CCI Options History — July 2013

In July 2013, CCI traded between $70.25 and $77.36. ATM implied volatility averaged 26.1%, placing in the 75.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.0% (HV 20d: 25.1%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.79.

Notable Days

  • 2013-07-17: Highest Volume — 7,651 contracts
  • 2013-07-17: Largest IV drop — 14.9% change
  • 2013-07-12: Highest IV Rank — 100.0%
  • 2013-07-16: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.51$70.25$77.36$72.31$70.25
Max Pain$72.95$70.00$75.00$70.00$75.00
ATM IV26.1%22.8%33.1%23.8%24.8%
Expected Move7.5%6.5%9.5%6.8%7.1%
HV 20d25.1%20.4%28.2%27.5%24.2%
HV 60d24.2%21.9%25.7%24.8%23.8%
IV Rank75.6%47.3%100.0%74.2%57.3%
IV Percentile93.2%73.8%100.0%87.7%88.1%
Term Structure-1.9%-5.5%1.3%1.3%-1.4%
VWIV26.9%19.9%34.5%24.1%24.6%
Skew 25d3.4%0.8%5.1%0.8%1.3%
Skew 10d5.8%-5.2%11.5%1.3%-5.2%
Call IV 25d25.4%21.9%31.8%24.5%24.3%
Put IV 25d28.8%24.5%36.9%25.3%25.6%
Bid-Ask Spread %21.7812.6235.3018.4435.30
Gamma HHI0.190.130.250.250.13
Net GEX1.5M-613.8K3.8M3.5M-613.8K
Net DEX-36.7M-81.5M25.5M-34.7M25.5M
Net VEX-238.3K-257.4K-212.1K-257.3K-212.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.056.390.050.43
Total Volume1,573.6361547,6516551,367
Total OI30,221.13621,99940,60330,13125,676

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$72.31$70.0023.8%6.8%27.5%74.2%24.1%0.8%1.3%3.5M-34.7M-257.3K0.0518.446213417,82812,303
2013-07-02$72.16$70.0024.3%7.0%26.9%77.4%25.6%2.1%1.1%3.4M-33.4M-255.9K2.6512.8427272018,10512,327
2013-07-03$72.40$70.0025.6%7.3%26.9%86.8%28.0%2.6%0.3%3.4M-34.8M-257.4K2.2614.4735379818,16012,341
2013-07-05$72.21$70.0025.1%7.5%26.7%83.2%29.6%3.2%-1.6%3.5M-32.9M-250.0K1.5214.978141,23818,47912,881
2013-07-08$73.32$70.0026.3%7.6%27.0%91.8%26.4%3.3%-1.6%3.5M-44.3M-240.9K0.8219.6217314218,28413,654
2013-07-09$72.69$70.0026.3%7.7%26.5%91.6%27.0%2.9%-2.3%3.8M-37.4M-241.8K0.4415.6953123518,25213,634
2013-07-10$74.84$70.0027.2%7.9%28.2%98.5%27.7%3.7%-3.8%3.5M-62.1M-236.0K0.5219.662,7371,41518,62913,711
2013-07-11$76.72$72.5026.7%7.7%27.7%95.0%28.7%3.9%-2.3%2.4M-74.9M-226.2K1.8912.6234264717,99014,906
2013-07-12$77.30$72.5027.8%8.0%26.7%100.0%27.9%4.9%-2.8%2.2M-80.6M-217.6K3.8721.4921884417,97215,085
2013-07-15$77.36$72.5029.8%8.6%26.8%100.0%31.3%4.2%-3.1%2.0M-76.3M-224.5K4.6115.653991,83918,06715,844
2013-07-16$76.35$72.5033.1%9.5%27.5%100.0%34.5%5.1%-5.5%1.7M-68.3M-230.2K6.3920.583302,10818,27916,853
2013-07-17$76.44$75.0028.2%8.1%27.2%74.9%29.9%4.9%-2.8%992.7K-69.7M-224.7K4.1031.931,4996,15218,37718,037
2013-07-18$76.43$75.0026.8%7.7%25.1%67.9%27.4%4.8%-1.2%786.9K-73.6M-233.1K0.9523.281,1771,12419,12619,870
2013-07-19$76.72$75.0026.7%7.6%22.1%67.2%28.6%4.9%-1.8%-132.7K-81.5M-248.1K1.0932.8721623620,11020,493
2013-07-22$76.60$75.0026.5%7.6%22.2%66.4%26.8%4.2%-2.7%-338.3K-14.6M-243.5K0.1328.691,8992519,74112,258
2013-07-23$76.85$75.0026.8%7.7%20.5%67.7%27.9%4.3%-2.6%199.3K-21.2M-252.3K0.5617.6237421011,09612,346
2013-07-24$76.72$75.0026.1%7.5%20.4%64.3%27.3%3.8%-2.6%261.1K-20.7M-251.0K0.8120.4357646911,40412,370
2013-07-25$73.69$75.0024.0%6.9%24.8%53.6%23.2%2.8%-1.9%-252.1K1.1M-239.9K1.0327.1057459311,71212,542
2013-07-26$73.35$75.0022.9%6.6%22.1%48.0%22.9%2.6%-0.3%-269.2K2.8M-243.6K0.9023.5714513112,17712,930
2013-07-29$72.49$75.0023.5%6.7%22.6%50.9%19.9%1.3%-1.8%-443.5K10.4M-230.0K0.2924.6851514812,26513,049
2013-07-30$71.92$75.0022.8%6.5%22.7%47.3%22.2%2.3%-1.3%-522.9K14.4M-227.1K4.1327.753012412,55613,146
2013-07-31$70.25$75.0024.8%7.1%24.2%57.3%24.6%1.3%-1.4%-613.8K25.5M-212.1K0.4335.3095341412,56413,112