CCI Options History — March 2012

In March 2012, CCI traded between $52.23 and $54.95. ATM implied volatility averaged 20.2%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.9% (HV 20d: 18.3%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 2.83.

Notable Days

  • 2012-03-12: Highest Volume — 2,492 contracts
  • 2012-03-08: Largest IV spike — 68.4% change
  • 2012-03-12: Highest IV Rank — 28.4%
  • 2012-03-14: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.17$52.23$54.95$52.84$53.34
Max Pain$45.68$45.00$49.00$49.00$46.00
ATM IV20.2%12.8%25.3%19.5%19.6%
Expected Move6.0%5.3%6.9%5.6%5.6%
HV 20d18.3%13.5%21.8%13.6%18.8%
HV 60d18.2%17.7%19.5%18.3%17.8%
IV Rank15.4%0.0%28.4%7.3%15.4%
IV Percentile16.7%0.0%54.0%4.8%9.1%
Term Structure1.2%-0.8%3.1%0.6%1.9%
VWIV21.6%17.5%26.2%22.4%21.7%
Skew 25d2.4%0.9%3.9%2.4%1.9%
Skew 10d6.9%-3.3%12.7%4.5%5.0%
Call IV 25d20.4%18.4%22.8%20.2%19.3%
Put IV 25d22.8%21.2%24.5%22.6%21.2%
Bid-Ask Spread %31.0616.8251.4051.4027.22
Gamma HHI0.360.340.400.340.37
Net GEX2.0M1.8M2.1M1.8M2.0M
Net DEX-132.5M-149.8M-126.3M-131.3M-132.7M
Net VEX-302.4K-323.4K-271.4K-320.6K-283.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.0020.250.3920.25
Total Volume480.045182,49211185
Total OI37,356.54536,33740,29936,33736,858

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$52.84$49.0019.5%5.6%13.6%7.3%22.4%2.4%0.6%1.8M-131.3M-320.6K0.3951.40803131,1805,157
2012-03-02$53.15$49.0018.6%5.3%13.5%5.2%17.5%3.9%1.3%1.9M-133.4M-322.1K0.2433.661804331,1835,182
2012-03-05$53.12$45.0021.4%5.9%13.6%12.1%20.7%3.1%0.7%1.9M-133.9M-294.2K14.2542.09811431,3125,200
2012-03-06$52.39$45.0018.1%6.7%15.0%4.0%22.0%2.5%0.8%1.8M-128.4M-318.0K0.0440.3395431,3075,207
2012-03-07$52.59$45.0012.8%6.2%14.8%0.0%21.6%3.2%0.5%1.9M-130.1M-317.7K0.0835.625124231,3405,208
2012-03-08$53.74$45.0021.6%6.3%16.1%19.9%22.8%3.1%0.9%1.9M-138.8M-319.3K0.3340.0854818331,7865,250
2012-03-09$54.43$45.0017.5%5.9%16.4%10.6%20.5%3.5%3.1%2.1M-144.2M-296.0K0.3332.6055718632,0755,315
2012-03-12$54.95$45.0025.3%6.5%16.3%28.4%22.5%2.1%0.0%2.1M-149.8M-271.4K0.6227.531,53595732,3615,478
2012-03-13$53.98$45.0024.9%6.3%18.3%27.5%22.4%1.9%0.5%2.1M-140.2M-303.3K0.1733.392,08435933,3576,297
2012-03-14$52.44$45.0019.8%6.9%21.8%15.9%26.2%1.1%0.9%1.9M-126.4M-323.4K1.3050.6626734733,4256,586
2012-03-15$52.55$45.0022.8%6.5%20.2%22.8%23.2%1.8%-0.8%1.9M-128.9M-319.7K2.0026.345310633,2986,913
2012-03-16$52.23$45.0022.8%6.5%20.4%22.9%22.7%0.9%1.4%1.9M-127.3M-295.0K5.3930.6815885233,3126,987
2012-03-19$53.09$45.0020.7%5.9%20.8%18.0%21.4%2.3%1.3%2.0M-128.5M-316.8K0.6931.311006931,3285,309
2012-03-20$52.75$45.0020.4%5.9%21.0%17.4%20.5%2.3%1.2%1.9M-126.3M-315.8K0.0716.824563031,3825,329
2012-03-21$53.12$45.0019.5%5.6%21.1%15.3%21.1%2.9%1.8%2.0M-131.3M-291.9K0.2823.97501431,2965,344
2012-03-22$53.02$46.0019.9%5.7%20.8%16.1%22.3%2.9%1.7%2.0M-129.9M-291.0K1.2225.8791131,3055,350
2012-03-23$53.20$46.0019.4%5.6%20.5%15.0%20.9%2.5%1.9%2.0M-130.3M-314.3K3.5023.5141431,3045,358
2012-03-26$53.58$46.0019.4%5.6%19.9%15.0%19.7%3.5%1.6%2.0M-133.4M-287.4K0.1117.501782031,3085,368
2012-03-27$53.14$46.0019.8%5.7%20.1%16.0%21.2%1.9%1.7%2.0M-131.4M-285.8K10.0021.551212031,2995,377
2012-03-28$52.99$46.0020.3%5.8%20.0%17.1%22.2%1.5%1.4%2.0M-129.1M-282.5K0.0027.0142031,3035,486
2012-03-29$53.00$46.0019.7%5.7%18.8%15.8%19.5%2.7%1.7%2.0M-130.2M-282.5K0.9224.20242231,3385,486
2012-03-30$53.34$46.0019.6%5.6%18.8%15.4%21.7%1.9%1.9%2.0M-132.7M-283.0K20.2527.2248131,3585,500