CCI Options History — November 2011

In November 2011, CCI traded between $39.35 and $42.32. ATM implied volatility averaged 29.4%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 2.7% (HV 20d: 26.6%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.06.

Notable Days

  • 2011-11-15: Highest Volume — 17,107 contracts
  • 2011-11-09: Largest IV spike — 26.0% change
  • 2011-11-25: Highest IV Rank — 43.0%
  • 2011-11-25: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.99$39.35$42.32$40.57$42.32
Max Pain$40.71$40.00$42.00$42.00$40.00
ATM IV29.4%24.9%34.7%31.8%28.4%
Expected Move8.4%7.1%10.0%9.1%8.1%
HV 20d26.6%22.2%31.6%31.6%26.2%
HV 60d27.2%25.5%30.5%30.5%26.8%
IV Rank29.1%17.5%43.0%35.4%26.6%
IV Percentile72.0%50.0%88.1%82.9%66.3%
Term Structure-0.0%-3.9%4.6%-1.1%-0.6%
VWIV29.7%22.4%37.3%31.5%29.4%
Skew 25d7.9%5.2%9.8%8.4%9.7%
Skew 10d20.2%11.5%28.7%14.0%26.8%
Call IV 25d26.1%23.0%31.6%29.4%23.5%
Put IV 25d34.0%30.0%38.5%37.9%33.1%
Bid-Ask Spread %43.1633.2776.4839.6949.80
Gamma HHI0.280.200.370.250.22
Net GEX317.6K-4.6M3.2M629.7K2.0M
Net DEX-46.7M-71.9M-24.0M-44.4M-68.6M
Net VEX-540.3K-567.9K-509.9K-539.7K-558.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.060.0018.190.840.56
Total Volume1,966.7621317,107334305
Total OI64,358.09558,74784,94258,78365,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$40.57$42.0031.8%9.1%31.6%35.4%31.5%8.4%-1.1%629.7K-44.4M-539.7K0.8439.6918215241,70617,077
2011-11-02$40.75$42.0030.8%8.8%30.7%32.7%37.3%7.5%-2.0%595.1K-44.4M-542.3K10.4646.192425141,82017,205
2011-11-03$41.75$42.0025.2%7.2%31.6%18.4%25.9%6.0%0.4%1.7M-55.0M-539.0K0.2876.4884123341,81717,264
2011-11-04$41.84$41.0026.0%7.8%30.1%20.5%29.9%8.4%0.1%1.9M-59.0M-543.7K16.9542.42751,27142,26317,361
2011-11-07$41.80$41.0026.7%7.4%25.6%22.2%27.3%7.8%0.9%1.6M-56.7M-533.7K0.8241.9514611942,26718,313
2011-11-08$41.94$41.0024.9%7.1%25.4%17.5%22.4%7.1%1.8%1.6M-57.9M-527.3K1.4639.28355142,39318,403
2011-11-09$41.48$41.0031.4%8.4%25.0%34.3%26.5%8.6%4.6%798.1K-51.3M-524.6K0.0043.791,109142,39018,433
2011-11-10$40.81$41.0027.8%8.0%25.6%25.2%28.1%8.6%2.3%-493.1K-44.2M-519.6K1.0737.1315116143,41018,433
2011-11-11$42.02$41.0025.9%7.4%26.2%20.1%0.0%7.8%3.4%2.2M-63.2M-524.9K0.2453.881,61738243,46618,514
2011-11-14$41.69$41.0026.8%7.7%26.1%22.5%24.3%8.1%0.4%1.7M-63.6M-509.9K0.0242.291,1252544,84718,410
2011-11-15$42.12$41.0027.4%7.8%26.2%24.0%30.1%8.5%1.1%3.2M-71.9M-511.8K2.0834.385,55211,55545,92418,429
2011-11-16$41.13$41.0029.2%8.4%27.1%28.8%31.1%8.8%-1.8%-659.0K-46.8M-560.5K2.4643.698792,15951,18428,807
2011-11-17$40.76$40.0029.8%8.6%27.2%30.4%30.5%9.4%0.4%-1.6M-36.8M-567.9K1.5537.071,0971,69751,89931,034
2011-11-18$40.21$40.0029.5%8.5%27.2%29.5%29.7%9.0%0.9%-4.6M-27.6M-553.8K2.1643.7729463552,65132,291
2011-11-21$39.90$40.0031.7%9.1%26.7%35.2%36.1%9.8%-2.3%-613.6K-29.9M-547.9K18.1940.03621,12838,02820,719
2011-11-22$39.84$40.0030.8%8.8%26.7%32.9%28.8%7.3%-0.4%-926.7K-29.4M-548.7K0.0533.271,9559738,06621,565
2011-11-23$39.35$40.0032.1%9.2%24.2%36.3%31.7%5.2%-0.3%-914.8K-24.0M-545.2K0.7235.0438027239,82121,599
2011-11-25$39.44$40.0034.7%10.0%22.2%43.0%0.0%5.5%-3.9%-1.0M-25.2M-539.0K0.0036.1801339,57121,766
2011-11-28$40.39$40.0033.9%9.7%24.3%40.9%32.1%6.9%-2.4%-439.3K-38.4M-543.9K0.6933.592,9472,02039,57121,779
2011-11-29$40.69$40.0031.6%9.1%23.2%34.9%32.3%7.5%-2.6%29.6K-42.6M-565.1K0.6956.3918012442,41123,563
2011-11-30$42.32$40.0028.4%8.1%26.2%26.6%29.4%9.7%-0.6%2.0M-68.6M-558.8K0.5649.8019511041,40723,643