CCI Options History — July 2011

In July 2011, CCI traded between $41.87 and $43.91. ATM implied volatility averaged 24.9%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 3.9% (HV 20d: 21.1%). 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 3 of 20 days. Put/call ratio averaged 2.27.

Notable Days

  • 2011-07-28: Highest Volume — 8,041 contracts
  • 2011-07-11: Largest IV spike — 24.6% change
  • 2011-07-27: Highest IV Rank — 57.1%
  • 2011-07-27: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.47$41.87$43.91$42.61$43.40
Max Pain$41.35$40.00$42.00$40.00$42.00
ATM IV24.9%18.3%29.7%18.3%27.9%
Expected Move7.4%5.2%8.5%5.2%8.0%
HV 20d21.1%19.9%25.7%20.4%25.7%
HV 60d18.2%17.2%19.5%18.0%19.3%
IV Rank39.4%14.3%57.1%14.3%50.5%
IV Percentile56.7%1.6%92.5%1.6%81.7%
Term Structure-1.2%-3.3%4.5%4.5%-2.5%
VWIV26.7%20.2%31.7%20.2%27.4%
Skew 25d6.3%4.1%12.5%9.0%4.1%
Skew 10d13.7%9.0%19.5%16.8%9.0%
Call IV 25d22.8%12.3%27.2%12.3%25.2%
Put IV 25d29.1%21.4%33.7%21.4%29.3%
Bid-Ask Spread %33.7023.5053.5235.0642.12
Gamma HHI0.220.180.260.220.18
Net GEX1.3M328.9K2.8M2.1M1.0M
Net DEX-81.4M-100.4M-66.3M-89.5M-88.8M
Net VEX-658.0K-692.6K-629.9K-692.6K-644.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.0211.700.210.62
Total Volume1,434.95788,0412,384631
Total OI69,627.953,03983,29582,28960,585

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$42.61$40.0018.3%5.2%20.4%14.3%20.2%9.0%4.5%2.1M-89.5M-692.6K0.2135.061,97041448,04634,243
2011-07-05$42.54$41.0018.4%6.3%20.1%14.9%24.8%4.6%0.5%2.3M-91.1M-684.5K6.6036.013523148,55134,405
2011-07-06$42.88$41.0020.6%6.6%20.2%23.2%23.0%4.9%-0.2%2.5M-96.3M-678.0K0.3932.8792036348,24634,267
2011-07-07$43.01$41.0020.4%6.4%19.9%22.3%21.9%4.5%0.1%2.7M-100.4M-674.0K0.1230.831,05112348,65734,579
2011-07-08$42.67$41.0019.3%6.4%19.9%18.1%21.0%4.7%-0.1%2.5M-91.7M-670.1K1.0131.8612112248,04934,601
2011-07-11$42.13$41.0024.0%7.1%20.4%36.0%23.4%5.2%-0.8%1.8M-81.3M-665.2K0.0233.321,0362148,09234,702
2011-07-12$42.26$41.0023.9%7.1%20.3%35.6%23.9%5.1%-0.6%2.1M-86.1M-660.8K1.6023.50304848,59234,703
2011-07-13$42.73$41.0020.7%6.7%20.4%23.5%24.5%4.3%-0.3%2.8M-95.2M-653.6K3.2832.20258248,03134,714
2011-07-14$41.98$41.0025.8%7.4%21.6%42.5%25.1%5.7%-0.4%989.6K-80.0M-644.9K0.7331.8090766647,59634,691
2011-07-15$42.35$41.0025.9%7.4%21.6%42.9%28.8%6.0%-0.8%328.9K-84.5M-642.3K0.4327.332,5531,09247,43534,713
2011-07-18$41.92$40.0027.5%7.9%21.8%49.2%27.1%6.8%-2.0%380.7K-67.4M-645.1K0.9229.241,6551,52433,62519,414
2011-07-19$42.15$42.0027.6%7.9%21.8%49.4%27.9%7.0%-2.2%515.8K-70.5M-650.9K1.1024.0413414834,92420,516
2011-07-20$41.87$42.0028.4%8.1%20.9%52.5%29.7%7.2%-3.3%466.5K-66.3M-655.0K2.9228.8931591935,02620,697
2011-07-21$42.13$42.0028.0%8.0%20.2%50.9%28.1%6.3%-2.9%491.7K-68.8M-660.1K0.3637.922147635,20221,024
2011-07-22$42.40$42.0028.5%8.2%20.2%52.9%31.2%7.5%-3.1%579.2K-71.5M-659.6K7.7128.432821635,33221,055
2011-07-25$42.14$42.0029.0%8.3%20.2%54.5%31.5%6.6%-3.2%469.2K-69.5M-649.4K1.9431.0517333635,33321,136
2011-07-26$42.26$42.0029.2%8.4%20.1%55.3%31.4%8.3%-2.3%540.8K-69.3M-653.5K11.7038.902023435,45121,294
2011-07-27$42.00$42.0029.7%8.5%20.2%57.1%30.7%5.6%-2.8%432.3K-68.5M-647.1K1.8045.037961,42935,46221,519
2011-07-28$43.91$42.0025.5%7.3%25.1%41.6%31.7%12.5%-0.9%945.0K-91.5M-629.9K2.0353.522,6535,38835,81922,231
2011-07-29$43.40$42.0027.9%8.0%25.7%50.5%27.4%4.1%-2.5%1.0M-88.8M-644.1K0.6242.1239024137,64722,938