CCI Options History — February 2014

In February 2014, CCI traded between $68.96 and $76.29. ATM implied volatility averaged 20.7%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.5% (HV 20d: 21.2%). Max pain ranged from $62.50 to $65.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.47.

Notable Days

2014-02-18: Highest Volume — 7,696 contracts
2014-02-10: Largest IV spike — 20.4% change
2014-02-03: Highest IV Rank — 49.2%
2014-02-10: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.25	$68.96	$76.29	$68.96	$75.90
Max Pain	$63.16	$62.50	$65.00	$62.50	$65.00
ATM IV	20.7%	18.8%	23.4%	23.4%	19.3%
Expected Move	6.8%	6.5%	7.3%	7.1%	6.6%
HV 20d	21.2%	19.0%	23.2%	20.7%	22.0%
HV 60d	17.6%	16.3%	19.1%	16.4%	19.0%
IV Rank	35.0%	25.1%	49.2%	49.2%	27.9%
IV Percentile	39.6%	16.3%	75.8%	75.8%	23.4%
Term Structure	-0.2%	-1.0%	0.9%	-0.2%	-0.3%
VWIV	26.5%	18.9%	33.7%	28.3%	27.1%
Skew 25d	2.9%	1.1%	3.9%	1.1%	3.4%
Skew 10d	7.3%	1.7%	13.5%	1.7%	7.5%
Call IV 25d	19.9%	18.0%	23.6%	23.6%	18.0%
Put IV 25d	22.7%	21.3%	24.9%	24.7%	21.3%
Bid-Ask Spread %	27.01	15.25	55.16	20.23	22.86
Gamma HHI	0.32	0.15	0.84	0.18	0.23
Net GEX	6.9M	580.0K	28.1M	987.2K	3.8M
Net DEX	-35.1M	-105.6M	10.5M	9.1M	-46.4M
Net VEX	-334.1K	-366.8K	-273.6K	-273.6K	-337.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.04	2.22	0.07	2.22
Total Volume	1,454.947	93	7,696	2,045	319
Total OI	38,879.842	32,652	45,050	36,748	33,591

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2014-02-03	$68.96	$62.50	23.4%	7.1%	20.7%	49.2%	28.3%	1.1%	-0.2%	987.2K	9.1M	-273.6K	0.07	20.23	1,907	138	27,092	9,656
2014-02-04	$69.08	$62.50	21.6%	7.3%	20.7%	39.6%	0.0%	2.1%	0.6%	1.0M	8.9M	-277.3K	0.39	53.59	300	117	28,727	9,765
2014-02-05	$69.12	$62.50	22.4%	7.0%	19.0%	43.8%	25.1%	2.8%	-0.1%	580.0K	10.5M	-283.7K	0.06	24.97	581	33	28,727	9,841
2014-02-06	$70.53	$62.50	21.4%	7.0%	20.3%	39.0%	0.0%	2.2%	0.9%	1.8M	515.2K	-306.5K	0.43	55.16	65	28	29,223	9,843
2014-02-07	$71.56	$62.50	19.3%	6.9%	21.1%	27.8%	0.0%	3.7%	0.5%	3.1M	-9.1M	-326.8K	0.27	25.33	581	154	29,253	9,836
2014-02-10	$72.39	$62.50	23.2%	7.3%	21.5%	48.3%	25.9%	2.4%	-0.2%	4.6M	-22.0M	-343.2K	0.13	55.05	2,513	330	29,618	9,956
2014-02-11	$73.32	$62.50	23.1%	7.0%	21.8%	47.6%	0.0%	3.4%	-0.3%	7.4M	-40.5M	-366.8K	0.43	24.29	476	205	31,231	10,175
2014-02-12	$73.15	$62.50	21.7%	6.9%	20.9%	40.5%	0.0%	2.2%	-0.2%	6.9M	-34.8M	-355.9K	0.08	20.31	366	31	31,236	10,227
2014-02-13	$74.55	$62.50	19.7%	6.8%	21.0%	30.1%	0.0%	3.9%	-0.0%	9.8M	-58.3M	-361.0K	0.58	19.75	400	234	31,757	10,255
2014-02-14	$75.02	$62.50	19.8%	6.8%	20.9%	30.4%	0.0%	3.5%	0.4%	11.4M	-65.8M	-350.0K	0.09	20.64	1,883	175	31,977	10,376
2014-02-18	$74.40	$62.50	19.9%	6.7%	21.0%	31.1%	33.7%	2.5%	-0.7%	12.7M	-57.2M	-346.1K	0.08	15.25	7,156	540	32,815	10,450
2014-02-19	$74.51	$62.50	19.7%	6.8%	21.0%	29.9%	0.0%	2.9%	-0.9%	14.3M	-60.7M	-363.5K	0.05	28.09	2,433	116	34,159	10,891
2014-02-20	$76.29	$62.50	18.8%	6.5%	22.3%	25.1%	0.0%	3.1%	-0.3%	11.4M	-105.6M	-357.8K	0.04	23.76	2,906	105	33,332	10,546
2014-02-21	$74.88	$62.50	19.4%	6.5%	23.2%	28.4%	18.9%	2.8%	-0.5%	28.1M	-56.9M	-344.6K	0.14	24.18	1,688	231	30,910	10,563
2014-02-24	$74.72	$65.00	19.3%	6.6%	21.1%	28.0%	0.0%	2.7%	-0.2%	3.5M	-37.7M	-347.5K	1.29	18.60	406	525	23,567	9,085
2014-02-25	$74.26	$65.00	20.0%	6.5%	21.0%	31.5%	27.1%	3.2%	-1.0%	3.1M	-32.7M	-336.6K	1.01	22.55	151	152	23,791	9,424
2014-02-26	$73.70	$65.00	20.9%	6.7%	21.3%	36.3%	0.0%	2.5%	-0.8%	2.9M	-26.7M	-322.8K	0.51	20.04	168	85	23,856	9,464
2014-02-27	$75.46	$65.00	19.6%	6.5%	22.3%	29.6%	0.0%	3.9%	-0.4%	3.6M	-41.9M	-345.6K	1.15	18.48	68	78	23,969	9,533
2014-02-28	$75.90	$65.00	19.3%	6.6%	22.0%	27.9%	0.0%	3.4%	-0.3%	3.8M	-46.4M	-337.8K	2.22	22.86	99	220	24,028	9,563