CCI Options History — April 2013

In April 2013, CCI traded between $69.61 and $78.36. ATM implied volatility averaged 18.9%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 1.9% (HV 20d: 17.0%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2013-04-18: Highest Volume — 3,178 contracts
  • 2013-04-25: Largest IV drop — 29.1% change
  • 2013-04-23: Highest IV Rank — 61.0%
  • 2013-04-08: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.58$69.61$78.36$69.79$77.00
Max Pain$71.14$70.00$75.00$70.00$75.00
ATM IV18.9%14.0%21.4%19.0%17.7%
Expected Move5.6%4.0%6.2%5.4%5.1%
HV 20d17.0%12.8%26.5%12.8%26.4%
HV 60d18.1%16.5%21.6%16.8%21.1%
IV Rank41.7%3.7%61.0%42.6%32.4%
IV Percentile36.4%0.8%70.2%32.5%17.5%
Term Structure-0.1%-2.0%2.8%1.7%1.2%
VWIV19.6%15.0%22.8%18.9%17.1%
Skew 25d3.4%1.1%7.1%7.1%1.4%
Skew 10d6.8%-0.0%12.6%11.5%-0.0%
Call IV 25d18.1%13.4%20.6%14.5%16.3%
Put IV 25d21.5%15.7%24.7%21.6%17.7%
Bid-Ask Spread %11.574.5817.4911.997.94
Gamma HHI0.470.300.920.300.35
Net GEX1.9M502.3K10.8M957.5K1.3M
Net DEX-20.3M-33.7M-5.6M-6.7M-27.9M
Net VEX-177.4K-185.2K-160.1K-182.0K-180.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.144.980.150.57
Total Volume831.3641813,178237340
Total OI16,602.45511,77818,84416,93115,065

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$69.79$70.0019.0%5.4%12.8%42.6%18.9%7.1%1.7%957.5K-6.7M-182.0K0.1511.99206319,1627,769
2013-04-02$70.60$70.0019.0%5.5%12.8%43.0%19.1%3.3%1.0%1.2M-10.4M-181.1K0.4514.063791699,1587,790
2013-04-03$69.61$70.0018.1%5.2%13.2%35.5%18.1%6.7%2.1%884.3K-5.6M-180.6K0.4010.595852349,3377,913
2013-04-04$70.28$70.0017.8%5.1%13.5%33.3%17.8%6.9%2.8%1.0M-9.8M-185.2K0.144.58620859,5478,065
2013-04-05$70.83$70.0017.9%6.0%13.8%33.9%20.9%3.6%-0.8%1.2M-12.0M-184.6K1.739.021793109,5308,131
2013-04-08$72.12$70.0019.0%6.2%15.3%43.0%20.7%3.9%-1.0%1.6M-18.8M-183.3K0.2412.674361049,5818,312
2013-04-09$72.33$70.0018.8%6.1%15.3%41.1%19.8%3.0%-1.0%1.6M-19.8M-182.6K0.3117.497052189,5878,375
2013-04-10$73.20$70.0017.0%5.6%14.9%26.9%20.3%2.2%-1.1%2.1M-24.6M-183.0K0.2111.374991069,8358,450
2013-04-11$73.70$70.0019.1%5.5%15.0%43.2%19.0%2.6%-0.7%2.4M-27.2M-182.7K0.5811.393021759,8038,463
2013-04-12$73.39$70.0019.4%5.6%15.1%46.1%21.4%2.3%-0.8%2.1M-24.3M-173.9K3.5411.221184189,6498,398
2013-04-15$73.21$70.0020.1%5.8%13.8%51.4%21.9%2.8%-1.2%1.8M-21.7M-181.2K0.1511.74478749,6338,763
2013-04-16$74.03$70.0019.9%5.7%13.9%49.8%20.7%2.8%-1.3%2.8M-26.1M-177.7K0.2912.77143429,6998,798
2013-04-17$72.83$70.0021.0%6.0%15.4%58.3%22.8%3.5%-2.0%591.2K-20.3M-181.3K0.5914.861146710,0048,840
2013-04-18$74.35$70.0021.0%6.0%16.6%58.0%21.0%3.9%-1.8%4.2M-25.8M-176.7K4.9815.915312,6479,7418,817
2013-04-19$75.01$70.0021.3%6.1%16.4%60.8%21.5%3.2%-1.8%10.8M-33.7M-166.7K0.1811.971,3362429,8418,079
2013-04-22$74.54$70.0020.0%5.7%16.6%50.2%20.0%2.6%-0.1%508.7K-13.5M-162.2K0.5716.401,0025725,5576,221
2013-04-23$74.88$75.0021.4%6.1%16.4%61.0%22.6%4.8%-1.5%532.9K-15.0M-175.3K0.6712.404342906,2566,696
2013-04-24$73.90$75.0019.7%5.6%17.4%48.0%19.9%2.9%-0.8%502.3K-11.5M-176.8K0.7211.628346026,4986,854
2013-04-25$78.36$70.0014.0%4.0%26.5%3.7%15.0%2.8%2.5%1.0M-32.8M-160.1K0.249.121,0702587,0566,656
2013-04-26$77.38$75.0016.3%4.7%26.3%22.0%16.5%1.1%1.3%1.3M-29.8M-170.0K0.507.685032527,5026,862
2013-04-29$77.35$75.0017.7%5.1%26.3%32.9%17.2%1.2%1.0%1.3M-29.8M-176.5K0.237.824721087,9247,037
2013-04-30$77.00$75.0017.7%5.1%26.4%32.4%17.1%1.4%1.2%1.3M-27.9M-180.1K0.577.942171237,9567,109