CCI Options History — May 2012

In May 2012, CCI traded between $52.86 and $56.52. ATM implied volatility averaged 22.0%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.8% (HV 20d: 14.2%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 7.75.

Notable Days

  • 2012-05-21: Highest Volume — 920 contracts
  • 2012-05-07: Largest IV spike — 14.6% change
  • 2012-05-21: Highest IV Rank — 27.7%
  • 2012-05-21: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.79$52.86$56.52$56.38$54.60
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV22.0%18.9%24.9%20.6%21.3%
Expected Move6.3%5.9%7.2%5.9%6.1%
HV 20d14.2%11.3%15.8%14.7%15.5%
HV 60d16.2%15.5%16.8%15.8%16.1%
IV Rank20.9%14.0%27.7%17.8%19.4%
IV Percentile36.6%7.5%57.5%23.4%31.0%
Term Structure-0.2%-2.6%0.8%0.3%0.6%
VWIV22.9%18.8%28.5%20.6%28.4%
Skew 25d5.3%-1.0%9.0%0.0%6.5%
Skew 10d9.1%-3.0%16.7%-1.7%10.4%
Call IV 25d19.6%13.1%22.2%20.1%19.0%
Put IV 25d24.9%20.2%28.3%20.2%25.5%
Bid-Ask Spread %32.0718.0053.7043.3726.19
Gamma HHI0.390.350.450.370.39
Net GEX4.8M3.2M7.1M5.0M3.6M
Net DEX-221.0M-255.8M-187.2M-255.3M-209.9M
Net VEX-614.8K-675.0K-539.3K-542.0K-596.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.750.0776.5034.000.61
Total Volume175.5452992017529
Total OI58,052.554,25660,11659,28455,422

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$56.38$55.0020.6%5.9%14.7%17.8%20.6%0.0%0.3%5.0M-255.3M-542.0K34.0043.37517055,5913,693
2012-05-02$56.41$55.0020.9%6.0%14.3%18.6%21.8%-1.0%-0.0%5.0M-255.8M-551.7K2.7934.134312055,5913,797
2012-05-03$56.52$55.0020.8%6.0%14.1%18.2%0.0%7.6%0.4%4.8M-244.5M-658.4K0.7636.87171355,5573,896
2012-05-04$55.80$55.0018.9%6.1%15.0%14.0%21.1%3.4%-0.2%5.4M-239.4M-634.9K0.9926.5910910855,5583,899
2012-05-07$56.05$55.0021.7%6.0%14.6%20.3%18.9%4.1%0.8%5.2M-238.7M-675.0K1.1828.77172055,6613,952
2012-05-08$55.75$55.0021.1%6.1%14.3%19.0%20.9%3.8%0.2%5.6M-237.7M-628.7K5.6919.95169155,6603,967
2012-05-09$55.37$55.0022.4%6.2%12.3%22.0%18.8%3.7%-0.5%5.7M-236.5M-598.1K3.7439.514717655,6504,025
2012-05-10$55.56$55.0021.1%6.1%12.0%18.9%0.0%4.3%0.3%6.2M-236.2M-624.5K12.2521.6244955,6824,165
2012-05-11$55.64$55.0021.4%6.1%11.3%19.7%0.0%3.9%-0.2%6.3M-244.9M-539.3K3.5640.4393255,6824,174
2012-05-14$54.38$55.0022.8%6.5%14.0%22.7%23.4%4.0%-1.4%6.7M-217.6M-617.6K2.4229.488119655,6914,174
2012-05-15$54.28$55.0023.0%6.6%13.1%23.3%23.0%8.9%-1.0%6.8M-211.2M-642.2K76.5039.05215355,7154,270
2012-05-16$54.27$55.0023.4%6.7%13.1%24.2%23.4%9.0%-1.1%7.1M-210.6M-658.0K0.7918.00856755,7144,308
2012-05-17$53.10$55.0024.7%7.1%15.1%27.2%28.4%6.2%-1.0%4.0M-191.9M-655.5K6.9553.702215355,7544,362
2012-05-18$52.86$55.0023.5%6.7%15.1%24.3%28.5%6.0%0.1%3.7M-187.2M-654.5K2.3525.705112055,7764,334
2012-05-21$53.45$55.0024.9%7.2%15.8%27.7%24.7%6.2%-2.6%3.2M-197.3M-632.3K0.1025.188388250,5463,710
2012-05-22$53.60$55.0022.2%6.4%15.7%21.5%22.3%5.2%-0.3%3.5M-205.6M-579.6K0.0731.254363151,3383,759
2012-05-23$53.81$55.0022.4%6.4%13.8%22.0%24.9%6.2%-0.2%3.5M-204.3M-605.6K9.3351.1432851,3743,781
2012-05-24$54.31$55.0021.8%6.3%14.2%20.6%21.8%7.2%0.2%3.5M-207.4M-628.0K1.6724.26122051,3753,809
2012-05-25$54.17$55.0021.3%6.1%13.9%19.4%21.3%5.9%-0.0%3.5M-207.9M-618.9K0.3830.62522051,3763,821
2012-05-29$54.85$55.0020.7%5.9%14.8%18.1%20.2%8.5%0.6%3.6M-212.1M-587.1K0.2128.0943951,4173,841
2012-05-30$54.23$55.0022.0%6.3%15.2%20.9%21.9%6.9%-0.1%3.5M-208.9M-596.1K4.2431.575422951,4423,846
2012-05-31$54.60$55.0021.3%6.1%15.5%19.4%28.4%6.5%0.6%3.6M-209.9M-596.9K0.6126.19181151,4463,976