CCI Options History — April 2012

In April 2012, CCI traded between $52.60 and $56.61. ATM implied volatility averaged 19.5%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.3% (HV 20d: 15.2%). Max pain ranged from $46.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.84.

Notable Days

2012-04-10: Highest Volume — 46,580 contracts
2012-04-26: Largest IV drop — 22.3% change
2012-04-25: Highest IV Rank — 25.5%
2012-04-25: Largest Expected Move — 6.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.48	$52.60	$56.61	$53.37	$56.61
Max Pain	$53.20	$46.00	$55.00	$46.00	$55.00
ATM IV	19.5%	16.0%	24.0%	20.9%	20.0%
Expected Move	5.7%	4.6%	6.9%	6.0%	5.7%
HV 20d	15.2%	13.6%	18.8%	18.8%	14.5%
HV 60d	17.6%	15.4%	18.6%	17.7%	15.7%
IV Rank	15.3%	7.4%	25.5%	18.4%	16.5%
IV Percentile	13.8%	0.4%	51.6%	21.8%	17.5%
Term Structure	0.9%	-1.8%	2.4%	0.4%	0.2%
VWIV	19.9%	15.1%	23.8%	20.8%	20.0%
Skew 25d	5.6%	1.1%	8.9%	1.1%	7.5%
Skew 10d	9.0%	0.0%	14.4%	1.9%	7.7%
Call IV 25d	16.9%	12.0%	22.3%	20.6%	12.6%
Put IV 25d	22.5%	17.9%	25.9%	21.7%	20.0%
Bid-Ask Spread %	35.35	19.27	68.06	27.33	31.93
Gamma HHI	0.41	0.33	0.62	0.38	0.36
Net GEX	5.4M	2.0M	13.0M	2.0M	4.9M
Net DEX	-213.7M	-339.3M	-128.5M	-132.3M	-258.7M
Net VEX	-547.6K	-917.3K	-265.1K	-280.6K	-542.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.00	8.63	0.07	8.63
Total Volume	2,964.15	15	46,580	48	77
Total OI	56,551.1	36,935	88,430	36,937	59,152

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
2012-04-02	$53.37	$46.00	20.9%	6.0%	18.8%	18.4%	20.8%	1.1%	0.4%	2.0M	-132.3M	-280.6K	0.07	27.33	45	3	31,357	5,580
2012-04-03	$53.06	$46.00	19.3%	5.5%	18.2%	14.9%	20.7%	3.2%	2.4%	2.0M	-130.1M	-280.1K	0.00	30.77	0	47	31,364	5,583
2012-04-04	$52.85	$46.00	16.0%	4.6%	18.2%	7.4%	15.1%	2.4%	0.1%	2.0M	-128.5M	-272.7K	0.01	32.29	2,353	34	31,364	5,571
2012-04-05	$53.40	$46.00	16.9%	4.9%	16.9%	9.4%	17.4%	4.0%	2.0%	2.7M	-137.3M	-265.1K	0.04	34.69	3,658	143	33,465	5,554
2012-04-09	$53.03	$55.00	18.3%	5.4%	16.3%	12.5%	20.1%	5.3%	1.5%	3.3M	-137.7M	-275.7K	0.78	24.39	77	60	36,199	5,641
2012-04-10	$52.60	$55.00	17.7%	5.7%	15.9%	11.3%	22.3%	4.5%	1.4%	3.1M	-132.7M	-322.4K	0.00	28.74	46,533	47	36,215	5,670
2012-04-11	$53.89	$55.00	18.8%	6.2%	17.4%	13.7%	20.3%	5.8%	1.0%	6.6M	-339.3M	-917.3K	0.09	42.16	147	13	82,723	5,707
2012-04-12	$54.38	$55.00	20.0%	5.7%	13.9%	16.5%	20.2%	6.5%	1.3%	6.3M	-237.4M	-681.2K	0.32	33.61	74	24	59,460	5,717
2012-04-13	$53.86	$55.00	20.1%	5.7%	14.5%	16.5%	20.1%	5.9%	1.0%	6.1M	-231.6M	-666.4K	0.52	41.72	56	29	59,498	5,729
2012-04-16	$54.26	$55.00	20.2%	5.8%	14.4%	16.9%	20.3%	7.1%	1.1%	6.6M	-234.1M	-668.5K	0.22	39.41	245	55	59,498	5,732
2012-04-17	$54.99	$55.00	19.6%	5.6%	14.0%	15.6%	19.9%	8.5%	1.3%	7.3M	-247.3M	-657.5K	0.04	68.06	417	15	59,538	5,787
2012-04-18	$54.93	$55.00	19.5%	5.6%	13.7%	15.3%	19.5%	8.2%	1.5%	7.9M	-245.4M	-657.9K	0.00	35.63	15	0	59,542	5,799
2012-04-19	$54.79	$55.00	19.6%	5.6%	13.7%	15.5%	19.5%	6.6%	1.1%	9.6M	-243.4M	-644.2K	0.00	45.82	330	0	59,542	5,799
2012-04-20	$54.90	$55.00	19.4%	5.6%	13.6%	15.0%	19.6%	8.6%	1.1%	13.0M	-246.0M	-630.1K	0.22	19.27	870	195	59,496	5,799
2012-04-23	$54.70	$55.00	21.5%	6.2%	13.7%	19.9%	21.5%	8.9%	-0.2%	5.0M	-224.5M	-644.7K	0.89	21.32	790	704	54,872	2,691
2012-04-24	$55.00	$55.00	20.9%	6.0%	13.6%	18.5%	20.9%	8.1%	0.3%	5.1M	-227.5M	-672.8K	0.36	44.09	56	20	55,361	3,238
2012-04-25	$56.09	$55.00	24.0%	6.9%	14.6%	25.5%	23.8%	3.6%	-1.8%	4.7M	-245.1M	-611.9K	0.38	37.04	1,115	429	55,361	3,258
2012-04-26	$56.26	$55.00	18.6%	5.3%	14.5%	13.3%	18.2%	5.9%	1.3%	4.9M	-238.0M	-694.7K	1.03	30.60	160	165	55,567	3,454
2012-04-27	$56.61	$55.00	18.6%	5.3%	14.5%	13.2%	18.6%	1.3%	1.5%	4.9M	-256.6M	-565.6K	2.28	38.08	86	196	55,591	3,548
2012-04-30	$56.61	$55.00	20.0%	5.7%	14.5%	16.5%	20.0%	7.5%	0.2%	4.9M	-258.7M	-542.7K	8.63	31.93	8	69	55,590	3,562