CCI Options History — May 2014

In May 2014, CCI traded between $73.54 and $77.70. ATM implied volatility averaged 15.4%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.8% (HV 20d: 16.2%). Max pain ranged from $67.50 to $67.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.42.

Notable Days

2014-05-02: Highest Volume — 1,465 contracts
2014-05-15: Largest IV spike — 29.2% change
2014-05-01: Highest IV Rank — 18.8%
2014-05-27: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.50	$73.54	$77.70	$73.54	$76.73
Max Pain	$67.50	$67.50	$67.50	$67.50	$67.50
ATM IV	15.4%	12.5%	18.5%	18.5%	14.0%
Expected Move	6.2%	6.0%	6.5%	6.3%	6.1%
HV 20d	16.2%	12.6%	19.2%	15.8%	12.6%
HV 60d	15.9%	14.2%	17.2%	16.8%	14.2%
IV Rank	9.3%	0.0%	18.8%	18.8%	7.1%
IV Percentile	2.8%	0.0%	17.1%	17.1%	0.4%
Term Structure	0.9%	-0.2%	1.8%	-0.2%	1.8%
VWIV	21.0%	9.8%	26.9%	26.9%	9.8%
Skew 25d	3.2%	1.4%	5.9%	5.1%	5.9%
Skew 10d	7.1%	3.7%	14.2%	14.2%	11.1%
Call IV 25d	15.0%	11.0%	17.1%	15.3%	11.0%
Put IV 25d	18.2%	16.9%	20.6%	20.4%	16.9%
Bid-Ask Spread %	47.06	21.59	79.88	42.17	25.93
Gamma HHI	0.28	0.18	0.43	0.43	0.27
Net GEX	3.9M	-7.6M	8.6M	-7.6M	3.9M
Net DEX	-57.4M	-80.8M	2.4M	2.4M	-51.6M
Net VEX	-452.6K	-536.6K	-409.6K	-536.6K	-409.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.05	1.30	0.15	1.04
Total Volume	495	81	1,465	598	157
Total OI	48,514	28,707	63,894	61,874	30,017

Daily Data (21 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
2014-05-01	$73.54	$67.50	18.5%	6.3%	15.8%	18.8%	26.9%	5.1%	-0.2%	-7.6M	2.4M	-536.6K	0.15	42.17	522	76	24,200	37,674
2014-05-02	$74.57	$67.50	16.7%	6.2%	16.5%	8.9%	19.1%	1.4%	0.7%	-3.6M	-22.8M	-514.4K	0.17	42.47	1,257	208	24,344	37,720
2014-05-05	$76.46	$67.50	16.0%	6.1%	18.7%	5.1%	24.3%	5.3%	1.1%	4.1M	-61.4M	-471.9K	0.72	36.96	448	324	24,495	37,766
2014-05-06	$76.70	$67.50	16.0%	6.4%	18.6%	5.0%	0.0%	4.6%	1.1%	4.1M	-65.8M	-478.1K	0.38	77.55	298	114	24,857	37,759
2014-05-07	$77.70	$67.50	16.7%	6.4%	19.0%	9.1%	0.0%	4.2%	0.2%	5.1M	-79.4M	-482.2K	0.79	45.59	357	281	24,998	37,854
2014-05-08	$77.20	$67.50	16.1%	6.3%	19.2%	5.4%	22.3%	3.4%	0.6%	5.4M	-77.2M	-486.4K	0.11	74.47	707	77	24,976	38,046
2014-05-09	$77.24	$67.50	15.3%	6.2%	18.2%	1.1%	0.0%	2.6%	0.4%	6.2M	-75.4M	-462.1K	0.46	63.26	189	86	25,115	38,097
2014-05-12	$77.34	$67.50	15.4%	6.3%	16.6%	1.9%	0.0%	2.4%	0.6%	6.9M	-79.2M	-470.9K	0.09	63.13	404	38	25,155	38,127
2014-05-13	$77.23	$67.50	14.3%	6.2%	16.3%	0.0%	23.8%	2.4%	1.1%	7.2M	-79.8M	-468.0K	0.09	40.06	848	73	25,383	38,125
2014-05-14	$77.28	$67.50	12.5%	6.3%	16.3%	0.0%	0.0%	1.9%	1.1%	8.6M	-80.8M	-459.5K	0.43	23.93	98	42	25,764	38,130
2014-05-15	$76.82	$67.50	16.2%	6.2%	16.5%	17.7%	0.0%	3.0%	0.7%	7.3M	-70.4M	-441.5K	0.23	28.45	261	60	25,376	37,919
2014-05-16	$76.80	$67.50	15.6%	6.1%	16.5%	15.1%	0.0%	3.0%	1.0%	7.1M	-70.7M	-440.6K	0.05	21.59	1,092	56	25,379	37,933
2014-05-19	$76.37	$67.50	15.6%	6.0%	16.3%	15.1%	0.0%	2.5%	1.1%	3.1M	-49.6M	-440.0K	0.37	57.68	176	65	21,051	7,656
2014-05-20	$75.94	$67.50	16.2%	6.3%	16.4%	18.0%	0.0%	2.0%	0.9%	3.0M	-45.9M	-418.0K	0.42	79.88	215	91	21,158	7,668
2014-05-21	$76.56	$67.50	15.4%	6.2%	16.6%	13.9%	0.0%	2.7%	0.9%	3.3M	-51.2M	-435.2K	0.16	41.79	87	14	21,317	7,706
2014-05-22	$76.39	$67.50	14.6%	6.1%	15.7%	10.2%	0.0%	2.5%	1.3%	3.3M	-49.8M	-429.7K	0.80	63.36	71	57	21,389	7,701
2014-05-23	$76.00	$67.50	15.5%	6.3%	14.8%	14.3%	0.0%	2.6%	0.8%	3.2M	-45.8M	-415.1K	1.30	61.64	151	196	21,419	7,704
2014-05-27	$76.42	$67.50	14.6%	6.5%	13.4%	10.2%	0.0%	3.2%	1.5%	3.3M	-49.6M	-420.6K	0.08	32.15	739	58	21,384	7,658
2014-05-28	$76.61	$67.50	14.5%	6.1%	13.4%	9.7%	0.0%	3.4%	1.4%	3.7M	-50.4M	-412.3K	0.35	28.31	238	83	22,081	7,680
2014-05-29	$76.63	$67.50	14.3%	6.3%	12.9%	8.8%	0.0%	3.0%	1.3%	3.8M	-51.0M	-411.2K	0.56	37.92	52	29	22,275	7,738
2014-05-30	$76.73	$67.50	14.0%	6.1%	12.6%	7.1%	9.8%	5.9%	1.8%	3.9M	-51.6M	-409.6K	1.04	25.93	77	80	22,278	7,739