CCI Options History — September 2011

In September 2011, CCI traded between $40.67 and $43.87. ATM implied volatility averaged 33.8%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.7% (HV 20d: 29.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-09-23: Highest Volume — 29,296 contracts
  • 2011-09-13: Largest IV drop — 23.5% change
  • 2011-09-12: Highest IV Rank — 67.7%
  • 2011-09-30: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.40$40.67$43.87$43.55$40.67
Max Pain$40.10$40.00$41.00$41.00$40.00
ATM IV33.8%28.6%43.2%29.4%38.6%
Expected Move9.6%8.2%11.1%8.4%11.1%
HV 20d29.1%23.9%41.4%39.7%24.3%
HV 60d34.7%33.9%35.6%33.9%34.8%
IV Rank45.2%32.6%67.7%35.3%56.7%
IV Percentile88.3%75.8%98.8%82.5%95.2%
Term Structure1.5%-1.2%5.7%-0.7%1.7%
VWIV34.3%27.6%46.7%32.8%39.1%
Skew 25d9.6%6.9%14.1%8.2%11.8%
Skew 10d21.7%15.5%27.3%24.2%23.0%
Call IV 25d29.4%25.8%33.5%25.8%33.5%
Put IV 25d39.0%32.9%45.2%34.0%45.2%
Bid-Ask Spread %36.4522.0767.6567.6533.39
Gamma HHI0.220.210.250.210.23
Net GEX2.2M1.5M3.6M2.1M1.7M
Net DEX-84.6M-109.6M-60.6M-100.6M-60.6M
Net VEX-618.2K-701.5K-585.6K-629.5K-623.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.063.450.890.19
Total Volume1,803.3818929,296345252
Total OI66,618.33356,53899,25860,10686,038

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$43.55$41.0029.4%8.4%39.7%35.3%32.8%8.2%-0.7%2.1M-100.6M-629.5K0.8967.6518316241,93218,174
2011-09-02$42.28$41.0032.8%9.4%41.4%43.5%31.2%11.5%-0.1%1.8M-82.9M-637.5K2.2740.758318842,05618,133
2011-09-06$42.06$40.0037.3%10.1%36.1%54.2%39.0%10.2%-0.0%1.8M-77.9M-628.4K1.8741.4315428842,08418,225
2011-09-07$42.73$40.0035.0%9.6%32.5%48.7%33.0%9.0%0.9%1.8M-87.3M-627.4K0.5922.0756033142,15818,461
2011-09-08$42.52$40.0033.9%8.9%30.5%45.2%30.9%9.2%0.5%2.0M-88.3M-624.3K0.3723.851987442,57818,410
2011-09-09$41.81$40.0035.6%10.2%30.3%49.5%41.5%9.5%-0.5%1.6M-77.9M-621.5K3.4529.50206942,68918,484
2011-09-12$41.46$40.0043.2%10.6%29.4%67.7%34.5%9.5%-1.2%1.5M-71.8M-613.7K0.3135.171374342,70118,472
2011-09-13$42.19$40.0033.1%9.9%29.4%43.4%31.0%9.6%-0.4%1.7M-80.3M-610.3K0.0924.281671542,68518,504
2011-09-14$43.14$40.0028.6%8.8%30.2%32.7%29.5%8.4%2.4%2.2M-96.4M-599.6K0.2835.4841611742,74118,512
2011-09-15$43.56$40.0029.5%8.5%30.1%34.8%28.9%7.3%3.5%2.4M-102.8M-595.3K0.0637.331,1166842,75018,519
2011-09-16$43.87$40.0028.7%8.2%26.7%32.9%28.2%7.3%2.9%3.0M-109.6M-585.6K0.2334.912846543,79418,565
2011-09-19$43.81$40.0028.7%8.2%26.7%32.8%31.0%8.2%5.7%2.5M-100.7M-592.8K0.6229.8942326241,08815,450
2011-09-20$43.56$40.0028.6%8.2%26.4%32.6%29.1%6.9%3.0%2.5M-100.7M-593.6K0.1938.5460711741,14815,600
2011-09-21$43.31$40.0030.2%8.7%23.9%36.5%27.6%7.1%1.7%2.6M-98.3M-595.8K0.6848.221117641,57915,677
2011-09-22$41.95$40.0035.9%10.3%25.8%50.2%37.5%8.6%0.1%2.0M-80.4M-590.4K1.5237.0345569241,63315,753
2011-09-23$41.25$40.0037.2%10.7%25.6%53.3%38.7%12.0%1.2%1.7M-69.6M-587.4K0.9034.5715,43813,85841,57516,179
2011-09-26$41.59$40.0035.7%10.2%25.4%49.6%40.7%12.0%1.2%1.6M-61.5M-701.5K0.7540.88644855,69543,563
2011-09-27$42.25$40.0034.3%9.8%25.4%46.3%31.2%11.0%3.6%3.6M-88.0M-644.3K0.1243.922603055,72629,914
2011-09-28$41.53$40.0036.0%10.3%26.1%50.4%46.7%11.2%2.6%2.7M-75.6M-643.2K0.2630.491193155,88929,929
2011-09-29$41.21$40.0037.0%10.6%24.1%52.7%37.8%14.1%2.4%2.3M-64.4M-635.4K0.2136.022395155,98029,942
2011-09-30$40.67$40.0038.6%11.1%24.3%56.7%39.1%11.8%1.7%1.7M-60.6M-623.6K0.1933.392124056,09029,948