CCI Options History — October 2012

In October 2012, CCI traded between $63.78 and $67.17. ATM implied volatility averaged 22.0%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.3% (HV 20d: 20.7%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.68.

Notable Days

  • 2012-10-11: Highest Volume — 1,259 contracts
  • 2012-10-11: Largest IV spike — 18.3% change
  • 2012-10-24: Highest IV Rank — 62.1%
  • 2012-10-24: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.66$63.78$67.17$63.78$66.75
Max Pain$63.10$55.00$65.00$55.00$65.00
ATM IV22.0%18.0%26.4%19.3%22.2%
Expected Move6.5%5.2%7.6%5.5%6.4%
HV 20d20.7%15.8%24.4%15.8%22.3%
HV 60d17.6%16.3%19.2%17.3%16.3%
IV Rank41.2%16.9%62.1%21.1%43.0%
IV Percentile57.1%16.7%90.5%24.2%67.1%
Term Structure-0.6%-4.2%3.7%2.5%0.0%
VWIV22.4%18.2%26.8%18.2%19.9%
Skew 25d5.1%3.5%9.0%5.2%3.5%
Skew 10d11.4%2.4%19.3%19.3%2.4%
Call IV 25d20.2%12.0%24.4%17.3%18.4%
Put IV 25d25.3%18.6%29.4%22.5%21.9%
Bid-Ask Spread %23.0013.9639.0328.4639.03
Gamma HHI0.390.290.480.480.29
Net GEX1.1M561.6K1.5M1.5M603.8K
Net DEX-327.7M-345.5M-315.1M-315.6M-328.2M
Net VEX-170.3K-202.6K-141.4K-197.8K-141.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.0316.375.260.09
Total Volume420.952271,259144258
Total OI61,615.66757,94663,29161,82458,886

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$63.78$55.0019.3%5.5%15.8%21.1%0.0%5.2%2.5%1.5M-315.6M-197.8K5.2628.462312154,4267,398
2012-10-02$64.59$55.0018.0%5.2%16.3%16.9%18.2%8.7%3.7%1.5M-322.1M-195.7K0.0327.70187554,4497,519
2012-10-03$66.40$55.0019.1%5.5%18.8%23.9%19.1%9.0%3.3%1.4M-339.0M-178.0K2.0725.2621845254,6027,523
2012-10-04$65.79$55.0019.6%5.6%17.9%31.0%19.6%5.7%3.2%1.2M-334.4M-167.8K1.0932.0419721554,6457,896
2012-10-05$65.80$65.0018.5%6.4%17.7%25.9%22.0%4.2%-0.8%1.3M-333.3M-183.8K0.6522.2717011154,7138,045
2012-10-08$65.42$65.0019.2%6.5%17.3%29.2%22.8%5.6%-0.9%1.4M-328.8M-200.7K3.8820.25166254,7898,127
2012-10-09$64.07$65.0018.6%6.5%18.8%26.4%22.7%4.1%-1.0%1.4M-315.5M-202.6K1.6421.84599754,7888,188
2012-10-10$64.73$65.0019.9%6.6%19.1%32.2%22.4%4.1%-1.0%1.4M-322.6M-186.6K0.2019.582835854,8098,189
2012-10-11$63.98$65.0023.5%6.7%19.5%48.8%23.4%4.4%-1.7%1.4M-316.9M-184.4K0.1519.261,09816155,0678,224
2012-10-12$64.65$65.0022.8%6.5%19.6%45.8%22.4%5.2%-0.7%1.5M-320.1M-193.4K1.0724.09151654,8078,260
2012-10-15$67.05$65.0025.4%7.3%23.1%57.5%22.4%5.3%-2.5%1.2M-343.0M-164.5K0.2020.1866913254,8128,276
2012-10-16$67.17$65.0024.3%7.0%23.1%52.6%22.6%4.8%-2.0%1.1M-345.5M-149.1K0.3327.492498254,7858,351
2012-10-17$66.70$65.0024.1%6.9%23.1%51.6%22.4%4.2%-1.8%1.2M-340.5M-153.1K1.5013.96406054,8088,411
2012-10-18$67.06$65.0024.3%7.0%23.1%52.3%23.6%4.5%-1.8%910.1K-344.4M-145.3K1.0816.91131454,6698,369
2012-10-19$65.72$65.0023.9%6.9%24.4%50.7%24.0%4.6%-1.7%1.3M-333.6M-145.0K0.5716.2759333654,6738,372
2012-10-22$65.43$65.0024.0%6.9%23.2%51.1%24.0%4.1%-2.0%872.4K-317.5M-157.7K3.6624.678230052,6695,277
2012-10-23$65.23$65.0026.3%7.5%23.2%61.8%26.3%5.0%-3.1%881.1K-315.1M-158.4K16.3719.575285152,6975,426
2012-10-24$65.96$65.0026.4%7.6%23.4%62.1%26.8%5.0%-4.2%702.2K-319.8M-161.9K15.3119.316193452,7226,242
2012-10-25$66.05$65.0021.8%6.2%22.9%40.9%20.3%5.4%0.2%668.2K-319.5M-164.6K0.6422.0927817952,7386,446
2012-10-26$66.46$65.0021.7%6.2%22.4%40.6%19.9%4.7%-0.1%561.6K-325.9M-145.0K0.5222.84613252,8036,033
2012-10-31$66.75$65.0022.2%6.4%22.3%43.0%0.0%3.5%0.0%603.8K-328.2M-141.4K0.0939.032362252,8356,051