CCI Options History — November 2012

In November 2012, CCI traded between $64.21 and $67.70. ATM implied volatility averaged 21.6%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.3% (HV 20d: 17.3%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.35.

Notable Days

  • 2012-11-29: Highest Volume — 3,094 contracts
  • 2012-11-05: Largest IV spike — 36.6% change
  • 2012-11-06: Highest IV Rank — 57.5%
  • 2012-11-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.61$64.21$67.70$67.32$67.52
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV21.6%15.7%25.4%22.9%15.7%
Expected Move6.0%4.5%6.8%6.6%4.5%
HV 20d17.3%13.6%22.1%22.1%16.1%
HV 60d17.2%16.3%18.1%16.3%18.1%
IV Rank40.1%15.6%57.5%45.9%15.6%
IV Percentile55.4%1.6%89.3%73.4%1.6%
Term Structure0.9%-0.5%3.3%-0.5%3.3%
VWIV20.6%15.5%27.3%21.9%20.8%
Skew 25d4.9%2.3%6.7%3.8%4.3%
Skew 10d11.3%5.8%16.0%12.2%12.4%
Call IV 25d18.3%15.4%21.5%18.9%16.0%
Put IV 25d23.1%18.5%26.4%22.7%20.3%
Bid-Ask Spread %29.0518.6640.4524.8726.33
Gamma HHI0.320.270.660.270.36
Net GEX268.5K-3.1M875.2K520.1K563.9K
Net DEX-331.1M-340.6M-305.9M-334.7M-339.2M
Net VEX-105.9K-140.4K-73.7K-121.6K-117.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.0419.570.980.13
Total Volume403.476293,09491290
Total OI58,964.33357,18461,55058,99661,550

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$67.32$65.0022.9%6.6%22.1%45.9%21.9%3.8%-0.5%520.1K-334.7M-121.6K0.9824.87464552,9346,062
2012-11-02$67.70$65.0018.3%5.2%20.0%25.1%20.2%3.7%0.9%576.0K-338.8M-114.1K0.0418.662311052,9606,072
2012-11-05$66.84$65.0025.0%6.4%20.3%55.6%22.5%5.2%0.6%410.3K-331.6M-113.7K1.4329.83213052,9836,082
2012-11-06$67.23$65.0025.4%6.5%20.4%57.5%0.0%6.7%0.4%545.2K-334.7M-112.4K0.7725.141108552,9966,087
2012-11-07$67.29$65.0021.2%6.8%20.2%38.2%20.7%6.6%-0.4%542.1K-336.1M-107.5K0.2540.453909953,0736,147
2012-11-08$66.80$65.0024.8%6.5%18.7%54.9%20.2%4.7%0.6%411.0K-332.4M-117.3K0.1529.592343553,3616,210
2012-11-09$66.83$65.0024.8%6.5%18.5%54.8%23.0%5.7%0.9%461.5K-332.8M-117.5K1.6436.00111853,5556,235
2012-11-12$66.50$65.0024.9%6.6%18.0%55.3%27.3%5.3%0.6%122.0K-330.1M-113.5K5.4123.35179253,5526,242
2012-11-13$66.66$65.0024.1%6.5%17.7%51.3%22.3%5.5%0.1%109.7K-332.6M-104.1K0.3029.541785453,5506,331
2012-11-14$65.44$65.0024.4%6.4%13.6%52.8%20.9%5.1%0.1%-430.4K-320.9M-114.0K2.9228.155114953,6486,332
2012-11-15$64.21$65.0022.7%6.5%14.9%45.0%23.3%4.9%0.3%109.2K-305.9M-140.4K1.6030.62508053,5756,009
2012-11-16$65.18$65.0021.6%6.2%16.0%39.9%21.4%4.7%1.1%-3.1M-319.4M-121.6K0.2822.661654753,5926,038
2012-11-19$65.87$65.0020.2%5.8%16.4%33.9%20.2%4.7%1.3%827.5K-327.3M-98.0K2.4534.974210352,5654,619
2012-11-20$65.97$65.0019.3%5.5%14.7%29.5%19.3%5.0%1.6%875.2K-328.1M-93.3K19.5723.403058752,5864,699
2012-11-21$66.54$65.0019.2%5.5%14.9%29.4%19.2%4.5%1.2%596.5K-331.0M-97.1K0.3735.05592252,6065,242
2012-11-23$67.55$65.0017.2%4.9%15.7%20.1%17.4%2.3%1.4%405.4K-340.6M-73.7K0.7626.57856552,6365,251
2012-11-26$66.66$65.0020.2%5.8%16.1%33.7%15.5%5.3%1.0%561.4K-332.9M-88.4K0.2530.541985052,6885,264
2012-11-27$66.49$65.0019.4%5.6%16.1%30.2%19.4%4.4%1.6%529.3K-331.5M-84.8K8.2937.3275852,6865,312
2012-11-28$66.81$65.0021.3%6.1%16.1%39.0%21.3%5.7%1.0%605.2K-334.0M-81.5K1.0327.9275777852,6875,348
2012-11-29$67.44$65.0020.2%5.8%16.3%35.1%16.0%4.4%2.5%396.5K-338.2M-92.9K0.7729.031,7511,34352,8546,032
2012-11-30$67.52$65.0015.7%4.5%16.1%15.6%20.8%4.3%3.3%563.9K-339.2M-117.5K0.1326.332563454,2767,274