CCI Options History — December 2011

In December 2011, CCI traded between $42.42 and $44.80. ATM implied volatility averaged 23.4%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.7% (HV 20d: 25.2%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.97.

Notable Days

  • 2011-12-20: Highest Volume — 5,231 contracts
  • 2011-12-08: Largest IV spike — 21.9% change
  • 2011-12-08: Highest IV Rank — 34.5%
  • 2011-12-08: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.55$42.42$44.80$42.67$44.80
Max Pain$41.81$40.00$42.00$40.00$42.00
ATM IV23.4%19.8%31.4%25.3%19.8%
Expected Move6.8%5.7%8.1%7.2%5.7%
HV 20d25.2%22.2%26.8%26.2%22.2%
HV 60d26.6%26.0%27.1%26.7%26.2%
IV Rank13.8%4.4%34.5%18.5%4.4%
IV Percentile36.8%6.3%80.2%52.0%6.3%
Term Structure2.7%0.8%6.2%1.3%3.7%
VWIV24.1%17.9%30.5%24.2%21.3%
Skew 25d5.6%3.6%7.1%7.1%3.6%
Skew 10d14.9%9.2%22.0%18.9%11.2%
Call IV 25d21.4%17.4%25.4%24.5%18.7%
Put IV 25d27.1%22.0%32.0%31.6%22.3%
Bid-Ask Spread %45.6619.9976.4462.5119.99
Gamma HHI0.250.180.400.230.19
Net GEX3.9M2.1M7.6M2.8M2.8M
Net DEX-93.5M-105.7M-72.3M-82.6M-100.3M
Net VEX-495.2K-562.3K-459.2K-562.3K-459.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.0021.922.570.05
Total Volume723.095675,23112567
Total OI56,787.38140,84167,62066,21843,831

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$42.67$40.0025.3%7.2%26.2%18.5%24.2%7.1%1.3%2.8M-82.6M-562.3K2.5762.51359042,59423,624
2011-12-02$43.70$40.0023.7%6.8%26.2%14.5%29.9%6.3%2.6%3.4M-100.4M-543.3K0.0466.346542642,60823,654
2011-12-05$43.52$42.0024.9%6.9%26.3%17.5%27.1%6.1%2.3%3.7M-101.3M-535.9K0.9447.941039743,05023,664
2011-12-06$43.52$42.0024.0%7.2%26.3%15.3%30.5%5.8%0.8%4.6M-105.7M-526.4K7.7934.3611186543,10123,739
2011-12-07$43.08$42.0025.8%7.5%26.6%19.9%27.9%5.4%2.0%4.2M-93.4M-530.6K0.6833.4841327943,11123,637
2011-12-08$42.48$42.0031.4%8.1%26.8%34.5%26.7%6.6%3.7%3.1M-82.7M-534.9K0.2036.342695343,29823,788
2011-12-09$43.24$42.0024.6%7.4%26.6%16.7%24.7%6.8%0.8%5.2M-97.0M-520.4K21.9263.371328543,52223,819
2011-12-12$43.07$42.0025.4%7.6%24.8%18.9%24.0%6.9%2.1%6.1M-94.7M-500.5K0.6555.21553643,51224,082
2011-12-13$43.34$42.0023.8%7.3%24.6%14.6%28.2%6.0%1.4%7.6M-101.9M-492.6K0.2749.3352714043,54724,073
2011-12-14$42.76$42.0023.4%7.1%25.0%13.8%23.4%5.5%6.2%5.9M-90.9M-483.9K0.0137.80252243,06024,063
2011-12-15$43.41$42.0024.4%7.0%23.7%16.3%25.8%6.4%3.0%7.6M-101.7M-479.9K4.8265.946129443,22324,065
2011-12-16$42.88$42.0024.6%7.0%23.9%16.7%25.5%6.8%2.0%3.3M-89.5M-475.7K0.2340.902,70461343,28424,288
2011-12-19$42.42$42.0025.7%7.4%23.7%19.6%23.5%6.0%2.4%2.1M-72.3M-478.1K0.1141.0681933,2377,604
2011-12-20$44.00$42.0021.6%6.2%26.2%8.9%21.3%4.8%4.2%2.3M-88.9M-461.5K0.5934.233,2951,93633,2937,604
2011-12-21$43.93$42.0021.0%6.0%26.2%7.4%21.6%4.6%2.8%2.6M-90.8M-471.3K0.5176.4428414534,9688,601
2011-12-22$44.36$42.0020.8%6.0%25.5%7.0%19.9%4.4%3.5%2.7M-95.2M-475.6K0.5442.551719235,2408,711
2011-12-23$44.39$42.0019.8%5.7%25.5%4.4%21.4%4.6%3.6%2.8M-95.9M-472.7K0.0036.67504235,2668,764
2011-12-27$44.43$42.0021.0%6.0%24.6%7.3%22.0%4.8%3.0%2.8M-94.8M-464.5K16.8845.15813534,8278,763
2011-12-28$43.86$42.0021.1%6.0%25.4%7.6%20.5%5.4%2.6%2.7M-89.7M-467.4K2.3041.106615234,8288,827
2011-12-29$44.60$42.0020.2%5.8%22.3%5.4%17.9%4.5%3.1%2.7M-94.8M-461.8K1.2728.2711514634,8258,940
2011-12-30$44.80$42.0019.8%5.7%22.2%4.4%21.3%3.6%3.7%2.8M-100.3M-459.2K0.0519.9964334,7779,054