CCI Options History — January 2013

In January 2013, CCI traded between $70.52 and $75.13. ATM implied volatility averaged 17.9%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 2.5% (HV 20d: 20.4%). Max pain ranged from $40.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2013-01-07: Highest Volume — 9,927 contracts
  • 2013-01-30: Largest IV spike — 29.2% change
  • 2013-01-31: Highest IV Rank — 53.4%
  • 2013-01-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.32$70.52$75.13$75.10$70.52
Max Pain$71.67$40.00$75.00$40.00$75.00
ATM IV17.9%15.5%20.1%16.2%20.1%
Expected Move5.3%4.4%5.8%4.6%5.8%
HV 20d20.4%14.4%22.7%20.7%14.4%
HV 60d17.9%16.7%19.6%19.1%17.8%
IV Rank36.7%19.3%53.4%24.4%53.4%
IV Percentile20.7%2.8%48.4%4.4%48.4%
Term Structure0.2%-0.7%3.4%3.4%-0.7%
VWIV19.7%15.9%22.6%18.1%19.5%
Skew 25d5.7%-0.6%9.8%9.2%9.8%
Skew 10d10.8%-2.6%17.2%14.9%15.8%
Call IV 25d16.6%12.1%19.3%12.1%14.1%
Put IV 25d22.3%18.0%24.6%21.3%23.8%
Bid-Ask Spread %23.4212.2234.7812.2219.62
Gamma HHI0.750.230.930.310.57
Net GEX4.2M293.0K7.2M324.2K1.2M
Net DEX-257.1M-417.9M-2.8M-391.6M-2.8M
Net VEX-136.2K-164.9K-67.8K-67.8K-106.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.015.360.351.60
Total Volume867919,927840268
Total OI49,375.76216,56973,10361,06918,393

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$75.10$40.0016.2%4.6%20.7%24.4%18.1%9.2%3.4%324.2K-391.6M-67.8K0.3512.2262321753,3347,735
2013-01-03$73.60$40.0017.0%4.9%22.4%29.9%20.3%6.6%2.7%415.5K-382.7M-76.7K3.7813.908130653,8127,868
2013-01-04$73.54$75.0016.0%5.6%22.1%22.9%21.9%3.9%-0.1%349.3K-381.8M-77.0K1.8121.8811520853,8378,156
2013-01-07$72.76$75.0017.1%5.6%22.7%31.0%19.5%5.3%-0.0%293.0K-376.2M-78.9K0.0124.279,8468153,8818,354
2013-01-08$72.67$75.0017.2%5.6%22.2%31.4%20.4%5.4%-0.2%4.3M-398.4M-163.4K0.4722.951376463,5598,430
2013-01-09$72.59$75.0017.5%5.6%21.8%33.4%22.5%4.8%-0.4%4.3M-397.3M-158.2K0.5725.24583363,5778,448
2013-01-10$73.18$75.0019.0%5.5%21.7%44.5%19.2%7.4%-0.0%4.6M-405.0M-162.6K0.4633.651115163,6178,458
2013-01-11$72.78$75.0019.1%5.5%20.0%44.8%22.6%5.9%-0.1%4.9M-397.0M-157.1K5.3628.513619363,6518,463
2013-01-14$72.94$75.0019.4%5.6%20.0%47.3%20.9%6.6%-0.5%4.6M-401.6M-155.8K0.3728.971314963,6838,497
2013-01-15$73.21$75.0019.3%5.5%19.8%46.4%22.2%6.7%-0.4%4.9M-404.7M-154.7K1.4623.19598663,7468,523
2013-01-16$74.01$75.0019.1%5.5%20.1%45.0%21.4%7.9%0.0%5.3M-416.1M-157.3K2.9833.5221263163,7698,587
2013-01-17$74.00$75.0019.2%5.5%20.1%46.0%21.0%4.2%-0.2%5.2M-414.6M-164.8K1.1434.789110463,8629,129
2013-01-18$74.29$75.0019.1%5.5%19.7%44.7%19.4%8.3%-0.6%5.5M-417.9M-164.9K0.2227.6248210763,8999,204
2013-01-22$74.76$75.0018.8%5.4%19.4%42.9%19.0%4.6%0.1%6.2M-44.3M-161.0K0.5026.421979812,9593,610
2013-01-23$75.13$75.0018.4%5.3%19.3%39.7%19.6%3.4%-0.2%6.3M-48.0M-159.9K0.7423.2627019912,9663,688
2013-01-24$74.32$75.0016.5%4.7%19.9%26.3%16.9%6.3%0.4%7.2M-38.7M-156.6K1.2719.8140251113,1393,859
2013-01-25$73.45$75.0016.1%4.6%20.4%23.9%16.5%5.3%0.6%6.6M-28.9M-148.6K1.0817.2722123813,3753,874
2013-01-28$73.38$75.0015.8%4.5%20.4%21.8%15.9%3.7%0.4%7.1M-26.4M-142.8K0.0517.305923213,4964,034
2013-01-29$72.56$75.0015.5%4.4%20.7%19.3%17.6%4.1%0.9%5.4M-17.0M-132.5K0.2317.032004513,5944,023
2013-01-30$70.94$75.0020.0%5.7%21.0%51.6%18.8%-0.6%-0.6%2.5M-7.5M-112.9K1.9420.4828054213,7664,036
2013-01-31$70.52$75.0020.1%5.8%14.4%53.4%19.5%9.8%-0.7%1.2M-2.8M-106.1K1.6019.6210316513,9414,452