CCI Options History — February 2013

In February 2013, CCI traded between $66.66 and $71.49. ATM implied volatility averaged 21.3%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.5% (HV 20d: 18.8%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.66.

Notable Days

2013-02-14: Highest Volume — 8,552 contracts
2013-02-14: Largest IV spike — 19.5% change
2013-02-15: Highest IV Rank — 91.7%
2013-02-15: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.31	$66.66	$71.49	$71.49	$69.80
Max Pain	$69.21	$65.00	$75.00	$75.00	$65.00
ATM IV	21.3%	17.8%	25.3%	19.9%	20.3%
Expected Move	6.1%	5.1%	7.2%	5.5%	5.8%
HV 20d	18.8%	14.1%	23.2%	14.1%	22.0%
HV 60d	18.9%	17.8%	19.8%	17.8%	19.8%
IV Rank	62.2%	36.8%	91.7%	52.0%	54.9%
IV Percentile	61.6%	20.2%	98.4%	45.2%	56.0%
Term Structure	-1.1%	-3.6%	1.0%	-0.1%	-0.7%
VWIV	21.6%	17.4%	25.2%	17.4%	21.7%
Skew 25d	3.6%	0.4%	6.5%	5.3%	0.9%
Skew 10d	7.3%	-0.8%	15.6%	12.9%	1.4%
Call IV 25d	19.8%	15.5%	24.2%	16.2%	21.4%
Put IV 25d	23.4%	21.0%	27.3%	21.5%	22.3%
Bid-Ask Spread %	14.00	8.35	21.62	12.76	21.02
Gamma HHI	0.46	0.18	0.73	0.73	0.65
Net GEX	1.5M	-259.1K	3.0M	2.8M	3.0M
Net DEX	-15.7M	-44.3M	5.4M	-7.5M	-38.1M
Net VEX	-172.8K	-257.7K	-90.8K	-117.4K	-247.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.05	3.32	0.61	0.05
Total Volume	1,271.368	72	8,552	184	913
Total OI	21,162.158	18,495	30,045	18,495	22,482

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
2013-02-01	$71.49	$75.00	19.9%	5.5%	14.1%	52.0%	17.4%	5.3%	-0.1%	2.8M	-7.5M	-117.4K	0.61	12.76	114	70	13,990	4,505
2013-02-04	$70.19	$75.00	20.9%	5.6%	15.3%	59.4%	19.5%	5.6%	0.1%	659.7K	-1.2M	-100.2K	0.76	12.92	83	63	14,090	4,498
2013-02-05	$71.06	$75.00	19.1%	5.4%	15.8%	46.0%	18.4%	4.5%	0.3%	1.4M	-3.8M	-102.0K	0.11	14.04	404	45	14,111	4,535
2013-02-06	$70.49	$75.00	18.7%	5.4%	16.0%	43.1%	18.8%	4.6%	0.0%	270.1K	-1.8M	-102.0K	3.32	12.17	22	73	14,456	4,559
2013-02-07	$70.32	$75.00	19.0%	5.5%	16.0%	45.6%	22.4%	4.9%	0.2%	-230.3K	-933.1K	-100.6K	0.19	10.87	226	42	14,468	4,628
2013-02-08	$70.79	$75.00	18.5%	5.3%	15.9%	42.0%	20.0%	4.8%	0.6%	-75.7K	-2.9M	-100.5K	1.44	15.37	34	49	14,668	4,655
2013-02-11	$70.03	$75.00	18.6%	5.3%	16.2%	42.6%	18.6%	4.8%	0.4%	-259.1K	-742.4K	-98.1K	2.43	13.58	21	51	14,681	4,689
2013-02-12	$68.31	$70.00	17.8%	5.1%	18.0%	36.8%	18.5%	6.5%	1.0%	-200.6K	4.5M	-92.9K	0.12	8.39	374	45	14,695	4,688
2013-02-13	$68.04	$70.00	20.2%	5.8%	17.8%	54.1%	22.1%	6.0%	-1.0%	-97.6K	5.4M	-90.8K	0.13	8.35	2,384	309	14,562	4,678
2013-02-14	$66.66	$65.00	24.1%	6.9%	17.9%	83.0%	24.4%	5.9%	-1.9%	579.5K	1.6M	-100.9K	0.68	9.75	5,091	3,461	16,559	4,837
2013-02-15	$67.90	$65.00	25.3%	7.2%	19.7%	91.7%	25.2%	5.7%	-3.6%	1.4M	-20.8M	-248.6K	0.15	21.62	4,891	738	22,095	7,950
2013-02-19	$67.04	$65.00	25.1%	7.2%	19.7%	90.2%	24.3%	2.5%	-3.0%	2.3M	-21.9M	-257.1K	1.27	15.18	235	299	14,601	7,769
2013-02-20	$67.13	$65.00	23.2%	6.7%	19.4%	76.6%	22.9%	1.9%	-1.0%	2.4M	-21.7M	-256.0K	0.12	16.71	270	33	14,654	7,843
2013-02-21	$68.00	$65.00	22.6%	6.5%	20.2%	71.6%	23.4%	1.4%	-3.1%	2.6M	-28.1M	-257.7K	0.07	18.92	261	18	14,690	7,856
2013-02-22	$69.97	$65.00	22.1%	6.3%	23.2%	68.1%	23.9%	0.4%	-2.0%	2.8M	-44.3M	-254.3K	0.12	10.07	2,051	243	14,717	7,856
2013-02-25	$69.57	$65.00	24.1%	6.9%	23.0%	82.8%	24.1%	0.7%	-2.7%	2.7M	-36.7M	-251.9K	0.41	15.47	581	241	14,120	7,991
2013-02-26	$69.75	$65.00	23.3%	6.7%	23.1%	77.5%	23.4%	0.7%	-2.7%	2.7M	-37.4M	-252.6K	0.39	14.10	149	58	14,256	8,182
2013-02-27	$70.38	$65.00	21.6%	6.2%	23.2%	64.5%	21.6%	2.1%	-1.3%	2.9M	-41.9M	-252.0K	0.09	14.69	196	18	14,233	8,234
2013-02-28	$69.80	$65.00	20.3%	5.8%	22.0%	54.9%	21.7%	0.9%	-0.7%	3.0M	-38.1M	-247.1K	0.05	21.02	867	46	14,234	8,248