CCI Options History — May 2013

In May 2013, CCI traded between $71.25 and $79.77. ATM implied volatility averaged 18.6%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 5.3% (HV 20d: 23.9%). Max pain ranged from $75.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2013-05-02: Highest Volume — 3,854 contracts
  • 2013-05-29: Largest IV spike — 18.2% change
  • 2013-05-29: Highest IV Rank — 70.3%
  • 2013-05-29: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$76.48$71.25$79.77$76.87$71.25
Max Pain$75.00$75.00$75.00$75.00$75.00
ATM IV18.6%16.7%22.6%17.4%22.2%
Expected Move5.4%5.0%6.5%5.0%6.4%
HV 20d23.9%18.7%28.8%25.6%19.8%
HV 60d20.0%18.8%20.8%20.7%20.8%
IV Rank39.6%25.0%70.3%30.0%67.5%
IV Percentile33.3%8.7%85.7%15.1%82.5%
Term Structure-0.2%-1.1%1.2%1.2%-0.3%
VWIV19.3%17.3%22.4%17.3%20.5%
Skew 25d2.1%0.5%4.0%0.5%3.0%
Skew 10d4.2%-1.8%8.8%-1.0%7.9%
Call IV 25d18.5%16.8%21.1%16.8%20.7%
Put IV 25d20.5%17.3%24.8%17.3%23.7%
Bid-Ask Spread %13.707.3025.757.6012.17
Gamma HHI0.480.190.820.350.19
Net GEX2.4M146.7K6.4M1.3M279.9K
Net DEX-28.5M-57.5M5.6M-27.8M5.6M
Net VEX-211.1K-225.7K-179.4K-180.1K-212.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.015.910.240.09
Total Volume903.9551073,854971163
Total OI20,578.81815,17223,20915,17222,720

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$76.87$75.0017.4%5.0%25.6%30.0%17.3%0.5%1.2%1.3M-27.8M-180.1K0.247.607821898,0367,136
2013-05-02$77.48$75.0018.9%5.4%25.6%41.6%17.5%1.2%0.8%1.4M-31.1M-179.4K0.017.303,805498,3917,278
2013-05-03$78.23$75.0017.3%5.0%25.6%29.9%17.5%2.8%0.7%3.2M-40.3M-198.6K0.148.521,67122811,4367,324
2013-05-06$77.94$75.0018.3%5.2%25.3%36.9%18.2%2.3%-0.4%3.7M-42.8M-205.1K1.0413.4722223112,8647,532
2013-05-07$78.40$75.0018.3%5.2%25.3%36.9%18.9%1.9%-0.7%4.0M-45.8M-208.4K0.8812.4621619012,8837,657
2013-05-08$79.26$75.0017.6%5.2%25.3%31.9%20.2%1.9%-0.8%4.6M-52.2M-207.3K0.237.3163314512,9587,755
2013-05-09$79.02$75.0017.4%5.1%25.4%30.2%19.5%1.3%-1.1%4.7M-52.0M-215.3K3.2510.0126887213,5417,868
2013-05-10$78.71$75.0016.9%5.0%25.4%26.0%18.3%1.5%-0.7%4.5M-48.4M-225.2K5.918.319656713,7778,486
2013-05-13$78.69$75.0019.1%5.1%25.3%43.5%19.0%1.4%-0.6%4.5M-47.5M-224.6K1.1410.14505713,8168,920
2013-05-14$79.77$75.0016.9%5.1%25.4%26.6%19.8%1.9%-0.5%6.2M-57.5M-219.3K0.2310.981623713,8238,928
2013-05-15$79.43$75.0016.7%5.2%24.5%25.0%19.8%1.0%-0.4%6.4M-53.7M-218.7K0.2510.333849513,8158,943
2013-05-16$77.77$75.0017.8%5.1%25.3%33.6%18.3%2.2%-0.3%1.7M-37.2M-218.0K0.3318.851,06935413,5158,992
2013-05-17$77.87$75.0017.7%5.1%25.2%32.7%21.3%2.4%-0.5%1.7M-38.2M-225.7K0.0325.753161114,0299,180
2013-05-20$76.73$75.0018.3%5.2%25.7%37.1%18.1%2.2%0.2%1.4M-22.4M-212.4K2.2716.9220947510,3168,029
2013-05-21$76.88$75.0018.9%5.4%25.7%42.3%18.3%2.4%-0.2%1.3M-22.5M-215.7K1.5920.3333653510,5018,396
2013-05-22$74.05$75.0018.6%5.3%28.8%39.2%19.3%2.4%-0.1%502.5K-6.8M-213.1K0.8710.2844238610,7668,578
2013-05-23$73.38$75.0018.5%5.3%18.8%39.0%20.8%2.6%0.4%366.8K-3.6M-209.5K2.0517.9520441811,0318,704
2013-05-24$73.72$75.0018.4%5.3%18.7%38.4%19.0%2.5%0.2%354.6K-5.0M-212.5K3.9117.976525411,1369,064
2013-05-28$73.33$75.0019.1%5.5%18.7%43.4%19.1%1.6%-0.3%146.7K-2.2M-205.4K0.0622.721,4028611,1759,272
2013-05-29$71.74$75.0022.6%6.5%19.9%70.3%22.4%4.0%-0.3%491.2K2.0M-215.9K0.7216.781,12980812,5139,240
2013-05-30$72.00$75.0022.4%6.4%20.1%69.0%21.4%2.5%-0.4%430.7K1.6M-220.3K0.0515.222631312,7309,680
2013-05-31$71.25$75.0022.2%6.4%19.8%67.5%20.5%3.0%-0.3%279.9K5.6M-212.9K0.0912.171501313,0479,673