CCI Options History — June 2012

In June 2012, CCI traded between $53.08 and $58.80. ATM implied volatility averaged 20.0%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.9% (HV 20d: 19.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.86.

Notable Days

  • 2012-06-27: Highest Volume — 2,143 contracts
  • 2012-06-14: Largest IV spike — 26.8% change
  • 2012-06-01: Highest IV Rank — 25.7%
  • 2012-06-01: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.52$53.08$58.80$53.08$58.66
Max Pain$52.38$50.00$55.00$55.00$55.00
ATM IV20.0%15.8%24.1%24.1%15.8%
Expected Move5.8%4.5%6.9%6.9%4.5%
HV 20d19.1%16.0%21.2%18.1%17.9%
HV 60d16.3%15.2%17.4%17.2%17.4%
IV Rank16.3%6.8%25.7%25.7%6.8%
IV Percentile22.1%0.4%52.0%52.0%0.4%
Term Structure2.6%-0.8%4.7%-0.8%4.7%
VWIV21.6%17.8%28.6%24.1%19.5%
Skew 25d4.2%0.5%9.6%2.8%3.9%
Skew 10d11.0%-1.4%38.7%9.3%5.7%
Call IV 25d18.3%15.7%24.2%24.2%15.7%
Put IV 25d22.5%19.5%27.1%27.0%19.5%
Bid-Ask Spread %32.2118.62104.0325.0220.15
Gamma HHI0.400.360.460.400.38
Net GEX3.3M2.9M3.9M3.3M3.5M
Net DEX-237.3M-270.5M-196.0M-196.0M-270.5M
Net VEX-533.0K-612.4K-447.5K-612.4K-489.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.860.007.761.130.03
Total Volume559.905682,14330968
Total OI57,511.09555,44561,88455,44561,884

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$53.08$55.0024.1%6.9%18.1%25.7%24.1%2.8%-0.8%3.3M-196.0M-612.4K1.1325.0214516451,4593,986
2012-06-04$53.55$50.0023.1%6.5%18.2%23.4%25.8%9.6%1.8%3.6M-202.8M-565.8K7.3828.291611851,5283,971
2012-06-05$53.81$50.0022.1%6.4%18.2%21.1%28.6%8.9%2.6%3.6M-201.1M-601.8K5.0036.26168051,5284,031
2012-06-06$54.70$50.0020.0%5.9%19.3%16.4%22.5%5.6%3.7%3.9M-211.7M-574.7K0.2434.512195251,5444,080
2012-06-07$55.13$50.0019.9%5.9%19.4%16.1%20.8%3.9%3.5%3.8M-219.5M-574.5K2.4628.455012351,6094,122
2012-06-08$55.89$50.0020.1%6.1%20.0%16.5%21.0%5.3%2.8%3.7M-227.9M-555.8K0.8925.3620017851,5734,140
2012-06-11$56.00$50.0021.3%6.4%20.0%19.5%22.1%4.7%1.9%3.6M-231.7M-535.3K0.3230.022578351,7264,265
2012-06-12$56.62$50.0021.6%6.1%18.3%20.1%0.0%4.6%2.6%3.5M-241.2M-500.4K1.2125.12576951,8904,289
2012-06-13$56.87$50.0017.8%6.4%18.3%11.3%19.7%4.4%1.6%3.2M-243.8M-517.1K0.1923.721,72233251,9394,298
2012-06-14$57.50$50.0022.5%6.5%18.5%22.2%22.5%4.2%1.8%3.2M-253.2M-520.0K1.9532.167514653,6104,541
2012-06-15$57.75$50.0018.4%5.3%16.0%12.8%17.8%3.4%3.8%3.2M-260.0M-465.6K0.14104.032363453,5244,620
2012-06-18$58.80$50.0017.8%5.1%16.4%11.3%22.2%5.5%2.9%3.1M-255.6M-517.0K6.4822.402101,36052,4213,901
2012-06-19$57.76$55.0016.8%4.8%18.2%9.2%19.1%3.5%3.3%2.9M-254.1M-461.3K0.6518.6228818852,5735,096
2012-06-20$57.65$55.0017.8%5.1%18.3%11.3%18.0%4.0%2.9%3.0M-254.6M-447.5K0.5329.6623612652,7005,094
2012-06-21$56.28$55.0021.5%6.2%20.8%19.8%21.3%0.5%1.9%3.0M-235.7M-526.7K7.7624.503325652,6395,153
2012-06-22$56.65$55.0020.1%5.8%20.7%16.7%0.0%2.2%3.0%3.0M-234.4M-554.2K1.0020.1565665452,5745,243
2012-06-25$56.46$55.0021.5%6.2%20.7%19.9%25.5%0.7%2.5%3.0M-232.9M-542.7K0.6723.01493353,2295,893
2012-06-26$57.50$55.0021.8%6.3%21.2%20.6%19.8%3.0%1.5%3.0M-245.4M-522.9K0.0029.17924453,2675,914
2012-06-27$58.36$55.0017.8%5.1%21.0%11.4%17.9%4.3%3.1%3.3M-254.1M-549.7K0.0224.792,1103354,1255,914
2012-06-28$57.98$55.0017.4%5.0%21.2%10.4%19.5%2.9%3.4%3.4M-256.6M-559.0K1.0571.07778155,9025,938
2012-06-29$58.66$55.0015.8%4.5%17.9%6.8%0.0%3.9%4.7%3.5M-270.5M-489.4K0.0320.1566255,9425,942