CCI Options History — May 2011

In May 2011, CCI traded between $41.02 and $42.57. ATM implied volatility averaged 21.2%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.0% (HV 20d: 16.1%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2011-05-27: Highest Volume — 6,486 contracts
  • 2011-05-31: Largest IV spike — 18.2% change
  • 2011-05-17: Highest IV Rank — 33.4%
  • 2011-05-17: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.74$41.02$42.57$42.43$41.41
Max Pain$42.00$42.00$42.00$42.00$42.00
ATM IV21.2%18.4%23.4%20.7%21.8%
Expected Move6.1%5.3%6.7%5.9%6.3%
HV 20d16.1%12.6%18.1%16.2%12.6%
HV 60d23.5%21.8%24.9%24.9%21.8%
IV Rank25.2%15.0%33.4%23.2%27.6%
IV Percentile18.1%1.6%37.3%11.5%28.2%
Term Structure1.2%-0.1%3.3%1.2%0.8%
VWIV21.9%19.7%24.8%20.0%22.2%
Skew 25d3.9%2.9%5.5%2.9%2.9%
Skew 10d7.6%-2.4%18.5%1.3%0.7%
Call IV 25d19.8%16.8%21.6%18.5%20.3%
Put IV 25d23.6%21.1%26.0%21.4%23.2%
Bid-Ask Spread %45.6430.8575.4130.8566.20
Gamma HHI0.180.160.230.160.23
Net GEX1.6M462.4K3.4M1.7M908.9K
Net DEX-65.7M-79.5M-52.0M-78.2M-66.0M
Net VEX-706.9K-734.8K-669.6K-721.8K-727.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.029.511.150.40
Total Volume755.81286,486282786
Total OI72,982.85763,68778,51874,36471,755

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$42.43$42.0020.7%5.9%16.2%23.2%20.0%2.9%1.2%1.7M-78.2M-721.8K1.1530.8513115142,81731,547
2011-05-03$42.50$42.0020.9%6.0%16.3%24.2%20.6%3.3%1.5%1.8M-78.6M-729.0K0.6333.191449042,86431,674
2011-05-04$41.75$42.0020.2%5.8%16.8%21.6%19.7%3.3%2.8%1.5M-67.4M-726.3K0.3849.331064042,99331,691
2011-05-05$41.90$42.0021.0%6.0%16.8%24.4%21.8%3.1%1.5%1.6M-67.7M-734.8K9.5143.788076143,07031,692
2011-05-06$41.96$42.0021.3%6.4%16.8%25.6%0.0%4.2%1.4%1.6M-68.5M-730.2K0.2735.311,05228043,07231,878
2011-05-09$42.00$42.0022.2%6.6%16.8%29.0%24.8%4.8%-0.1%2.0M-71.8M-726.4K0.3539.91341244,00131,779
2011-05-10$42.18$42.0021.7%6.6%16.8%27.0%0.0%3.8%0.1%2.1M-73.5M-726.8K0.8640.42998544,02731,791
2011-05-11$42.21$42.0021.7%6.3%16.5%27.2%0.0%3.9%0.4%2.2M-75.0M-715.0K0.5637.27181044,08631,793
2011-05-12$42.57$42.0020.2%5.8%16.5%21.4%0.0%5.5%2.1%2.3M-79.5M-714.1K2.8632.06216044,10031,791
2011-05-13$41.90$42.0021.6%6.2%17.4%26.7%0.0%4.0%0.8%2.3M-70.4M-708.2K2.5937.855414044,10831,841
2011-05-16$41.55$42.0021.4%6.1%17.6%26.0%23.1%3.7%1.9%2.2M-62.9M-701.9K0.9643.01262544,13731,963
2011-05-17$41.07$42.0023.4%6.7%17.8%33.4%23.5%4.0%0.7%1.5M-52.0M-702.2K0.3931.96562244,15331,978
2011-05-18$41.41$42.0022.7%6.5%18.1%30.9%0.0%5.5%1.1%2.2M-55.8M-703.7K0.1251.931622044,16531,990
2011-05-19$41.46$42.0021.7%6.2%16.7%26.9%21.6%4.5%1.3%2.4M-57.6M-694.4K0.0259.152,4124344,12531,966
2011-05-20$41.38$42.0021.1%6.0%16.2%24.9%20.5%3.7%0.3%3.4M-62.1M-688.6K2.1340.00408546,53731,981
2011-05-23$41.02$42.0021.4%6.2%16.4%26.3%20.7%3.2%0.9%462.4K-54.6M-679.5K1.5460.657001,07739,05324,634
2011-05-24$41.28$42.0021.5%6.2%15.9%26.6%24.6%3.1%0.8%487.1K-58.1M-680.5K0.0546.032211139,58825,674
2011-05-25$41.39$42.0020.2%5.8%14.5%21.5%21.9%3.3%1.2%466.3K-57.8M-682.6K2.5067.01205039,71625,683
2011-05-26$41.44$42.0019.6%5.6%13.6%19.2%21.6%3.9%1.6%594.8K-58.2M-683.1K2.3237.147918339,73425,683
2011-05-27$41.78$42.0018.4%5.3%12.7%15.0%0.0%4.3%3.3%777.8K-64.3M-669.6K0.4275.414,5781,90839,77125,739
2011-05-31$41.41$42.0021.8%6.3%12.6%27.6%22.2%2.9%0.8%908.9K-66.0M-727.5K0.4066.2056022644,24127,514