CCI Options History — October 2011

In October 2011, CCI traded between $39.84 and $43.52. ATM implied volatility averaged 31.1%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.4% (HV 20d: 27.7%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.81.

Notable Days

  • 2011-10-26: Highest Volume — 17,185 contracts
  • 2011-10-13: Largest IV spike — 21.0% change
  • 2011-10-03: Highest IV Rank — 68.5%
  • 2011-10-03: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.06$39.84$43.52$40.30$41.36
Max Pain$41.10$40.00$43.00$40.00$42.00
ATM IV31.1%24.4%43.5%43.5%30.0%
Expected Move9.2%7.7%12.5%12.5%8.6%
HV 20d27.7%22.4%31.1%22.4%31.1%
HV 60d35.6%31.8%37.0%34.8%32.1%
IV Rank34.7%16.4%68.5%68.5%30.9%
IV Percentile77.1%48.0%98.8%98.8%78.6%
Term Structure-0.3%-3.4%3.9%0.1%-3.4%
VWIV33.8%24.9%47.5%44.7%30.0%
Skew 25d9.3%6.8%12.8%12.8%8.8%
Skew 10d20.8%16.5%27.1%23.5%18.7%
Call IV 25d27.9%23.4%36.6%36.6%25.3%
Put IV 25d37.2%30.2%49.4%49.4%34.1%
Bid-Ask Spread %37.5824.5479.0338.8279.03
Gamma HHI0.250.210.330.230.25
Net GEX3.0M300.2K8.3M1.3M1.4M
Net DEX-76.1M-108.6M-42.3M-53.6M-54.8M
Net VEX-549.7K-604.3K-514.2K-604.3K-545.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.810.0338.020.871.22
Total Volume2,16315717,185219246
Total OI78,054.38140,32893,10186,10958,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$40.30$40.0043.5%12.5%22.4%68.5%44.7%12.8%0.1%1.3M-53.6M-604.3K0.8738.8211710256,13329,976
2011-10-04$39.84$40.0039.2%11.2%22.6%58.1%47.5%8.2%0.3%300.2K-42.3M-588.6K18.4436.941612,96956,21030,004
2011-10-05$40.73$40.0033.9%9.7%23.4%45.4%41.6%8.7%2.1%1.5M-56.3M-583.0K1.6247.7759897156,18230,278
2011-10-06$41.25$40.0031.5%9.0%24.0%39.7%32.5%7.1%3.9%1.9M-64.7M-578.8K2.1825.8811324656,56530,756
2011-10-07$40.25$40.0032.8%10.2%24.8%42.7%44.9%9.6%-0.2%817.3K-53.7M-566.3K1.9835.2126151856,59030,806
2011-10-10$42.09$40.0029.4%9.5%29.6%29.2%36.4%9.3%-1.0%3.1M-80.1M-543.4K0.1931.193125956,66731,290
2011-10-11$41.73$40.0024.7%9.0%29.1%17.1%30.6%9.0%-0.2%2.6M-74.5M-543.1K0.0537.411,1555456,62331,338
2011-10-12$42.39$40.0024.4%8.4%28.5%16.4%26.5%7.9%0.9%4.5M-90.4M-538.0K0.0841.123,30725157,70731,388
2011-10-13$42.26$40.0029.6%8.5%28.2%29.7%33.8%8.7%0.1%5.0M-90.5M-546.1K0.0335.401,0833260,06031,562
2011-10-14$43.32$40.0029.5%8.5%29.6%29.5%31.1%9.5%0.1%8.3M-108.6M-550.3K0.8936.191,9081,69659,93631,576
2011-10-17$42.85$42.0029.8%8.5%29.8%30.3%29.0%8.5%0.1%6.0M-98.8M-543.4K0.3734.4228610660,45432,099
2011-10-18$43.25$42.0029.9%8.6%30.0%30.4%29.1%9.6%0.0%7.0M-103.3M-532.8K0.5640.5432618460,24632,057
2011-10-19$42.73$42.0030.0%8.6%30.2%30.8%34.3%9.2%0.2%4.0M-93.4M-528.3K1.1436.2952259760,00132,202
2011-10-20$42.69$42.0032.0%9.2%27.9%36.1%38.2%11.8%-0.6%2.5M-85.8M-525.5K38.0236.67431,63559,02632,542
2011-10-21$43.07$42.0033.0%9.5%27.2%38.7%31.0%11.1%-2.2%2.4M-90.7M-531.4K0.0724.831,53910459,01434,087
2011-10-24$43.52$42.0030.0%8.6%27.3%30.8%29.1%12.4%0.3%1.7M-78.5M-518.4K0.2824.541,05329132,5987,730
2011-10-25$43.15$42.0033.9%9.7%27.1%40.8%34.3%9.9%-3.0%1.7M-75.6M-529.2K9.3036.801411,31133,5827,892
2011-10-26$41.64$43.0031.9%9.1%29.4%35.8%32.8%8.3%-2.6%1.4M-60.1M-514.2K1.2335.067,7099,47633,5518,259
2011-10-27$42.62$42.0028.0%8.0%30.4%25.6%28.0%7.9%-1.1%2.6M-73.8M-571.1K0.6937.59936440,66016,108
2011-10-28$42.32$42.0026.7%7.7%30.0%22.3%24.9%6.8%-0.3%2.6M-68.0M-561.4K0.8037.472,1061,67840,78515,941
2011-10-31$41.36$42.0030.0%8.6%31.1%30.9%30.0%8.8%-3.4%1.4M-54.8M-545.3K1.2279.0311113541,62717,034