CCI Options History — April 2011

In April 2011, CCI traded between $42.18 and $44.45. ATM implied volatility averaged 21.8%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.6% (HV 20d: 23.4%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.69.

Notable Days

2011-04-06: Highest Volume — 1,850 contracts
2011-04-11: Largest IV spike — 19.3% change
2011-04-18: Highest IV Rank — 38.2%
2011-04-12: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.99	$42.18	$44.45	$43.10	$42.86
Max Pain	$41.00	$40.00	$42.00	$40.00	$42.00
ATM IV	21.8%	18.6%	24.7%	21.1%	19.3%
Expected Move	6.6%	5.5%	7.2%	6.0%	5.5%
HV 20d	23.4%	15.1%	32.1%	32.1%	16.5%
HV 60d	25.9%	24.6%	27.3%	27.3%	24.9%
IV Rank	27.4%	15.5%	38.2%	24.8%	18.0%
IV Percentile	19.4%	2.0%	39.7%	13.1%	3.2%
Term Structure	0.2%	-1.4%	3.1%	3.1%	2.0%
VWIV	23.0%	19.4%	25.2%	21.3%	20.1%
Skew 25d	4.2%	1.8%	6.0%	1.8%	3.3%
Skew 10d	8.9%	3.7%	15.0%	9.9%	3.7%
Call IV 25d	21.4%	17.9%	23.7%	21.2%	17.9%
Put IV 25d	25.6%	21.1%	27.8%	22.9%	21.2%
Bid-Ask Spread %	31.15	15.85	58.74	24.44	40.51
Gamma HHI	0.16	0.14	0.18	0.15	0.17
Net GEX	1.7M	721.8K	2.2M	2.2M	2.0M
Net DEX	-92.2M	-101.9M	-75.0M	-101.9M	-85.5M
Net VEX	-772.3K	-814.1K	-708.0K	-814.1K	-725.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.69	0.00	11.13	0.53	11.13
Total Volume	514.05	12	1,850	552	1,140
Total OI	81,516.1	71,936	89,113	88,347	73,391

Daily Data (20 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
2011-04-01	$43.10	$40.00	21.1%	6.0%	32.1%	24.8%	21.3%	1.8%	3.1%	2.2M	-101.9M	-814.1K	0.53	24.44	361	191	52,144	36,203
2011-04-04	$43.16	$40.00	23.2%	7.1%	32.0%	32.5%	23.9%	4.0%	-0.4%	2.2M	-101.7M	-806.5K	0.52	18.05	531	278	51,985	36,377
2011-04-05	$42.61	$40.00	22.6%	7.1%	31.6%	30.3%	24.6%	4.0%	-0.3%	1.6M	-93.0M	-812.3K	0.07	21.45	654	49	52,235	36,558
2011-04-06	$42.80	$40.00	21.4%	6.9%	31.6%	25.8%	23.9%	3.5%	-0.1%	1.8M	-93.2M	-800.4K	0.52	15.85	1,218	632	52,203	36,494
2011-04-07	$42.85	$40.00	21.3%	7.0%	28.3%	25.4%	24.6%	4.0%	-0.2%	1.8M	-96.2M	-813.4K	0.22	23.63	392	88	52,783	36,330
2011-04-08	$42.67	$40.00	18.6%	6.7%	28.1%	15.5%	24.0%	4.6%	0.8%	1.3M	-95.0M	-802.3K	1.94	26.78	159	308	52,557	36,341
2011-04-11	$42.85	$40.00	22.2%	7.1%	28.0%	29.0%	24.8%	4.2%	-0.4%	1.5M	-99.2M	-791.8K	1.06	28.62	31	33	52,534	36,147
2011-04-12	$42.48	$40.00	19.5%	7.2%	28.1%	18.9%	23.8%	3.6%	-0.3%	721.8K	-92.1M	-777.9K	0.67	23.57	162	109	52,554	36,157
2011-04-13	$42.86	$40.00	20.6%	6.9%	28.1%	23.0%	23.1%	5.4%	0.2%	1.3M	-98.0M	-782.8K	0.02	26.53	143	3	52,060	36,155
2011-04-14	$42.73	$40.00	23.8%	6.8%	27.1%	34.8%	24.9%	6.0%	0.5%	945.2K	-95.3M	-782.4K	1.82	34.16	336	610	52,160	36,156
2011-04-15	$42.73	$42.00	23.4%	6.7%	25.9%	33.5%	25.2%	3.6%	-0.1%	1.9M	-98.0M	-773.4K	0.89	32.13	308	274	52,427	36,674
2011-04-18	$42.44	$42.00	24.7%	7.1%	18.2%	38.2%	24.5%	5.0%	-1.3%	1.5M	-75.0M	-775.2K	0.00	28.00	118	0	42,125	29,811
2011-04-19	$42.18	$42.00	22.8%	6.5%	18.3%	31.2%	23.1%	4.4%	0.5%	1.5M	-75.7M	-752.3K	10.73	51.52	82	880	42,222	29,811
2011-04-20	$42.93	$42.00	21.7%	6.2%	17.3%	27.2%	20.8%	5.0%	1.8%	1.6M	-81.6M	-770.0K	0.00	35.54	12	0	42,267	30,515
2011-04-21	$43.34	$42.00	21.9%	6.3%	15.3%	27.6%	20.4%	4.1%	0.6%	1.7M	-87.3M	-749.3K	0.00	58.74	25	0	42,274	30,515
2011-04-25	$43.28	$42.00	23.3%	6.7%	15.4%	32.9%	22.9%	3.7%	-0.3%	1.8M	-87.7M	-734.6K	2.75	33.95	4	11	42,295	30,515
2011-04-26	$43.78	$42.00	22.2%	6.4%	15.7%	28.9%	21.5%	5.1%	-0.5%	1.8M	-89.8M	-745.5K	0.00	35.95	697	0	42,293	30,519
2011-04-27	$44.45	$42.00	22.9%	6.6%	15.5%	31.6%	22.1%	5.4%	-1.4%	2.0M	-100.4M	-726.9K	0.24	32.59	210	50	42,735	30,519
2011-04-28	$43.67	$42.00	19.7%	5.7%	15.1%	19.7%	19.4%	2.8%	0.1%	2.2M	-97.9M	-708.0K	0.70	30.99	107	75	42,759	30,522
2011-04-29	$42.86	$42.00	19.3%	5.5%	16.5%	18.0%	20.1%	3.3%	2.0%	2.0M	-85.5M	-725.9K	11.13	40.51	94	1,046	42,798	30,593