CCI Options History — February 2012

In February 2012, CCI traded between $48.65 and $52.55. ATM implied volatility averaged 22.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.3% (HV 20d: 19.0%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 2.06.

Notable Days

2012-02-16: Highest Volume — 1,573 contracts
2012-02-27: Largest IV spike — 15.2% change
2012-02-02: Highest IV Rank — 19.6%
2012-02-02: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.40	$48.65	$52.55	$48.65	$51.81
Max Pain	$48.20	$45.00	$49.00	$45.00	$49.00
ATM IV	22.3%	19.5%	24.4%	23.8%	22.2%
Expected Move	6.3%	5.6%	7.0%	6.8%	6.4%
HV 20d	19.0%	11.8%	20.9%	20.3%	12.3%
HV 60d	20.6%	18.4%	22.3%	22.3%	18.5%
IV Rank	14.4%	7.3%	19.6%	18.2%	14.1%
IV Percentile	30.7%	4.8%	46.0%	43.7%	32.5%
Term Structure	0.2%	-1.0%	0.8%	-0.8%	0.5%
VWIV	22.3%	19.2%	26.1%	25.4%	22.2%
Skew 25d	2.1%	0.4%	5.2%	2.9%	1.6%
Skew 10d	6.1%	3.5%	11.5%	5.8%	5.1%
Call IV 25d	21.4%	17.4%	22.8%	22.8%	20.7%
Put IV 25d	23.4%	21.3%	25.8%	25.7%	22.3%
Bid-Ask Spread %	45.15	27.63	87.39	27.63	87.39
Gamma HHI	0.27	0.19	0.37	0.21	0.33
Net GEX	2.3M	1.7M	2.9M	2.7M	1.8M
Net DEX	-127.7M	-147.2M	-118.8M	-118.8M	-124.6M
Net VEX	-366.8K	-420.2K	-316.7K	-396.7K	-346.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.06	14.21	0.17	0.21
Total Volume	410.35	29	1,573	526	29
Total OI	39,587.6	35,924	44,010	39,809	36,323

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
2012-02-01	$48.65	$45.00	23.8%	6.8%	20.3%	18.2%	25.4%	2.9%	-0.8%	2.7M	-118.8M	-396.7K	0.17	27.63	451	75	33,667	6,142
2012-02-02	$48.99	$45.00	24.4%	7.0%	20.4%	19.6%	26.1%	3.2%	-0.8%	2.7M	-123.5M	-395.8K	0.06	29.23	1,198	67	33,802	6,182
2012-02-03	$49.22	$48.00	24.1%	6.6%	20.3%	18.8%	0.0%	3.6%	-0.3%	2.8M	-128.9M	-366.4K	0.10	35.54	98	10	34,790	6,219
2012-02-06	$49.28	$48.00	24.4%	6.7%	20.3%	19.5%	22.3%	3.6%	-0.3%	2.7M	-124.7M	-420.2K	0.22	40.23	277	60	34,879	6,229
2012-02-07	$49.11	$48.00	23.8%	6.7%	20.2%	18.2%	23.0%	2.1%	-1.0%	2.8M	-126.9M	-372.0K	1.83	40.56	18	33	34,688	6,266
2012-02-08	$49.26	$48.00	21.7%	6.0%	20.0%	12.9%	22.7%	2.0%	0.1%	2.9M	-127.8M	-375.2K	1.84	36.01	242	446	34,699	6,296
2012-02-09	$49.31	$48.00	20.9%	6.0%	20.0%	10.9%	21.0%	1.6%	0.5%	2.9M	-127.8M	-370.4K	0.14	39.99	139	20	34,688	6,724
2012-02-10	$49.31	$48.00	21.4%	6.1%	20.1%	12.1%	21.3%	1.7%	0.8%	2.9M	-128.5M	-374.1K	0.34	44.63	73	25	34,696	6,726
2012-02-13	$49.40	$48.00	21.0%	6.0%	19.8%	11.1%	21.0%	5.2%	0.8%	2.9M	-129.9M	-370.0K	6.17	44.07	23	142	34,747	6,743
2012-02-14	$49.42	$48.00	21.5%	6.2%	19.7%	12.4%	20.5%	1.4%	0.5%	2.8M	-129.9M	-366.0K	14.21	41.20	61	867	34,738	6,871
2012-02-15	$50.65	$49.00	21.6%	6.2%	20.9%	12.5%	22.0%	1.1%	0.4%	1.8M	-137.8M	-386.1K	0.71	45.72	394	280	34,729	7,567
2012-02-16	$50.81	$49.00	22.3%	6.4%	20.8%	14.3%	22.6%	1.8%	0.5%	1.7M	-140.5M	-364.5K	0.09	46.62	1,441	132	34,960	7,701
2012-02-17	$51.37	$49.00	22.7%	6.5%	20.6%	15.4%	22.8%	1.1%	0.1%	1.9M	-147.2M	-345.1K	0.11	30.24	535	60	36,250	7,760
2012-02-21	$51.47	$49.00	22.6%	6.5%	20.4%	15.0%	22.5%	1.5%	0.0%	1.8M	-120.9M	-347.0K	2.08	34.32	108	225	30,998	4,926
2012-02-22	$51.42	$49.00	21.5%	6.2%	20.3%	12.4%	22.7%	2.3%	0.8%	1.8M	-120.8M	-350.7K	8.50	58.42	6	51	31,048	5,010
2012-02-23	$52.01	$49.00	21.8%	6.2%	20.1%	13.1%	21.9%	1.9%	0.2%	1.8M	-124.5M	-329.5K	0.40	54.61	105	42	31,048	5,047
2012-02-24	$52.55	$49.00	19.5%	5.6%	19.5%	7.3%	19.2%	1.3%	0.6%	1.8M	-125.6M	-373.2K	0.80	57.95	89	71	31,066	5,053
2012-02-27	$51.80	$49.00	22.4%	6.4%	12.3%	14.7%	19.3%	0.4%	0.7%	1.9M	-123.9M	-316.7K	0.59	51.85	170	100	31,046	5,105
2012-02-28	$52.09	$49.00	22.6%	6.5%	11.8%	15.0%	25.3%	0.8%	0.2%	1.8M	-121.8M	-369.1K	2.67	56.71	12	32	31,159	5,164
2012-02-29	$51.81	$49.00	22.2%	6.4%	12.3%	14.1%	22.2%	1.6%	0.5%	1.8M	-124.6M	-346.3K	0.21	87.39	24	5	31,171	5,152