CCI Options History — October 2013

In October 2013, CCI traded between $70.26 and $76.81. ATM implied volatility averaged 20.7%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.0% (HV 20d: 20.7%). Max pain ranged from $50.00 to $72.50. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.66.

Notable Days

  • 2013-10-17: Highest Volume — 9,160 contracts
  • 2013-10-10: Largest IV spike — 28.3% change
  • 2013-10-10: Highest IV Rank — 51.4%
  • 2013-10-21: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.55$70.26$76.81$72.13$76.02
Max Pain$54.46$50.00$72.50$50.00$60.00
ATM IV20.7%17.6%23.6%19.7%20.1%
Expected Move7.2%7.0%7.4%7.3%7.3%
HV 20d20.7%14.8%24.6%21.8%23.8%
HV 60d20.5%19.6%22.0%21.2%20.3%
IV Rank36.5%20.8%51.4%31.7%33.5%
IV Percentile45.1%10.3%74.6%38.9%42.5%
Term Structure0.6%-1.5%5.2%3.5%0.6%
VWIV26.3%24.4%28.1%28.1%27.7%
Skew 25d2.3%-0.3%3.9%-0.0%2.4%
Skew 10d5.9%-0.1%13.7%5.6%6.7%
Call IV 25d21.2%18.9%23.5%20.7%18.9%
Put IV 25d23.5%20.0%26.2%20.6%21.3%
Bid-Ask Spread %14.796.8243.829.588.33
Gamma HHI0.340.200.590.270.21
Net GEX-137.3K-5.3M4.4M717.9K1.8M
Net DEX-18.7M-71.9M18.3M-15.9M-36.8M
Net VEX-216.0K-279.1K-127.5K-210.8K-273.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.078.701.782.28
Total Volume1,742.2612809,1604341,724
Total OI30,444.78319,75540,87330,24627,016

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$72.13$50.0019.7%7.3%21.8%31.7%0.0%-0.0%3.5%717.9K-15.9M-210.8K1.789.5815627816,36613,880
2013-10-02$71.57$50.0019.9%7.3%21.9%32.5%0.0%0.2%3.3%235.1K-8.8M-212.1K8.7010.306657416,29614,136
2013-10-03$71.10$50.0018.7%7.3%21.6%26.5%0.0%-0.3%5.2%-318.8K-1.6M-210.0K3.2111.174291,37816,33814,698
2013-10-04$70.66$50.0017.9%7.4%20.7%22.3%0.0%2.1%0.2%-1.8M10.4M-204.2K2.2010.4528562716,03715,900
2013-10-07$71.30$50.0020.2%7.3%18.6%33.9%0.0%2.3%0.4%-1.3M592.8K-202.7K0.1311.395787316,27816,453
2013-10-08$70.26$50.0017.6%7.4%18.7%20.8%0.0%2.4%-0.1%-2.9M15.9M-197.8K3.6012.656362,28816,73216,524
2013-10-09$70.44$50.0018.4%7.4%18.8%25.0%0.0%3.0%-0.4%-4.9M18.3M-195.9K1.0915.7218320016,44618,291
2013-10-10$70.81$50.0023.6%7.2%15.5%51.4%28.1%2.6%-0.4%-5.3M12.1M-187.3K0.3515.122,62292316,31318,333
2013-10-11$71.37$50.0022.6%7.2%14.9%46.4%0.0%2.9%-0.3%-4.2M3.0M-186.0K0.5711.6232218416,43118,947
2013-10-14$71.93$50.0022.4%7.2%14.8%45.5%0.0%3.2%0.1%-2.3M-6.1M-170.5K0.3912.3328611116,48918,873
2013-10-15$72.01$50.0022.7%7.1%14.8%47.1%0.0%3.5%-0.4%-1.6M-9.9M-162.0K0.199.7971713416,41918,873
2013-10-16$74.27$50.0021.9%7.1%18.2%42.8%0.0%3.5%-0.3%4.4M-42.2M-147.7K0.0711.416654716,24218,971
2013-10-17$76.81$50.0022.8%7.0%21.2%47.6%0.0%2.8%-0.1%2.3M-70.0M-127.5K0.7213.965,3293,83115,63218,855
2013-10-18$75.96$50.0022.3%7.0%21.4%44.6%27.9%2.0%-0.8%1.9M-71.9M-215.0K2.5112.0832180518,65122,222
2013-10-21$74.66$60.0023.1%7.4%22.7%49.0%24.4%3.9%-1.5%629.5K-16.9M-216.3K0.7636.381,9951,5249,74910,006
2013-10-22$74.87$72.5021.8%7.1%22.5%42.5%24.9%2.5%-0.6%728.1K-18.3M-238.8K1.4241.171,4322,03810,95611,296
2013-10-23$74.00$60.0020.3%7.3%22.6%34.4%27.4%2.5%0.8%600.1K-8.0M-254.5K0.6943.821,4581,00011,87612,888
2013-10-24$76.58$60.0019.7%7.1%24.4%31.6%26.5%3.1%0.8%1.3M-33.6M-268.0K0.5710.301,36578412,89212,032
2013-10-25$76.11$60.0019.9%7.2%24.5%32.7%24.8%2.0%1.1%1.5M-35.1M-271.2K0.2910.5572320713,89212,366
2013-10-28$75.87$60.0021.0%7.3%24.6%38.3%26.2%2.3%0.4%1.8M-34.2M-279.1K5.707.9610761014,24211,982
2013-10-29$76.54$60.0019.5%7.3%24.1%30.8%0.0%1.8%0.7%1.7M-41.3M-264.2K0.416.8255122614,10112,415
2013-10-30$76.47$60.0019.1%7.3%23.8%28.5%25.0%2.4%1.1%1.8M-39.7M-273.5K0.527.311849614,40012,495
2013-10-31$76.02$60.0020.1%7.3%23.8%33.5%27.7%2.4%0.6%1.8M-36.8M-273.2K2.288.335251,19914,49712,519