CCI Options History — August 2011

In August 2011, CCI traded between $38.70 and $43.80. ATM implied volatility averaged 38.2%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 7.0% (HV 20d: 45.3%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 4.80.

Notable Days

  • 2011-08-19: Highest Volume — 3,819 contracts
  • 2011-08-04: Largest IV spike — 30.6% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-10: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.32$38.70$43.80$43.69$43.43
Max Pain$41.61$40.00$44.00$42.00$41.00
ATM IV38.2%26.4%56.7%26.4%30.9%
Expected Move10.5%7.6%12.6%7.6%8.9%
HV 20d45.3%20.9%53.0%20.9%47.8%
HV 60d30.5%19.3%34.0%19.3%33.9%
IV Rank63.4%39.0%100.0%44.9%39.0%
IV Percentile95.4%70.2%100.0%70.2%87.7%
Term Structure-2.6%-7.9%0.7%-1.3%0.6%
VWIV36.7%26.3%48.6%26.8%27.2%
Skew 25d8.8%2.0%13.0%5.7%8.1%
Skew 10d17.9%-10.5%33.0%10.3%26.4%
Call IV 25d32.5%18.0%40.4%24.9%26.8%
Put IV 25d41.3%28.8%49.0%30.7%34.9%
Bid-Ask Spread %34.2021.3553.1039.5746.69
Gamma HHI0.210.140.320.180.22
Net GEX412.2K-1.7M1.6M1.2M1.6M
Net DEX-60.8M-93.1M-23.8M-92.4M-93.1M
Net VEX-639.3K-666.4K-619.6K-636.5K-625.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.800.0472.761.220.04
Total Volume991.6093193,8191,2212,780
Total OI60,809.39154,20665,82960,82957,808

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$43.69$42.0026.4%7.6%20.9%44.9%26.8%5.7%-1.3%1.2M-92.4M-636.5K1.2239.5755067137,88422,945
2011-08-02$42.03$42.0032.9%9.4%25.3%69.2%26.7%5.8%-7.9%567.4K-71.7M-647.6K0.3938.1770527638,29923,234
2011-08-03$43.80$42.0030.2%8.6%29.2%59.1%26.3%10.8%-1.5%1.2M-90.8M-637.5K0.0747.736594938,11423,352
2011-08-04$40.76$42.0039.4%11.3%39.0%93.7%37.0%2.0%-6.7%79.4K-56.0M-648.3K1.4453.1037153638,41723,388
2011-08-05$40.80$44.0039.6%9.9%39.0%94.4%32.4%6.6%-2.0%19.2K-50.6M-666.4K0.5029.821,00350038,66823,654
2011-08-08$38.70$44.0050.6%12.5%42.8%100.0%41.6%6.2%-6.8%-395.6K-23.8M-646.0K1.7624.3947282939,23124,039
2011-08-09$40.62$42.0046.9%10.7%46.7%89.8%37.3%7.2%-1.5%-121.0K-43.0M-663.9K0.7138.4847533539,59424,415
2011-08-10$39.47$42.0056.7%12.6%47.4%100.0%44.7%9.3%-4.5%-219.6K-36.0M-651.2K1.5923.6516325939,80624,456
2011-08-11$40.44$42.0040.0%11.5%48.1%60.4%44.3%8.9%0.7%-154.0K-44.8M-660.6K8.8329.663631839,90424,543
2011-08-12$41.39$42.0036.9%10.6%48.8%53.3%34.8%8.6%-3.6%224.2K-56.1M-661.4K0.6832.1019513239,92924,721
2011-08-15$42.11$42.0035.1%10.1%49.1%49.0%35.3%8.6%-3.2%574.5K-69.7M-647.7K1.5029.0224737140,03324,836
2011-08-16$41.74$42.0034.5%9.9%49.1%47.6%36.3%8.3%-0.2%539.7K-66.8M-641.7K1.2528.3815519440,26125,086
2011-08-17$41.40$42.0035.0%10.0%49.2%48.8%32.2%8.6%-1.9%169.0K-61.9M-639.3K3.0921.358526340,31125,154
2011-08-18$39.97$42.0041.5%11.9%50.6%64.2%40.9%10.6%-2.5%-1.4M-37.8M-629.3K0.3639.0747817440,23225,303
2011-08-19$40.05$42.0042.5%12.2%50.5%66.4%42.2%10.6%-2.6%-1.7M-43.1M-626.6K0.4633.172,6221,19740,45725,372
2011-08-22$39.60$40.0041.7%12.0%50.6%64.5%42.5%11.1%-2.7%757.6K-48.9M-622.1K0.8639.8536331437,45416,752
2011-08-23$41.05$40.0037.0%10.6%52.4%53.5%40.6%10.0%-2.5%918.7K-60.9M-625.7K7.8625.623628337,68916,713
2011-08-24$41.91$40.0034.9%10.0%53.0%48.4%32.7%9.7%-2.4%1.1M-70.7M-625.8K0.3132.1532610237,70416,771
2011-08-25$41.12$40.0040.1%11.5%50.6%60.7%48.6%12.0%-3.8%1.1M-63.9M-627.4K72.7626.64171,23737,94816,800
2011-08-26$41.62$40.0036.9%10.6%50.8%53.2%42.2%13.0%-0.6%978.6K-66.7M-633.0K1.3432.1315721137,95617,553
2011-08-29$42.30$41.0035.7%10.2%51.1%50.4%43.2%10.8%-1.6%1.2M-74.1M-620.2K3.3833.4316054138,04917,682
2011-08-30$42.31$41.0034.2%9.8%49.2%46.8%28.3%10.4%-0.8%1.2M-74.9M-619.6K0.0642.441,84611438,03618,063
2011-08-31$43.43$41.0030.9%8.9%47.8%39.0%27.2%8.1%0.6%1.6M-93.1M-625.0K0.0446.692,67210839,70218,106