CCI Options History — June 2011

In June 2011, CCI traded between $39.86 and $41.62. ATM implied volatility averaged 22.9%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.0% (HV 20d: 16.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 3.84.

Notable Days

  • 2011-06-30: Highest Volume — 5,674 contracts
  • 2011-06-03: Largest IV spike — 26.9% change
  • 2011-06-06: Highest IV Rank — 49.9%
  • 2011-06-06: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.50$39.86$41.62$41.00$40.79
Max Pain$40.18$40.00$42.00$42.00$40.00
ATM IV22.9%19.6%27.7%23.4%19.6%
Expected Move6.4%5.6%7.0%6.7%5.6%
HV 20d16.9%12.8%18.7%12.9%17.5%
HV 60d18.8%15.6%22.7%21.9%15.6%
IV Rank31.7%19.3%49.9%33.8%19.3%
IV Percentile36.0%5.2%74.6%41.7%5.2%
Term Structure2.2%-0.5%3.8%-0.5%3.8%
VWIV22.0%18.1%26.1%18.1%19.0%
Skew 25d3.8%2.7%5.1%5.0%3.6%
Skew 10d9.6%3.6%15.1%3.6%14.0%
Call IV 25d20.7%18.8%22.3%19.7%19.1%
Put IV 25d24.5%21.6%26.5%24.7%22.7%
Bid-Ask Spread %35.7620.2771.4460.9930.33
Gamma HHI0.220.180.300.240.30
Net GEX450.7K-1.2M1.6M670.8K1.4M
Net DEX-52.1M-70.0M-39.1M-59.9M-60.7M
Net VEX-702.6K-737.9K-670.1K-716.4K-673.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.840.0032.000.2010.04
Total Volume871.045645,6741695,674
Total OI75,358.04571,06576,84671,06576,798

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$41.00$42.0023.4%6.7%12.9%33.8%18.1%5.0%-0.5%670.8K-59.9M-716.4K0.2060.991412843,52827,537
2011-06-02$41.62$42.0021.8%6.3%12.8%27.6%22.0%3.3%0.1%903.7K-70.0M-710.2K1.1665.5063073343,61327,559
2011-06-03$40.37$40.0027.7%6.9%16.6%49.7%23.1%3.4%0.6%321.0K-51.7M-714.2K0.7571.442,4791,86943,42028,123
2011-06-06$40.05$40.0027.7%7.0%16.7%49.9%23.6%4.4%1.7%44.8K-45.9M-719.7K1.0523.1971475144,93929,799
2011-06-07$40.20$40.0024.8%6.8%16.8%39.0%21.9%3.8%1.2%65.8K-47.0M-737.9K0.8823.68423745,59630,378
2011-06-08$39.94$40.0025.5%6.7%16.7%41.4%22.8%3.4%2.5%-113.3K-41.7M-726.3K6.1328.495332545,62630,403
2011-06-09$40.51$40.0021.8%6.3%17.7%27.8%20.3%4.2%2.8%52.7K-48.2M-733.0K4.6626.344420545,62030,669
2011-06-10$40.29$40.0023.2%6.7%17.3%33.0%22.4%3.7%2.1%-221.5K-46.0M-722.2K0.1724.232604545,63330,874
2011-06-13$40.09$40.0023.9%6.9%16.6%35.5%26.1%3.6%1.8%-295.4K-43.1M-715.4K17.6326.72814145,89130,873
2011-06-14$40.08$40.0023.2%6.7%16.5%32.9%23.4%3.6%2.1%-477.2K-43.0M-712.0K32.0031.3439645,89930,890
2011-06-15$39.86$40.0023.1%6.6%16.1%32.5%22.4%3.3%2.5%-571.4K-40.2M-701.9K1.7530.08366345,89930,917
2011-06-16$39.87$40.0024.0%6.9%15.7%36.0%24.8%4.3%2.1%-1.2M-39.1M-701.2K2.3533.85235445,90730,934
2011-06-17$40.41$40.0023.4%6.7%16.6%33.8%23.8%4.7%2.9%-878.4K-49.3M-704.4K0.0026.9006445,90730,939
2011-06-20$40.63$40.0022.5%6.4%16.8%30.1%23.3%5.1%2.0%820.4K-53.5M-700.8K0.1920.272104045,65128,798
2011-06-21$41.44$40.0022.0%6.3%18.0%28.5%22.5%2.9%2.3%1.6M-67.7M-690.4K0.3535.3790131845,80628,812
2011-06-22$40.84$40.0020.5%5.9%18.6%22.8%22.2%4.6%3.1%1.4M-61.5M-688.0K0.0241.57123346,64528,830
2011-06-23$40.88$40.0020.3%5.8%18.6%21.9%19.8%3.7%3.3%1.5M-58.8M-685.1K0.2432.271874546,60128,833
2011-06-24$40.60$40.0020.9%6.0%18.7%24.1%21.9%3.1%3.1%1.3M-55.8M-683.6K0.0029.77112046,71528,845
2011-06-27$40.47$40.0021.9%6.3%18.4%28.1%19.9%3.6%3.1%1.2M-52.7M-674.3K0.8231.8319816246,75228,845
2011-06-28$40.32$40.0022.2%6.4%18.2%29.1%21.3%3.2%2.0%1.1M-50.9M-670.1K0.1161.571,99222246,80828,974
2011-06-29$40.72$40.0019.6%5.6%18.4%19.5%20.2%2.7%3.8%1.4M-59.7M-677.0K0.0730.92123947,69329,098
2011-06-30$40.79$40.0019.6%5.6%17.5%19.3%19.0%3.6%3.8%1.4M-60.7M-673.9K10.0430.335145,16047,70129,097