-927.2K	0.00	34.57	13	0	47,166	22,011
2011-02-10	$45.36	$44.00	19.9%	5.7%	25.9%	20.3%	19.6%	1.1%	0.5%	3.2M	-107.3M	-927.5K	0.01	43.98	252	3	47,172	22,011
2011-02-11	$45.97	$44.00	20.5%	5.9%	26.0%	22.8%	19.7%	2.2%	-1.2%	3.3M	-116.8M	-919.4K	0.01	44.31	533	6	47,284	22,011
2011-02-14	$46.17	$44.00	20.3%	5.8%	22.8%	21.8%	20.1%	2.1%	1.2%	3.2M	-120.1M	-902.3K	2.23	29.76	477	1,062	47,064	22,017
2011-02-15	$45.50	$44.00	20.6%	5.9%	21.8%	23.0%	20.5%	2.6%	0.2%	2.9M	-113.5M	-900.3K	2.55	43.57	103	263	47,033	22,967
2011-02-16	$45.19	$44.00	20.9%	6.0%	21.5%	24.1%	21.9%	2.5%	1.1%	2.9M	-108.3M	-908.6K	2.80	43.47	46	129	47,056	22,951
2011-02-17	$44.22	$44.00	22.7%	6.5%	23.0%	30.7%	20.4%	3.1%	-0.4%	2.9M	-93.5M	-898.4K	1.08	60.74	10,199	11,056	47,076	23,069
2011-02-18	$43.78	$44.00	21.2%	6.1%	23.1%	25.2%	20.3%	3.3%	2.4%	3.4M	-93.9M	-1.2M	0.84	49.56	75	63	57,078	33,208
2011-02-22	$42.87	$44.00	23.1%	6.6%	23.9%	32.2%	23.2%	0.9%	2.4%	1.7M	-73.5M	-649.9K	0.42	59.04	520	217	36,176	10,907
2011-02-23	$41.85	$44.00	25.0%	7.2%	25.1%	39.4%	24.0%	2.9%	-0.8%	1.4M	-62.0M	-640.0K	0.48	63.76	491	238	36,557	11,042
2011-02-24	$41.86	$44.00	23.4%	6.7%	24.2%	33.6%	23.3%	3.3%	1.8%	1.4M	-61.2M	-642.0K	1.50	54.72	80	120	36,759	11,094
2011-02-25	$42.67	$44.00	23.0%	6.6%	25.3%	31.9%	23.0%	2.7%	2.5%	1.6M	-68.0M	-651.0K	0.03	47.82	2,159	61	36,597	11,163
2011-02-28	$42.15	$43.00	24.4%	7.0%	24.8%	37.2%	24.5%	2.9%	0.9%	1.7M	-65.7M	-648.8K	1.11	48.16	1,908	2,121	38,276	11,190