CCI Options History — December 2013

In December 2013, CCI traded between $71.61 and $75.40. ATM implied volatility averaged 22.5%, placing in the 44.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 9.4% (HV 20d: 13.0%). Max pain ranged from $62.50 to $62.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.02.

Notable Days

  • 2013-12-16: Highest Volume — 15,040 contracts
  • 2013-12-16: Largest IV spike — 14.5% change
  • 2013-12-19: Highest IV Rank — 55.9%
  • 2013-12-16: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.55$71.61$75.40$75.00$73.43
Max Pain$62.50$62.50$62.50$62.50$62.50
ATM IV22.5%20.8%24.7%23.1%21.9%
Expected Move7.3%7.1%7.5%7.2%7.3%
HV 20d13.0%11.1%14.8%12.3%14.2%
HV 60d18.0%17.4%19.5%19.5%17.6%
IV Rank44.8%35.6%55.9%48.7%41.4%
IV Percentile64.7%42.5%88.5%73.0%57.1%
Term Structure1.1%-1.3%3.0%-1.3%2.3%
VWIV26.3%25.0%27.8%26.6%25.8%
Skew 25d3.0%1.5%4.7%3.1%4.0%
Skew 10d9.2%5.7%14.1%7.8%12.9%
Call IV 25d21.7%20.1%25.1%21.8%20.4%
Put IV 25d24.7%22.9%27.5%25.0%24.4%
Bid-Ask Spread %17.467.3632.227.3612.30
Gamma HHI0.260.200.350.240.26
Net GEX-3.0M-8.7M5.3M-4.7M2.9M
Net DEX14.9M-24.9M76.5M6.8M-24.9M
Net VEX-437.7K-571.1K-339.9K-571.1K-343.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0415.131.920.89
Total Volume2,4379615,040207238
Total OI60,120.28645,27569,73464,79246,879

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$75.00$62.5023.1%7.2%12.3%48.7%0.0%3.1%-1.3%-4.7M6.8M-571.1K1.927.367113627,86236,930
2013-12-03$75.16$62.5022.5%7.1%12.3%45.9%0.0%4.2%-1.1%-4.4M4.9M-556.0K2.1912.114571,00127,89337,036
2013-12-04$74.51$62.5022.5%7.2%11.8%45.8%0.0%4.7%-0.6%-5.5M18.0M-535.2K6.7614.742001,35228,07736,904
2013-12-05$74.55$62.5022.6%7.3%11.8%46.2%26.6%3.3%-0.9%-5.2M14.4M-519.0K0.0416.532281028,15336,036
2013-12-06$75.40$62.5022.3%7.2%11.8%44.6%25.0%3.4%1.0%-4.6M-4.7M-521.2K0.2820.531303728,25636,034
2013-12-09$75.34$62.5023.3%7.1%11.1%50.1%0.0%2.8%1.0%-4.9M-6.7M-498.7K0.0816.497916228,18936,038
2013-12-10$75.21$62.5023.0%7.2%11.1%48.4%27.8%2.5%1.2%-5.4M-1.7M-493.8K0.0615.682681528,09236,075
2013-12-11$74.14$62.5023.1%7.1%12.2%47.9%0.0%1.5%2.0%-7.2M20.5M-463.6K15.1317.394771127,95636,075
2013-12-12$74.05$62.5021.4%7.3%12.1%38.8%0.0%2.7%1.4%-8.1M27.3M-454.3K0.1318.24851128,00036,174
2013-12-13$73.91$62.5021.3%7.3%11.2%38.4%0.0%2.4%1.4%-8.7M34.7M-444.8K1.0232.22606128,00136,174
2013-12-16$72.17$62.5024.4%7.5%13.3%54.6%26.6%3.4%0.1%-6.7M59.7M-410.9K1.0419.717,3747,66628,01536,216
2013-12-17$71.61$62.5023.4%7.4%13.2%49.4%0.0%3.5%0.8%-5.5M76.5M-422.5K1.7310.216001,03530,83638,662
2013-12-18$72.20$62.5023.4%7.4%13.5%49.3%0.0%2.2%1.2%-5.3M64.3M-409.7K1.0627.755,4335,77130,80137,795
2013-12-19$73.00$62.5024.7%7.3%14.0%55.9%0.0%2.6%-0.1%-4.5M40.7M-417.8K6.9117.208635,96232,66136,098
2013-12-20$71.98$62.5022.4%7.3%14.7%44.1%0.0%3.2%1.5%5.3M69.9M-373.8K0.0715.967,85258033,96035,774
2013-12-23$72.15$62.5021.5%7.3%14.8%39.3%25.8%3.3%2.6%1.7M-13.9M-362.6K0.4518.1776534426,32418,951
2013-12-24$72.44$62.5021.5%7.2%14.8%39.1%0.0%2.5%2.8%2.1M-18.7M-358.0K0.1421.131852626,94619,194
2013-12-26$72.56$62.5020.8%7.3%14.3%35.6%0.0%2.5%2.8%2.2M-17.8M-343.3K1.5518.448613327,07119,213
2013-12-27$72.57$62.5020.9%7.2%14.3%36.2%0.0%2.1%3.0%1.9M-12.3M-339.9K0.1315.722563427,15319,302
2013-12-30$73.22$62.5021.9%7.3%14.7%41.2%0.0%4.0%2.3%2.7M-23.2M-350.7K0.7718.7413610527,38319,337
2013-12-31$73.43$62.5021.9%7.3%14.2%41.4%0.0%4.0%2.3%2.9M-24.9M-343.7K0.8912.3012611227,47319,406