CCI Options History — June 2013

In June 2013, CCI traded between $67.33 and $72.47. ATM implied volatility averaged 24.3%, placing in the 81.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.4% (HV 20d: 21.9%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2013-06-20: Highest Volume — 13,842 contracts
  • 2013-06-20: Largest IV spike — 15.4% change
  • 2013-06-20: Highest IV Rank — 100.0%
  • 2013-06-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.81$67.33$72.47$70.87$72.39
Max Pain$73.50$70.00$75.00$75.00$70.00
ATM IV24.3%22.9%27.4%23.2%23.4%
Expected Move6.9%6.4%7.9%6.6%6.7%
HV 20d21.9%18.6%27.9%19.1%27.6%
HV 60d22.3%20.8%24.9%20.8%24.9%
IV Rank81.5%71.0%100.0%74.9%71.0%
IV Percentile92.2%84.9%100.0%88.9%84.9%
Term Structure-0.2%-1.3%1.2%-0.8%1.2%
VWIV24.4%22.8%27.8%22.8%23.5%
Skew 25d1.4%0.3%3.1%3.1%0.7%
Skew 10d2.3%0.5%4.8%2.9%2.5%
Call IV 25d24.5%22.5%27.6%22.5%24.1%
Put IV 25d25.9%24.4%29.2%25.7%24.8%
Bid-Ask Spread %13.899.3822.2210.4415.31
Gamma HHI0.280.180.510.190.24
Net GEX1.4M52.8K3.3M243.6K3.3M
Net DEX3.4M-36.9M23.4M7.4M-35.7M
Net VEX-216.9K-260.6K-184.8K-206.8K-260.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.042.440.150.91
Total Volume1,759.2512213,842224363
Total OI27,294.4522,51435,46122,53529,985

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$70.87$75.0023.2%6.6%19.1%74.9%22.8%3.1%-0.8%243.6K7.4M-206.8K0.1510.441943012,8929,643
2013-06-04$69.85$75.0022.9%6.6%19.4%73.2%23.4%1.6%-1.0%52.8K12.4M-196.4K0.3511.1335612412,9389,647
2013-06-05$69.76$75.0023.2%6.6%19.0%75.1%23.7%1.4%-0.7%84.3K11.7M-196.2K2.4410.4937190412,9439,571
2013-06-06$70.64$75.0024.6%7.1%19.2%86.1%24.6%1.6%-0.9%173.6K10.6M-204.2K0.1510.331,94628613,0279,904
2013-06-07$70.28$75.0023.2%6.5%19.2%75.5%22.9%1.8%-0.1%1.0M5.9M-209.5K0.839.8531526215,02410,063
2013-06-10$69.21$75.0024.0%6.4%19.4%81.1%23.3%1.7%0.2%790.6K14.5M-193.5K0.1912.781,31125414,84010,219
2013-06-11$69.35$75.0023.9%6.5%19.5%80.8%23.4%1.9%0.0%851.8K13.6M-197.4K0.2020.101,76536114,89110,442
2013-06-12$68.00$75.0025.5%6.7%18.6%93.1%24.1%1.1%-0.2%817.0K20.2M-193.2K0.3314.482879516,48210,563
2013-06-13$69.74$75.0023.9%6.8%22.0%80.5%24.7%1.2%-0.1%1.3M7.6M-212.8K0.0910.732,08618916,56010,656
2013-06-14$70.34$75.0024.9%7.1%21.9%88.5%25.2%1.5%-1.2%2.4M-3.2M-227.0K0.339.3892330318,09710,811
2013-06-17$70.34$75.0024.6%7.0%21.9%85.8%24.7%1.3%-0.1%2.7M-1.8M-219.2K0.5011.7047623918,35910,929
2013-06-18$71.33$75.0023.6%6.8%22.6%78.3%24.3%1.3%-0.1%2.9M-11.1M-221.6K0.1513.881,31019818,59211,031
2013-06-19$69.54$75.0023.8%6.8%23.7%79.7%24.4%1.6%0.4%3.1M7.4M-207.4K0.2616.05972518,44711,043
2013-06-20$67.70$75.0027.4%7.9%22.0%100.0%27.8%1.6%-1.3%921.6K23.4M-184.8K0.3620.2010,1523,69017,98110,936
2013-06-21$68.53$70.0026.1%7.5%22.7%90.3%25.7%1.5%-0.1%1.0M14.4M-238.8K0.3722.2277428722,21913,242
2013-06-24$67.33$70.0026.1%7.5%23.0%90.2%27.2%0.6%-0.0%588.9K11.8M-229.3K0.1217.391,10813115,87111,894
2013-06-25$68.32$70.0024.7%7.1%24.0%80.4%24.2%1.0%0.4%1.1M5.9M-231.1K0.0412.195612416,06712,017
2013-06-26$70.13$70.0023.7%6.8%25.2%73.0%23.7%0.7%0.2%2.2M-10.1M-248.3K0.0518.701,4487116,52412,035
2013-06-27$72.47$70.0023.6%6.8%27.9%72.3%24.9%0.3%0.9%3.2M-36.9M-260.6K0.2510.521,50036917,46312,041
2013-06-28$72.39$70.0023.4%6.7%27.6%71.0%23.5%0.7%1.2%3.3M-35.7M-260.1K0.9115.3119017317,80512,180