CCI Options History — November 2013

In November 2013, CCI traded between $73.87 and $76.32. ATM implied volatility averaged 21.3%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.4% (HV 20d: 18.8%). Max pain ranged from $60.00 to $62.50. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 6.92.

Notable Days

  • 2013-11-05: Highest Volume — 12,421 contracts
  • 2013-11-11: Largest IV spike — 13.1% change
  • 2013-11-11: Highest IV Rank — 47.3%
  • 2013-11-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.02$73.87$76.32$75.18$74.23
Max Pain$60.25$60.00$62.50$60.00$62.50
ATM IV21.3%19.6%22.8%20.7%21.9%
Expected Move7.3%7.2%7.5%7.3%7.3%
HV 20d18.8%12.2%24.4%24.1%12.2%
HV 60d20.2%19.7%20.5%20.5%19.7%
IV Rank39.6%30.9%47.3%36.9%43.0%
IV Percentile55.2%35.3%68.7%50.0%63.1%
Term Structure0.6%-0.4%2.0%1.1%-0.4%
VWIV25.6%19.1%28.4%25.2%25.9%
Skew 25d3.5%2.5%4.3%2.5%3.1%
Skew 10d7.7%5.7%13.6%5.7%13.6%
Call IV 25d20.3%19.1%21.1%20.0%20.7%
Put IV 25d23.8%22.5%25.1%22.5%23.8%
Bid-Ask Spread %11.257.1424.678.109.04
Gamma HHI0.210.160.280.190.24
Net GEX-2.4M-5.4M1.7M1.5M-5.4M
Net DEX-1.9M-37.3M32.6M-29.9M22.7M
Net VEX-499.1K-598.1K-277.7K-277.7K-576.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.920.0999.171.762.67
Total Volume2,976.16612,4216,20766
Total OI49,884.3528,49164,75128,49164,751

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$75.18$60.0020.7%7.3%24.1%36.9%25.2%2.5%1.1%1.5M-29.9M-277.7K1.768.102,2473,96014,92113,570
2013-11-04$75.23$60.0021.1%7.2%24.0%38.7%27.1%3.6%1.1%1.2M-28.7M-328.8K0.748.5844132816,99317,116
2013-11-05$76.14$60.0020.8%7.3%23.3%37.4%0.0%3.6%1.4%1.7M-37.3M-332.1K99.1710.2912412,29717,31517,402
2013-11-06$76.30$60.0019.6%7.2%23.3%30.9%28.4%3.1%2.0%-1.4M-15.6M-417.6K3.3010.665016517,36526,797
2013-11-07$75.38$60.0020.4%7.2%24.0%35.4%27.0%3.8%1.3%-1.7M-4.0M-413.9K0.189.062674917,31026,967
2013-11-08$74.54$60.0020.2%7.2%24.4%33.9%28.4%3.9%0.6%-2.3M8.7M-409.4K0.1911.036,5221,27117,26126,991
2013-11-11$74.63$60.0022.8%7.3%24.3%47.3%0.0%4.1%0.3%-1.5M-3.7M-548.2K1.6811.2426143923,59127,154
2013-11-12$74.31$60.0022.2%7.3%24.4%44.2%19.1%4.3%0.9%-1.7M814.5K-541.8K0.177.661783123,70027,517
2013-11-13$74.63$60.0021.3%7.3%21.9%39.7%0.0%3.8%0.8%-1.1M-5.1M-548.2K0.187.144578023,80727,473
2013-11-14$75.50$60.0021.9%7.5%18.6%42.7%0.0%3.5%0.4%-180.0K-20.2M-540.5K0.549.021,69691123,48927,283
2013-11-15$76.09$60.0022.1%7.4%18.4%43.9%24.1%2.9%0.2%-966.8K-33.4M-534.0K2.388.642,0094,78924,37627,898
2013-11-18$76.32$60.0019.9%7.2%17.3%32.7%0.0%3.8%2.0%-3.1M-14.3M-541.6K0.418.581,41258120,26928,224
2013-11-19$75.52$60.0021.4%7.3%17.7%40.2%26.7%3.2%0.6%-3.5M-1.8M-544.0K3.038.0428887321,35328,492
2013-11-20$74.81$60.0021.8%7.3%17.5%42.2%28.4%3.9%-0.3%-3.9M12.0M-555.5K1.9216.251,2132,32621,57329,153
2013-11-21$74.43$60.0021.5%7.3%12.3%40.6%22.0%3.4%0.3%-4.6M18.0M-547.7K17.4524.671322,30421,98530,210
2013-11-22$74.19$60.0021.1%7.3%12.2%38.7%0.0%3.5%0.0%-5.3M26.8M-542.8K0.987.764,8134,73622,06032,073
2013-11-25$73.87$60.0021.6%7.3%12.2%41.3%24.2%3.4%-0.2%-5.4M32.6M-587.8K1.3313.938911826,69136,694
2013-11-26$74.59$60.0022.0%7.3%12.3%43.2%25.6%3.2%-0.2%-5.1M17.6M-598.1K0.1620.661,28021026,74736,779
2013-11-27$74.55$62.5021.3%7.4%12.3%39.5%0.0%3.2%-0.1%-5.0M16.3M-595.3K0.0914.564664327,46036,877
2013-11-29$74.23$62.5021.9%7.3%12.2%43.0%25.9%3.1%-0.4%-5.4M22.7M-576.5K2.679.04184827,85436,897