CCI Options History — January 2012

In January 2012, CCI traded between $44.92 and $48.72. ATM implied volatility averaged 20.6%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.3% (HV 20d: 17.4%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2012-01-27: Highest Volume — 7,660 contracts
2012-01-27: Largest IV spike — 50.0% change
2012-01-27: Highest IV Rank — 25.5%
2012-01-27: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.26	$44.92	$48.72	$44.92	$48.48
Max Pain	$43.80	$42.00	$45.00	$42.00	$45.00
ATM IV	20.6%	16.6%	26.8%	20.6%	26.2%
Expected Move	6.1%	5.1%	7.7%	5.9%	7.5%
HV 20d	17.4%	11.1%	20.7%	20.7%	20.3%
HV 60d	23.2%	21.4%	26.1%	26.1%	22.7%
IV Rank	9.2%	0.0%	25.5%	6.5%	24.0%
IV Percentile	17.8%	0.0%	61.1%	13.9%	57.5%
Term Structure	0.9%	-2.9%	3.4%	2.7%	-2.9%
VWIV	22.4%	18.0%	27.6%	24.1%	27.5%
Skew 25d	4.1%	1.8%	6.6%	4.1%	3.0%
Skew 10d	10.2%	3.7%	15.1%	7.9%	4.5%
Call IV 25d	19.5%	15.7%	24.5%	19.1%	24.5%
Put IV 25d	23.6%	19.3%	27.9%	23.2%	27.5%
Bid-Ask Spread %	50.65	27.76	90.57	42.71	32.02
Gamma HHI	0.27	0.19	0.38	0.19	0.21
Net GEX	2.6M	1.8M	3.5M	2.8M	2.7M
Net DEX	-110.2M	-124.1M	-87.6M	-102.0M	-117.7M
Net VEX	-410.4K	-449.5K	-361.2K	-448.5K	-397.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.04	4.80	0.45	4.80
Total Volume	782.75	52	7,660	736	232
Total OI	41,258.35	31,699	45,497	43,847	39,594

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$44.92	$42.00	20.6%	5.9%	20.7%	6.5%	24.1%	4.1%	2.7%	2.8M	-102.0M	-448.5K	0.45	42.71	506	230	34,790	9,057
2012-01-04	$45.02	$42.00	19.7%	5.6%	20.6%	4.0%	21.5%	3.2%	3.0%	2.9M	-103.2M	-447.0K	0.06	42.41	914	52	34,761	9,155
2012-01-05	$44.98	$42.00	18.9%	5.4%	20.6%	2.1%	19.9%	3.2%	3.4%	3.0M	-104.6M	-449.5K	0.08	63.25	48	4	35,557	9,203
2012-01-06	$45.05	$44.00	18.9%	6.4%	20.1%	1.9%	0.0%	4.4%	1.3%	3.1M	-106.8M	-446.3K	0.49	36.44	43	21	35,547	9,205
2012-01-09	$45.63	$44.00	17.6%	5.8%	19.5%	0.0%	20.2%	5.8%	2.9%	3.0M	-113.3M	-425.0K	0.89	42.28	28	25	35,548	9,206
2012-01-10	$46.13	$44.00	17.4%	5.8%	19.0%	0.0%	21.9%	4.5%	2.6%	3.5M	-123.4M	-361.2K	0.96	53.63	54	52	35,546	9,200
2012-01-11	$46.24	$44.00	16.6%	5.9%	18.8%	0.0%	0.0%	4.6%	1.4%	2.8M	-120.4M	-418.9K	2.51	43.14	37	93	35,553	9,234
2012-01-12	$46.25	$44.00	20.6%	5.9%	18.8%	10.1%	0.0%	5.4%	0.9%	2.8M	-120.6M	-417.1K	0.06	53.78	50	3	35,561	9,292
2012-01-13	$46.00	$44.00	20.4%	5.8%	18.1%	9.5%	21.0%	4.4%	0.9%	2.7M	-118.9M	-414.1K	1.06	64.21	53	56	35,586	9,292
2012-01-17	$45.83	$44.00	21.4%	6.1%	17.7%	12.0%	21.2%	3.1%	2.2%	2.8M	-120.2M	-399.7K	3.33	39.29	96	320	35,610	9,323
2012-01-18	$45.84	$44.00	21.2%	6.1%	16.9%	11.7%	24.7%	5.1%	-0.4%	2.9M	-118.5M	-411.0K	1.57	76.87	142	223	35,629	9,605
2012-01-19	$46.40	$44.00	21.2%	6.1%	16.3%	11.5%	21.2%	4.9%	1.7%	2.5M	-123.6M	-408.5K	0.55	59.81	141	78	35,567	9,784
2012-01-20	$46.22	$44.00	21.1%	6.0%	11.2%	11.3%	22.5%	2.4%	1.3%	2.7M	-124.1M	-390.3K	0.04	90.57	446	20	35,648	9,849
2012-01-23	$46.05	$44.00	19.6%	5.6%	11.4%	7.5%	19.7%	1.8%	0.8%	1.9M	-90.0M	-400.5K	0.33	48.93	157	52	27,885	3,814
2012-01-24	$45.94	$44.00	20.2%	5.8%	11.1%	9.1%	21.7%	5.9%	0.2%	2.0M	-87.6M	-405.2K	1.07	56.59	958	1,022	27,969	3,857
2012-01-25	$46.70	$44.00	20.4%	5.9%	12.3%	9.7%	21.0%	6.6%	-1.0%	1.9M	-92.1M	-395.0K	0.25	53.70	802	201	28,428	4,393
2012-01-26	$46.33	$44.00	17.9%	5.1%	12.8%	3.3%	18.0%	2.4%	2.4%	2.2M	-95.9M	-384.1K	0.24	53.71	325	79	29,200	4,578
2012-01-27	$48.72	$44.00	26.8%	7.7%	20.4%	25.5%	27.6%	4.6%	-2.3%	1.8M	-107.2M	-382.0K	0.25	31.86	6,147	1,513	29,227	4,584
2012-01-30	$48.41	$45.00	26.2%	7.5%	20.3%	24.1%	26.5%	3.1%	-2.5%	2.8M	-114.6M	-405.9K	0.81	27.76	239	193	33,538	5,792
2012-01-31	$48.48	$45.00	26.2%	7.5%	20.3%	24.0%	27.5%	3.0%	-2.9%	2.7M	-117.7M	-397.9K	4.80	32.02	40	192	33,632	5,962