CCI Options History — July 2012

In July 2012, CCI traded between $57.76 and $62.53. ATM implied volatility averaged 20.2%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 0.6% (HV 20d: 20.8%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.11.

Notable Days

  • 2012-07-11: Highest Volume — 1,386 contracts
  • 2012-07-12: Largest IV spike — 27.6% change
  • 2012-07-25: Highest IV Rank — 25.8%
  • 2012-07-25: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.82$57.76$62.53$60.01$61.88
Max Pain$58.57$55.00$60.00$55.00$60.00
ATM IV20.2%16.2%24.1%16.9%22.4%
Expected Move6.0%4.7%6.9%4.8%6.4%
HV 20d20.8%18.8%25.7%18.9%25.0%
HV 60d18.4%17.1%21.3%17.9%21.2%
IV Rank17.0%7.8%25.8%9.4%21.9%
IV Percentile28.1%1.2%57.1%2.0%47.2%
Term Structure0.5%-2.1%3.8%3.7%-0.4%
VWIV23.1%15.4%30.0%17.3%20.7%
Skew 25d6.6%-0.6%10.5%7.0%3.5%
Skew 10d11.5%-1.1%19.8%11.4%0.7%
Call IV 25d17.7%11.7%23.2%14.8%18.9%
Put IV 25d24.3%15.5%29.5%21.8%22.4%
Bid-Ask Spread %43.3616.58104.6225.0728.17
Gamma HHI0.350.320.390.380.33
Net GEX3.3M2.6M3.9M3.6M2.9M
Net DEX-276.4M-295.6M-242.0M-284.3M-293.8M
Net VEX-461.1K-512.7K-385.7K-456.2K-389.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.110.0926.730.090.62
Total Volume480.381441,386819164
Total OI62,654.8159,91165,74961,95361,297

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$60.01$55.0016.9%4.8%18.9%9.4%17.3%7.0%3.7%3.6M-284.3M-456.2K0.0925.077487156,0115,942
2012-07-03$60.33$55.0016.9%4.9%18.9%9.4%15.4%1.1%3.8%3.6M-289.2M-465.0K2.9316.58288256,4525,963
2012-07-05$59.60$55.0016.2%4.7%19.5%7.8%16.2%-0.6%3.6%3.6M-291.1M-396.3K2.60104.62153956,4516,044
2012-07-06$59.42$55.0016.3%6.0%19.6%8.0%25.2%3.8%0.8%3.8M-278.9M-477.7K3.4033.23103456,4526,057
2012-07-09$59.84$55.0017.2%6.1%19.3%10.1%21.3%9.4%0.6%3.8M-283.7M-458.2K0.3133.52611956,4486,089
2012-07-10$59.36$55.0018.0%6.3%19.7%11.9%21.3%4.5%0.2%3.9M-278.6M-471.2K3.2751.2320065556,4466,079
2012-07-11$59.17$60.0016.8%6.2%19.6%9.2%26.9%5.5%0.1%3.6M-271.8M-490.5K7.1130.051711,21556,3446,687
2012-07-12$59.67$60.0021.5%6.2%19.7%19.8%30.0%10.5%0.4%3.5M-278.4M-462.5K9.0080.56109056,4287,727
2012-07-13$60.66$60.0021.4%6.1%20.1%19.6%23.0%6.5%0.7%3.4M-290.2M-448.5K0.6864.03714856,4387,797
2012-07-16$59.77$60.0022.6%6.5%21.0%22.3%25.0%5.4%-0.4%3.6M-279.1M-485.9K26.7331.44401,06956,4407,818
2012-07-17$60.26$60.0021.9%6.3%20.3%20.7%29.4%7.2%0.1%3.5M-286.7M-447.6K0.2771.861654556,4148,795
2012-07-18$58.82$60.0022.9%6.6%21.2%22.9%22.7%10.2%-1.0%3.3M-266.9M-473.5K1.8977.0132761956,4318,792
2012-07-19$59.10$60.0023.2%6.6%21.2%23.6%23.5%8.9%-1.0%3.3M-265.2M-495.6K0.2744.121704656,5229,119
2012-07-20$59.00$60.0021.6%6.2%19.1%20.0%21.6%10.0%0.4%3.1M-265.7M-492.5K0.7028.2538627256,6019,148
2012-07-23$58.68$60.0023.6%6.8%19.2%24.7%29.4%9.5%-1.1%2.9M-252.7M-484.8K1.8320.0011020153,9335,978
2012-07-24$57.92$60.0023.6%6.8%19.8%24.6%25.8%8.2%-0.7%2.8M-244.4M-511.7K1.6125.197011354,0116,102
2012-07-25$57.76$60.0024.1%6.9%18.8%25.8%27.2%5.9%-2.1%2.9M-242.0M-512.7K1.3144.6816721954,0226,210
2012-07-26$60.69$60.0020.4%5.8%25.3%17.3%20.4%9.6%0.8%3.0M-274.3M-462.5K0.1837.831,06719054,1546,276
2012-07-27$61.69$60.0020.0%5.7%25.6%16.4%21.7%9.2%1.3%3.0M-290.6M-414.5K0.2540.7372218254,6876,406
2012-07-30$62.53$60.0017.7%5.1%25.7%11.1%20.5%3.3%1.2%2.6M-295.6M-385.7K0.2022.441482954,2446,496
2012-07-31$61.88$60.0022.4%6.4%25.0%21.9%20.7%3.5%-0.4%2.9M-293.8M-389.2K0.6228.171016354,8346,463