CCI Options History — September 2013

In September 2013, CCI traded between $69.22 and $73.21. ATM implied volatility averaged 21.2%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.4% (HV 20d: 19.9%). Max pain ranged from $50.00 to $72.50. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.83.

Notable Days

  • 2013-09-18: Highest Volume — 5,216 contracts
  • 2013-09-30: Largest IV spike — 12.5% change
  • 2013-09-03: Highest IV Rank — 55.7%
  • 2013-09-17: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.14$69.22$73.21$69.23$73.03
Max Pain$63.03$50.00$72.50$70.00$50.00
ATM IV21.2%17.3%24.4%24.4%20.7%
Expected Move7.0%6.2%7.5%7.0%7.4%
HV 20d19.9%15.6%22.1%17.0%21.2%
HV 60d22.2%20.5%23.7%23.0%21.2%
IV Rank39.4%19.1%55.7%55.7%36.6%
IV Percentile51.2%8.7%84.1%84.1%48.8%
Term Structure2.3%-0.9%5.1%-0.9%3.0%
VWIV24.2%21.8%29.0%24.9%25.6%
Skew 25d1.9%0.8%2.9%2.2%0.9%
Skew 10d4.7%-0.3%10.2%-0.3%0.9%
Call IV 25d20.9%17.5%24.0%24.0%20.8%
Put IV 25d22.8%19.1%26.2%26.2%21.7%
Bid-Ask Spread %15.089.8626.2316.4612.82
Gamma HHI0.280.150.580.150.28
Net GEX-189.8K-3.9M1.9M148.2K-322.6K
Net DEX-17.7M-60.8M4.7M3.8M-18.8M
Net VEX-209.1K-242.4K-163.0K-242.1K-193.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.0216.400.900.05
Total Volume1,860.55465,2162744,102
Total OI32,054.9521,61440,94731,46927,198

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$69.23$70.0024.4%7.0%17.0%55.7%24.9%2.2%-0.9%148.2K3.8M-242.1K0.9016.4614413017,28614,183
2013-09-04$69.94$70.0023.8%6.8%17.0%52.7%24.8%2.3%-0.3%271.6K-4.2M-242.4K0.7513.89876517,28014,231
2013-09-05$69.22$70.0022.5%6.5%15.6%45.9%22.9%2.1%0.1%48.4K4.7M-234.5K0.4717.431024817,31314,219
2013-09-06$70.55$70.0023.4%6.6%16.8%50.5%23.6%2.6%0.9%424.8K-12.7M-238.5K0.0215.872,5045117,30614,253
2013-09-09$72.45$70.0023.6%6.5%19.1%51.3%23.1%2.3%1.0%1.6M-36.8M-224.4K1.5017.8953480217,76614,268
2013-09-10$73.21$70.0023.1%6.5%17.4%49.1%21.8%1.8%1.2%1.8M-47.2M-219.4K1.2813.8210313217,99714,981
2013-09-11$73.03$70.0021.4%6.4%17.5%40.5%23.5%1.6%1.7%1.9M-45.9M-214.7K0.0911.211,18810817,99515,053
2013-09-12$70.83$70.0023.1%6.6%21.4%48.9%23.0%1.6%1.3%517.1K-15.8M-223.7K0.0910.833,89335118,54615,048
2013-09-13$69.86$70.0021.8%6.2%22.0%42.3%21.9%1.1%2.2%85.1K-1.5M-216.2K16.4017.021863,05020,26515,065
2013-09-16$70.50$0.0022.1%7.4%22.1%43.9%25.3%1.9%1.8%-3.1M-9.1M-209.9K0.4726.2355926019,29917,849
2013-09-17$70.45$72.5021.4%7.5%21.9%40.3%25.4%2.6%2.3%-3.9M-9.0M-204.3K0.6215.8177147619,44717,855
2013-09-18$70.60$72.5020.5%7.5%21.8%35.6%0.0%2.9%3.1%-3.1M-15.2M-206.1K0.0717.964,85935720,12918,000
2013-09-19$71.21$72.5021.2%7.4%21.6%39.2%29.0%2.3%3.1%1.6M-60.8M-182.0K0.0515.933,14314722,74118,083
2013-09-20$70.62$50.0019.9%7.5%21.8%32.8%0.0%2.6%4.0%-83.1K-48.0M-184.9K1.659.8626343522,79318,154
2013-09-23$70.65$50.0018.5%7.4%20.3%25.5%0.0%1.3%5.0%669.6K-5.3M-163.0K5.6410.186203,49912,2269,388
2013-09-24$70.33$50.0017.3%7.4%20.0%19.1%25.6%1.3%5.1%-486.9K2.2M-187.4K3.4815.926202,15512,59511,916
2013-09-25$71.43$50.0019.1%7.4%20.1%28.5%0.0%0.8%3.3%-1.0M-2.2M-199.4K0.9313.2222520912,91813,601
2013-09-26$73.00$50.0018.5%7.3%21.4%25.3%0.0%2.2%3.9%-392.6K-16.8M-195.1K0.2614.8478520212,95513,704
2013-09-27$72.71$50.0018.4%7.3%21.5%24.9%0.0%1.6%4.6%-414.9K-16.2M-200.0K1.8814.29163013,41613,777
2013-09-30$73.03$50.0020.7%7.4%21.2%36.6%0.0%0.9%3.0%-322.6K-18.8M-193.8K0.0512.823,91918313,41613,782