CCI Options History — August 2012

In August 2012, CCI traded between $61.64 and $63.46. ATM implied volatility averaged 19.1%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 0.3% (HV 20d: 18.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.62.

Notable Days

  • 2012-08-13: Highest Volume — 2,247 contracts
  • 2012-08-06: Largest IV spike — 38.0% change
  • 2012-08-28: Highest IV Rank — 26.5%
  • 2012-08-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.35$61.64$63.46$61.84$63.46
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV19.1%14.8%22.8%22.8%16.7%
Expected Move5.6%4.3%6.5%6.5%4.8%
HV 20d18.8%8.3%25.0%25.0%8.3%
HV 60d20.0%18.5%21.2%21.2%18.5%
IV Rank18.2%5.2%26.5%22.7%12.7%
IV Percentile21.2%0.4%51.2%51.2%3.6%
Term Structure0.9%-1.1%2.1%-1.1%1.2%
VWIV18.9%10.5%22.7%22.7%18.0%
Skew 25d3.9%1.9%5.1%3.4%3.8%
Skew 10d10.2%0.9%18.0%0.9%18.0%
Call IV 25d17.2%15.2%19.2%19.2%16.1%
Put IV 25d21.1%19.8%22.7%22.7%19.9%
Bid-Ask Spread %26.0018.0231.6427.5423.98
Gamma HHI0.370.330.420.350.38
Net GEX2.5M2.2M3.0M2.6M2.3M
Net DEX-299.0M-314.7M-289.6M-293.9M-311.5M
Net VEX-326.3K-418.5K-255.0K-365.3K-255.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.049.810.089.81
Total Volume267.43562,24799389
Total OI60,386.95758,41862,60460,98459,566

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$61.84$60.0022.8%6.5%25.0%22.7%22.7%3.4%-1.1%2.6M-293.9M-365.3K0.0827.5492754,4306,554
2012-08-02$62.00$60.0020.9%6.0%24.5%18.6%20.9%1.9%0.4%2.8M-290.8M-418.5K0.8027.701068554,4846,549
2012-08-03$62.52$60.0015.1%4.3%24.5%5.2%10.5%4.6%1.5%2.5M-303.7M-322.4K0.2226.1153611754,5446,592
2012-08-06$62.33$60.0020.8%5.9%24.5%18.3%21.0%4.4%2.1%2.8M-296.6M-376.7K0.4125.7717754,4096,650
2012-08-07$62.04$60.0021.1%5.9%24.4%18.9%19.1%4.2%0.6%2.8M-293.8M-364.6K1.8322.328916354,4146,653
2012-08-08$61.91$60.0019.8%5.9%24.3%16.0%20.7%3.8%1.2%3.0M-292.5M-374.7K5.0026.321554,4946,786
2012-08-09$61.88$60.0021.3%5.8%24.2%19.4%18.3%4.6%0.9%2.9M-293.1M-361.7K0.6022.745354,4946,789
2012-08-10$62.42$60.0017.6%5.7%23.8%15.6%19.7%3.8%1.2%2.7M-298.3M-359.9K0.0822.1049454,4946,788
2012-08-13$62.50$60.0014.8%6.0%23.0%6.4%19.4%4.0%0.5%2.6M-300.7M-353.2K0.9824.871,1361,11154,5196,786
2012-08-14$62.87$60.0016.8%5.0%22.9%13.0%17.5%4.0%0.8%2.4M-306.7M-321.0K0.7627.2514010655,0777,322
2012-08-15$63.30$60.0015.6%4.9%20.7%9.0%17.1%5.1%1.0%2.2M-314.7M-287.5K3.6028.40155455,1867,418
2012-08-16$62.61$60.0017.5%5.0%21.4%15.4%19.0%3.9%0.9%2.3M-307.8M-285.4K2.6124.128522254,9977,296
2012-08-17$62.49$60.0020.2%5.8%21.4%24.1%19.0%3.6%1.8%2.3M-307.4M-303.2K0.7526.60443355,0197,117
2012-08-20$62.10$60.0020.2%5.8%21.4%24.2%21.2%4.9%1.5%2.3M-295.1M-306.6K0.0022.21011253,6344,784
2012-08-21$61.93$60.0019.8%5.7%20.7%22.9%20.0%2.9%0.8%2.4M-292.1M-313.0K1.5630.78528153,6344,869
2012-08-22$61.92$60.0020.2%5.8%20.6%23.9%17.7%4.7%0.9%2.3M-294.1M-299.3K1.8624.19519553,6664,944
2012-08-23$61.64$60.0020.5%5.9%11.6%25.1%17.4%4.1%0.5%2.3M-289.6M-324.4K2.3130.69368353,6805,019
2012-08-24$61.89$60.0020.4%5.9%10.1%24.8%18.6%4.3%0.4%2.4M-290.2M-340.5K0.2227.32551253,7165,082
2012-08-27$62.05$60.0020.8%6.0%8.9%26.1%20.8%3.1%0.2%2.4M-291.2M-335.9K0.1130.821421553,7465,090
2012-08-28$62.44$60.0020.9%6.0%8.3%26.5%16.6%3.4%1.0%2.3M-298.8M-297.0K1.6326.5012119753,8505,091
2012-08-29$62.82$60.0017.7%5.1%8.5%16.0%21.9%2.6%0.5%2.2M-305.8M-267.6K0.0431.642451053,9625,266
2012-08-30$63.15$60.0017.1%4.9%8.7%13.9%16.9%5.0%1.6%2.3M-308.8M-271.1K0.4118.021586554,1645,276
2012-08-31$63.46$60.0016.7%4.8%8.3%12.7%18.0%3.8%1.2%2.3M-311.5M-255.0K9.8123.983635354,2575,309