CCI Options History — August 2013

In August 2013, CCI traded between $67.44 and $70.56. ATM implied volatility averaged 23.5%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 2.8% (HV 20d: 20.8%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.74.

Notable Days

  • 2013-08-09: Highest Volume — 7,400 contracts
  • 2013-08-12: Largest IV spike — 15.6% change
  • 2013-08-14: Highest IV Rank — 72.3%
  • 2013-08-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.90$67.44$70.56$69.62$69.42
Max Pain$69.32$67.50$75.00$75.00$70.00
ATM IV23.5%19.3%27.7%25.6%23.0%
Expected Move6.7%6.2%7.3%7.3%6.6%
HV 20d20.8%17.0%24.7%24.3%18.2%
HV 60d23.5%22.6%24.4%23.8%23.0%
IV Rank51.2%29.7%72.3%61.5%48.3%
IV Percentile76.2%42.1%98.4%92.5%69.8%
Term Structure0.2%-2.4%1.6%-2.4%0.0%
VWIV23.2%20.6%25.2%25.2%23.1%
Skew 25d2.0%0.4%2.6%1.3%2.5%
Skew 10d3.7%-2.1%9.2%-0.1%0.6%
Call IV 25d23.0%20.5%24.7%24.7%22.8%
Put IV 25d25.0%22.9%26.2%26.0%25.3%
Bid-Ask Spread %20.0313.5031.1428.4623.71
Gamma HHI0.330.130.620.130.15
Net GEX1.6M-342.6K5.2M-342.6K278.5K
Net DEX15.9M-15.5M61.7M27.0M552.2K
Net VEX-234.9K-265.7K-210.7K-210.7K-256.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0310.630.180.69
Total Volume2,265867,4002,684142
Total OI34,015.72725,82047,94226,38931,468

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$69.62$75.0025.6%7.3%24.3%61.5%25.2%1.3%-2.4%-342.6K27.0M-210.7K0.1828.462,27041413,21513,174
2013-08-02$69.30$72.5023.8%6.8%24.3%52.6%23.7%1.0%-0.9%433.7K25.3M-216.0K0.0529.455,02026914,92813,200
2013-08-05$70.56$70.0025.0%6.8%24.6%58.8%23.9%2.1%-0.4%3.3M-3.7M-248.3K1.5118.441,8192,74719,56913,351
2013-08-06$69.79$70.0022.4%6.5%24.7%45.2%22.9%2.5%0.7%2.5M14.0M-250.9K10.6317.591261,33920,11415,792
2013-08-07$68.34$70.0021.7%6.6%22.6%41.7%22.5%2.1%0.7%1.4M42.4M-227.1K2.2613.507211,63020,14216,868
2013-08-08$68.69$70.0019.3%6.2%20.2%29.7%20.6%2.5%1.6%1.3M46.5M-232.6K1.7419.517121,24220,55417,966
2013-08-09$68.76$70.0021.9%6.4%19.7%42.9%22.5%2.2%1.1%568.3K44.2M-243.5K0.1814.746,2871,11320,97118,840
2013-08-12$67.44$70.0025.3%6.7%20.1%60.4%23.0%2.1%0.2%1.7M61.7M-217.3K0.9314.481,6591,54326,46319,720
2013-08-13$67.66$70.0025.6%6.3%20.3%61.5%21.7%2.2%1.0%2.4M57.0M-216.6K0.8916.321,7851,59527,58618,723
2013-08-14$67.77$67.5027.7%6.7%20.3%72.3%23.1%2.4%0.0%3.1M45.4M-215.9K0.6014.671,9721,17827,74617,250
2013-08-15$68.25$67.5024.5%7.0%20.7%56.3%24.5%1.5%0.4%5.2M30.1M-230.9K0.0914.504,87642328,77316,584
2013-08-16$67.91$67.5023.7%6.8%20.4%52.2%23.7%2.6%0.5%546.1K32.8M-237.1K0.7524.7355741731,37516,567
2013-08-19$68.50$67.5024.1%6.9%21.1%54.2%24.5%1.4%0.2%1.6M-6.6M-236.2K0.6816.6122215016,2879,533
2013-08-20$68.96$67.5022.8%6.5%21.3%47.5%23.1%1.9%-0.2%1.8M-9.6M-236.8K0.1319.735727716,3829,637
2013-08-21$68.26$67.5023.3%6.7%21.3%50.1%23.5%1.8%0.7%1.6M-4.5M-231.3K0.5219.181497716,6099,686
2013-08-22$68.13$67.5023.2%6.7%17.0%49.5%23.4%2.6%0.3%1.6M-2.9M-226.6K1.8716.58305616,6699,700
2013-08-23$69.73$67.5021.9%6.3%19.5%42.8%23.0%1.9%0.5%2.1M-15.5M-239.9K0.5017.981477316,6609,737
2013-08-26$68.99$67.5021.5%6.2%19.4%40.8%21.6%0.4%0.9%1.9M-10.1M-225.5K6.6521.8013489116,7129,763
2013-08-27$69.95$70.0024.3%7.0%20.2%54.9%24.6%2.3%-0.7%1.7M-14.1M-238.0K7.0526.995694,01016,75810,587
2013-08-28$69.82$70.0023.5%6.8%18.4%51.2%23.5%2.4%-0.3%388.9K-4.2M-265.7K0.0320.535521617,23314,097
2013-08-29$69.91$70.0023.5%6.7%18.1%51.1%23.2%1.9%-0.0%406.3K-6.0M-264.8K0.4531.141727717,25714,100
2013-08-30$69.42$70.0023.0%6.6%18.2%48.3%23.1%2.5%0.0%278.5K552.2K-256.0K0.6923.71845817,29314,175