CCI Options History — March 2013

In March 2013, CCI traded between $69.64 and $72.13. ATM implied volatility averaged 20.1%, placing in the 51.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.6% (HV 20d: 17.5%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2013-03-25: Highest Volume — 3,076 contracts
2013-03-14: Largest IV drop — 11.6% change
2013-03-05: Highest IV Rank — 77.0%
2013-03-05: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.77	$69.64	$72.13	$70.14	$69.64
Max Pain	$69.75	$65.00	$70.00	$65.00	$70.00
ATM IV	20.1%	18.1%	23.3%	19.8%	18.3%
Expected Move	5.6%	5.2%	6.4%	5.7%	5.2%
HV 20d	17.5%	12.2%	22.0%	22.0%	13.0%
HV 60d	19.3%	18.8%	19.9%	19.8%	18.8%
IV Rank	51.6%	35.3%	77.0%	51.1%	37.2%
IV Percentile	48.2%	22.6%	87.3%	44.4%	24.6%
Term Structure	1.2%	-0.4%	2.6%	-0.2%	2.2%
VWIV	19.5%	18.1%	21.3%	20.7%	18.4%
Skew 25d	2.6%	1.9%	3.5%	3.0%	2.2%
Skew 10d	5.5%	3.3%	11.4%	5.2%	3.3%
Call IV 25d	19.0%	17.8%	21.2%	20.9%	18.7%
Put IV 25d	21.6%	20.2%	23.8%	23.8%	20.9%
Bid-Ask Spread %	14.93	9.22	20.90	18.64	14.13
Gamma HHI	0.49	0.30	0.94	0.67	0.30
Net GEX	4.3M	950.1K	34.5M	3.5M	950.1K
Net DEX	-35.9M	-62.7M	-5.8M	-43.5M	-5.8M
Net VEX	-228.1K	-248.9K	-183.4K	-247.9K	-183.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.04	1.44	0.18	0.46
Total Volume	711.2	138	3,076	616	586
Total OI	21,156.35	16,458	25,491	22,951	16,714

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
2013-03-01	$70.14	$65.00	19.8%	5.7%	22.0%	51.1%	20.7%	3.0%	-0.2%	3.5M	-43.5M	-247.9K	0.18	18.64	524	92	14,718	8,233
2013-03-04	$70.97	$70.00	21.2%	5.8%	21.9%	62.0%	19.5%	3.4%	0.7%	3.6M	-51.2M	-248.4K	0.32	12.79	401	128	15,140	8,245
2013-03-05	$71.60	$70.00	23.3%	6.4%	21.0%	77.0%	21.3%	2.5%	-0.1%	3.2M	-56.9M	-245.5K	0.05	20.90	2,549	122	15,273	8,285
2013-03-06	$72.13	$70.00	21.7%	6.2%	20.7%	65.6%	20.9%	2.7%	-0.4%	3.6M	-62.6M	-248.9K	0.29	19.53	276	81	16,367	8,300
2013-03-07	$72.08	$70.00	20.8%	5.9%	20.5%	58.9%	20.8%	2.4%	0.7%	3.5M	-62.7M	-246.3K	0.68	16.33	173	118	16,267	8,284
2013-03-08	$71.79	$70.00	19.9%	5.8%	20.5%	52.4%	19.7%	2.4%	0.9%	3.8M	-61.0M	-244.1K	0.60	17.63	86	52	16,256	8,329
2013-03-11	$71.56	$70.00	22.2%	5.7%	20.5%	69.4%	18.5%	3.5%	1.0%	4.0M	-59.6M	-235.4K	0.25	18.93	541	133	16,225	8,338
2013-03-12	$70.63	$70.00	22.6%	5.6%	20.7%	70.8%	19.4%	3.1%	1.4%	5.3M	-50.4M	-238.1K	0.33	14.46	424	141	16,378	8,335
2013-03-13	$70.96	$70.00	21.7%	5.5%	18.4%	63.5%	19.3%	2.4%	1.5%	5.3M	-55.6M	-236.2K	0.49	14.68	710	347	16,558	8,432
2013-03-14	$71.11	$70.00	19.2%	5.5%	18.3%	43.9%	19.2%	2.9%	1.6%	5.7M	-59.9M	-235.9K	0.63	18.96	185	117	16,828	8,554
2013-03-15	$69.99	$70.00	19.2%	5.5%	17.6%	44.5%	19.2%	2.6%	1.0%	34.5M	-41.4M	-230.6K	0.32	13.95	299	95	16,835	8,656
2013-03-18	$69.66	$70.00	19.3%	5.5%	16.7%	45.1%	19.4%	2.2%	0.8%	1.0M	-11.3M	-221.5K	0.64	14.94	295	188	9,758	7,183
2013-03-19	$69.99	$70.00	19.4%	5.5%	15.9%	45.4%	21.1%	3.0%	0.6%	1.1M	-12.4M	-222.0K	1.44	13.09	211	303	9,828	7,338
2013-03-20	$70.65	$70.00	19.0%	5.4%	16.1%	42.5%	19.2%	2.2%	1.6%	1.3M	-16.0M	-226.1K	0.36	9.86	225	81	10,000	7,355
2013-03-21	$70.15	$70.00	18.8%	5.4%	15.9%	41.3%	18.8%	2.3%	2.0%	1.2M	-14.0M	-225.2K	0.31	10.81	121	38	10,086	7,412
2013-03-22	$70.74	$70.00	19.1%	5.5%	12.7%	43.2%	18.8%	2.4%	1.4%	1.3M	-16.6M	-227.5K	0.04	10.80	366	16	10,150	7,418
2013-03-25	$70.41	$70.00	19.6%	5.6%	12.6%	47.0%	19.6%	1.9%	1.5%	1.3M	-15.8M	-224.3K	0.04	9.22	2,954	122	10,312	7,418
2013-03-26	$70.48	$70.00	18.2%	5.2%	12.6%	36.3%	18.2%	2.3%	2.4%	1.2M	-9.7M	-184.0K	0.21	14.83	635	132	8,936	7,522
2013-03-27	$70.66	$70.00	18.1%	5.2%	12.2%	35.3%	18.1%	2.6%	2.6%	1.3M	-10.9M	-191.6K	0.20	14.15	298	59	9,270	7,591
2013-03-28	$69.64	$70.00	18.3%	5.2%	13.0%	37.2%	18.4%	2.2%	2.2%	950.1K	-5.8M	-183.4K	0.46	14.13	401	185	9,078	7,636