CCI Options History — March 2011

In March 2011, CCI traded between $37.37 and $42.55. ATM implied volatility averaged 27.1%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.3% (HV 20d: 26.8%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 1.58.

Notable Days

  • 2011-03-21: Highest Volume — 14,548 contracts
  • 2011-03-17: Largest IV drop — 16.3% change
  • 2011-03-16: Highest IV Rank — 76.7%
  • 2011-03-16: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.99$37.37$42.55$40.87$42.55
Max Pain$41.35$39.00$43.00$43.00$39.00
ATM IV27.1%21.6%35.0%26.8%21.6%
Expected Move7.9%6.2%10.0%7.7%6.2%
HV 20d26.8%21.4%33.1%26.1%32.0%
HV 60d24.0%21.7%27.3%22.0%27.3%
IV Rank47.3%26.7%76.7%46.0%26.7%
IV Percentile57.5%17.9%92.1%60.3%17.9%
Term Structure0.6%-6.4%3.6%0.4%3.0%
VWIV27.7%21.3%34.8%27.6%21.3%
Skew 25d3.5%1.4%5.1%2.5%1.4%
Skew 10d8.0%-0.7%18.7%2.5%4.2%
Call IV 25d26.1%21.6%32.2%25.9%21.6%
Put IV 25d29.6%23.0%35.5%28.4%23.0%
Bid-Ask Spread %31.7316.6841.2138.6022.07
Gamma HHI0.190.130.360.150.14
Net GEX839.0K-746.9K2.2M1.2M2.2M
Net DEX-44.8M-92.7M-8.9M-55.7M-92.7M
Net VEX-726.9K-842.9K-645.8K-659.6K-826.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.076.224.354.54
Total Volume2,390.6098014,5481,0543,391
Total OI66,963.95752,11186,50852,11186,508

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$40.87$43.0026.8%7.7%26.1%46.0%27.6%2.5%0.4%1.2M-55.7M-659.6K4.3538.6019785739,48312,628
2011-03-02$40.68$43.0026.1%7.5%24.2%43.3%25.5%2.1%2.4%970.0K-51.9M-658.6K6.0041.218249239,60513,109
2011-03-03$41.14$43.0022.9%6.6%24.5%31.4%23.6%4.0%3.6%925.0K-53.2M-663.8K0.7538.2216612439,66713,503
2011-03-04$40.93$43.0023.3%7.7%23.9%33.2%27.5%3.8%3.4%852.4K-50.6M-666.0K0.4432.6539017339,75413,555
2011-03-07$40.76$43.0025.1%8.3%22.2%39.9%28.9%4.0%-0.4%776.3K-50.4M-658.7K0.5438.56522839,94413,660
2011-03-08$40.04$43.0027.9%8.5%22.6%50.2%29.9%4.0%-1.8%501.3K-42.0M-647.3K1.0834.991,3961,50239,94213,674
2011-03-09$40.11$42.0026.4%8.2%21.4%44.5%28.4%4.3%-0.5%647.6K-45.3M-650.3K0.8326.5869858241,22614,575
2011-03-10$38.74$42.0029.5%8.5%23.7%56.3%30.7%2.6%0.3%501.1K-33.5M-645.8K0.5032.032,7941,38541,84815,005
2011-03-11$39.39$42.0030.1%8.6%24.5%58.5%30.3%4.7%-2.9%657.6K-37.5M-678.8K0.0838.502,80121243,72415,737
2011-03-14$39.23$42.0030.6%8.8%23.3%60.1%30.0%4.3%-1.5%1.4M-40.5M-673.0K1.1323.1216018046,19315,931
2011-03-15$39.00$42.0030.6%8.8%22.9%60.4%30.0%3.7%-0.5%1.4M-36.6M-672.2K0.4338.321315646,27115,958
2011-03-16$38.89$42.0035.0%10.0%22.8%76.7%34.8%3.3%-6.4%1.4M-37.1M-666.0K1.9732.2120039446,30815,957
2011-03-17$39.88$42.0029.3%8.4%25.7%55.5%30.6%4.1%-1.7%2.1M-45.0M-684.3K3.1232.212,6538,26446,31316,037
2011-03-18$39.16$42.0028.9%8.3%25.4%53.9%28.9%1.8%0.8%146.4K-28.0M-766.8K0.3834.062338948,29224,117
2011-03-21$37.37$42.0030.1%8.6%29.2%58.3%29.4%3.4%0.5%2.4K-12.0M-728.9K6.2233.732,01412,53443,35422,509
2011-03-22$37.98$40.0027.1%7.8%30.0%47.2%25.2%5.0%2.1%-746.9K-8.9M-806.8K0.4331.121,05745444,95533,600
2011-03-23$38.98$40.0025.6%7.3%31.3%41.7%26.0%5.1%3.5%-652.1K-19.3M-813.1K1.4033.7226637245,44033,727
2011-03-24$40.04$40.0026.2%7.5%33.1%43.7%28.1%4.7%1.8%-74.9K-38.5M-816.4K0.0732.854,90536645,57533,928
2011-03-25$40.28$39.0025.2%7.2%32.2%40.2%25.0%4.6%1.7%904.7K-50.2M-842.9K0.3524.6129810550,13134,082
2011-03-28$40.44$39.0025.9%7.4%32.1%42.5%25.7%2.4%1.6%987.2K-54.9M-836.3K0.2022.184579050,29334,123
2011-03-29$41.14$39.0025.7%7.4%30.9%41.9%25.4%2.9%1.3%1.3M-64.8M-838.2K1.3131.6133143250,67434,127
2011-03-30$42.19$39.0024.0%6.9%32.1%35.8%24.6%2.3%2.0%1.9M-82.3M-819.2K0.2316.681,32130050,72134,408
2011-03-31$42.55$39.0021.6%6.2%32.0%26.7%21.3%1.4%3.0%2.2M-92.7M-826.3K4.5422.076122,77952,06034,448