CCI Options History — December 2012

In December 2012, CCI traded between $66.75 and $72.16. ATM implied volatility averaged 19.3%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.4% (HV 20d: 15.9%). Max pain ranged from $40.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 6.02.

Notable Days

2012-12-14: Highest Volume — 2,414 contracts
2012-12-13: Largest IV spike — 27.2% change
2012-12-31: Highest IV Rank — 71.9%
2012-12-31: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.88	$66.75	$72.16	$67.47	$72.16
Max Pain	$45.00	$40.00	$65.00	$65.00	$40.00
ATM IV	19.3%	13.5%	22.9%	20.5%	22.9%
Expected Move	5.8%	5.3%	6.6%	5.9%	6.6%
HV 20d	15.9%	14.4%	19.3%	15.9%	16.2%
HV 60d	18.1%	17.5%	18.6%	18.1%	18.2%
IV Rank	43.6%	3.7%	71.9%	41.1%	71.9%
IV Percentile	41.3%	0.4%	84.9%	47.6%	84.9%
Term Structure	1.8%	0.7%	3.2%	2.0%	0.7%
VWIV	20.9%	10.2%	29.5%	21.4%	29.5%
Skew 25d	5.5%	2.7%	11.1%	3.1%	5.7%
Skew 10d	14.0%	9.5%	29.2%	12.0%	15.4%
Call IV 25d	17.5%	12.2%	19.7%	17.0%	19.3%
Put IV 25d	23.1%	19.5%	26.6%	20.1%	25.0%
Bid-Ask Spread %	21.68	12.61	34.81	31.15	16.03
Gamma HHI	0.54	0.31	0.89	0.37	0.31
Net GEX	1.5M	170.0K	6.5M	581.1K	216.7K
Net DEX	-365.8M	-396.7M	-333.0M	-339.4M	-370.6M
Net VEX	-91.8K	-112.9K	-78.3K	-111.3K	-82.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.02	0.07	36.70	4.27	7.10
Total Volume	492	41	2,414	353	551
Total OI	62,981	60,510	66,164	61,621	60,708

Daily Data (20 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
2012-12-03	$67.47	$65.00	20.5%	5.9%	15.9%	41.1%	21.4%	3.1%	2.0%	581.1K	-339.4M	-111.3K	4.27	31.15	67	286	54,352	7,269
2012-12-04	$67.19	$65.00	20.3%	5.8%	15.3%	40.1%	14.1%	2.7%	2.2%	457.2K	-337.4M	-108.7K	18.70	30.10	10	187	54,396	7,412
2012-12-05	$66.75	$65.00	20.1%	5.8%	15.4%	39.2%	17.8%	3.0%	2.8%	373.6K	-333.0M	-112.9K	2.70	33.83	30	81	54,398	7,471
2012-12-06	$67.24	$65.00	19.9%	5.7%	15.6%	38.2%	10.2%	2.9%	3.2%	281.2K	-338.4M	-101.0K	35.10	34.81	10	351	54,382	7,500
2012-12-07	$68.45	$40.00	14.8%	5.3%	16.6%	10.8%	22.4%	7.5%	2.2%	730.4K	-349.6M	-95.1K	0.09	32.41	991	87	54,376	7,529
2012-12-10	$67.88	$40.00	13.5%	5.5%	16.9%	3.7%	22.7%	4.9%	1.3%	1.0M	-346.0M	-98.7K	0.07	20.31	166	11	55,297	7,590
2012-12-11	$68.59	$40.00	13.8%	5.4%	17.1%	5.5%	22.9%	7.5%	1.6%	1.3M	-352.9M	-90.2K	0.71	31.54	24	17	55,234	7,598
2012-12-12	$70.46	$40.00	15.4%	5.7%	19.3%	18.8%	21.6%	11.1%	1.0%	2.1M	-372.2M	-82.1K	0.24	29.22	1,725	417	55,236	7,600
2012-12-13	$70.48	$40.00	19.6%	5.6%	17.7%	48.8%	19.0%	5.9%	1.4%	3.3M	-375.5M	-96.0K	0.73	15.69	219	159	56,389	7,878
2012-12-14	$71.16	$40.00	19.7%	5.6%	15.6%	48.9%	19.9%	4.9%	1.8%	3.1M	-385.1M	-87.7K	0.47	16.75	1,641	773	56,446	7,978
2012-12-17	$71.24	$40.00	20.2%	5.8%	15.2%	53.0%	21.6%	5.5%	1.4%	3.6M	-390.7M	-94.7K	2.16	15.30	118	255	57,550	8,385
2012-12-18	$71.26	$40.00	20.1%	5.8%	15.1%	52.0%	17.1%	5.1%	1.6%	2.3M	-395.1M	-86.3K	2.54	14.35	70	178	57,554	8,512
2012-12-19	$70.64	$40.00	19.6%	5.6%	15.7%	48.5%	19.6%	5.6%	2.2%	6.5M	-386.7M	-91.6K	2.00	19.07	36	72	57,589	8,575
2012-12-20	$71.53	$40.00	20.4%	5.8%	16.0%	54.1%	26.8%	5.3%	1.7%	1.2M	-396.7M	-82.3K	36.70	16.64	10	367	57,434	8,561
2012-12-21	$71.26	$40.00	20.3%	5.8%	15.6%	53.9%	22.3%	5.3%	1.8%	1.6M	-394.8M	-82.7K	0.57	16.66	298	170	57,433	8,677
2012-12-24	$71.24	$40.00	20.8%	5.9%	14.4%	56.8%	21.5%	5.3%	1.8%	246.6K	-366.0M	-78.3K	2.82	12.61	17	48	53,243	7,267
2012-12-26	$70.88	$40.00	20.9%	6.0%	14.6%	57.8%	22.3%	6.4%	1.9%	177.0K	-361.8M	-85.2K	1.51	15.79	70	106	53,247	7,298
2012-12-27	$71.11	$40.00	21.8%	6.2%	14.6%	63.9%	23.6%	6.3%	1.4%	208.4K	-364.3M	-81.7K	0.31	15.37	75	23	53,268	7,330
2012-12-28	$70.65	$40.00	21.8%	6.2%	14.8%	64.2%	21.6%	6.9%	1.1%	170.0K	-360.1M	-86.5K	1.70	16.08	46	78	53,311	7,347
2012-12-31	$72.16	$40.00	22.9%	6.6%	16.2%	71.9%	29.5%	5.7%	0.7%	216.7K	-370.6M	-82.8K	7.10	16.03	68	483	53,301	7,407