CCI Options History — September 2012

In September 2012, CCI traded between $63.21 and $65.26. ATM implied volatility averaged 17.8%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 5.7% (HV 20d: 12.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.45.

Notable Days

2012-09-24: Highest Volume — 2,614 contracts
2012-09-10: Largest IV spike — 19.4% change
2012-09-10: Highest IV Rank — 21.5%
2012-09-25: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.19	$63.21	$65.26	$63.21	$64.10
Max Pain	$55.79	$55.00	$60.00	$60.00	$55.00
ATM IV	17.8%	16.3%	19.4%	18.0%	18.0%
Expected Move	5.1%	4.7%	5.4%	5.2%	5.2%
HV 20d	12.2%	8.4%	15.7%	8.4%	15.7%
HV 60d	18.0%	17.1%	18.9%	18.4%	17.2%
IV Rank	16.3%	11.2%	21.5%	16.9%	16.9%
IV Percentile	13.1%	2.8%	21.0%	12.7%	16.7%
Term Structure	2.8%	0.6%	3.8%	0.6%	3.6%
VWIV	19.0%	16.5%	23.0%	18.0%	18.1%
Skew 25d	6.3%	3.1%	8.3%	4.0%	7.0%
Skew 10d	11.5%	6.4%	24.6%	7.1%	11.9%
Call IV 25d	15.2%	12.9%	18.1%	18.1%	14.9%
Put IV 25d	21.5%	19.9%	22.7%	22.1%	22.0%
Bid-Ask Spread %	24.87	13.12	39.43	25.01	23.69
Gamma HHI	0.40	0.34	0.48	0.38	0.45
Net GEX	2.5M	1.5M	3.7M	2.3M	1.6M
Net DEX	-321.0M	-334.6M	-308.8M	-308.8M	-317.3M
Net VEX	-221.5K	-271.4K	-187.5K	-271.4K	-206.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.45	0.00	10.41	0.00	0.30
Total Volume	284.421	21	2,614	21	79
Total OI	60,573.632	59,060	61,778	59,907	61,778

Daily Data (19 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
2012-09-04	$63.21	$60.00	18.0%	5.2%	8.4%	16.9%	18.0%	4.0%	0.6%	2.3M	-308.8M	-271.4K	0.00	25.01	21	0	54,289	5,618
2012-09-05	$63.62	$60.00	17.7%	5.1%	8.4%	16.0%	0.0%	5.2%	0.8%	2.3M	-313.1M	-246.3K	0.42	20.94	309	131	54,296	5,618
2012-09-06	$64.92	$60.00	16.6%	4.7%	10.6%	12.2%	16.5%	8.3%	1.5%	2.4M	-328.3M	-218.7K	1.11	25.07	46	51	54,597	5,630
2012-09-07	$64.50	$55.00	16.3%	5.1%	11.1%	11.2%	20.1%	3.1%	3.4%	2.4M	-325.1M	-217.4K	0.03	24.79	157	5	54,596	5,619
2012-09-10	$63.75	$55.00	19.4%	5.1%	11.8%	21.5%	17.8%	6.2%	3.1%	2.4M	-318.6M	-234.4K	2.46	39.43	13	32	54,702	5,619
2012-09-11	$64.12	$55.00	17.4%	5.1%	11.9%	15.1%	17.8%	6.0%	3.2%	2.7M	-318.8M	-246.3K	0.10	35.40	93	9	54,697	5,621
2012-09-12	$63.74	$55.00	17.2%	5.3%	12.0%	14.3%	0.0%	6.8%	2.4%	2.5M	-317.0M	-236.8K	6.33	21.74	3	19	54,619	5,629
2012-09-13	$64.03	$55.00	18.2%	5.2%	11.9%	17.5%	21.6%	6.8%	2.6%	2.4M	-323.2M	-191.6K	1.76	34.68	46	81	54,621	5,648
2012-09-14	$63.49	$55.00	17.9%	5.1%	11.6%	16.5%	18.3%	6.2%	2.6%	2.4M	-316.1M	-217.7K	0.59	31.91	187	110	54,639	5,668
2012-09-17	$64.16	$55.00	18.4%	5.3%	12.1%	18.3%	18.3%	8.1%	2.2%	2.9M	-320.5M	-229.6K	0.20	20.40	205	40	54,784	5,753
2012-09-18	$64.19	$55.00	18.0%	5.2%	11.7%	16.9%	18.3%	6.0%	2.7%	3.0M	-321.9M	-235.3K	0.49	13.12	108	53	54,961	5,769
2012-09-19	$64.89	$55.00	17.5%	5.0%	12.1%	15.3%	21.0%	8.2%	3.1%	3.5M	-331.2M	-188.4K	0.52	25.04	107	56	55,017	5,776
2012-09-20	$65.04	$55.00	17.3%	5.0%	12.0%	14.6%	17.4%	7.3%	3.8%	3.7M	-333.9M	-187.5K	0.08	16.75	119	10	54,969	5,736
2012-09-21	$65.26	$55.00	17.2%	4.9%	11.7%	14.2%	17.1%	3.7%	3.3%	3.5M	-334.6M	-202.2K	0.04	30.81	149	6	54,969	5,706
2012-09-24	$63.97	$55.00	18.1%	5.2%	14.2%	17.3%	18.4%	6.0%	3.5%	2.3M	-317.3M	-225.5K	10.41	22.33	229	2,385	54,139	4,921
2012-09-25	$63.64	$55.00	18.7%	5.4%	14.4%	19.2%	18.8%	5.9%	3.1%	1.6M	-313.0M	-224.4K	2.06	18.86	47	97	54,337	7,258
2012-09-26	$64.04	$55.00	18.6%	5.3%	14.4%	19.0%	23.0%	6.7%	3.4%	1.6M	-316.0M	-226.7K	0.13	20.22	91	12	54,363	7,290
2012-09-27	$64.91	$55.00	18.2%	5.2%	15.0%	17.6%	22.2%	7.6%	3.6%	1.5M	-323.4M	-202.1K	0.55	22.34	192	106	54,346	7,301
2012-09-28	$64.10	$55.00	18.0%	5.2%	15.7%	16.9%	18.1%	7.0%	3.6%	1.6M	-317.3M	-206.8K	0.30	23.69	61	18	54,390	7,388