CCI Options History — July 2014 In July 2014, CCI traded between $73.21 and $76.60. ATM implied volatility averaged 17.4%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.9% (HV 20d: 10.5%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.46.
Notable Days 2014-07-18 : Highest Volume — 7,158 contracts2014-07-10 : Largest IV spike — 29.3% change2014-07-22 : Highest IV Rank — 55.6%2014-07-03 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $74.50 $73.21 $76.60 $74.67 $74.18 Max Pain $71.14 $70.00 $75.00 $70.00 $75.00 ATM IV 17.4% 13.9% 20.9% 14.8% 16.8% Expected Move 5.8% 5.2% 6.1% 5.7% 5.6% HV 20d 10.5% 5.9% 19.5% 6.8% 19.3% HV 60d 12.1% 10.9% 13.9% 12.4% 12.7% IV Rank 28.7% 6.8% 55.6% 11.0% 28.1% IV Percentile 25.4% 0.4% 55.6% 3.2% 22.2% Term Structure -0.6% -2.8% 4.4% 3.6% -0.9% VWIV 21.0% 16.8% 25.5% 20.8% 20.0% Skew 25d 2.1% 0.1% 5.2% 5.2% 0.9% Skew 10d 4.5% -4.2% 16.9% 4.2% 3.4% Call IV 25d 17.9% 10.7% 21.1% 10.7% 17.2% Put IV 25d 20.0% 15.4% 23.8% 15.9% 18.1% Bid-Ask Spread % 71.80 43.10 91.83 44.86 59.80 Gamma HHI 0.39 0.23 0.96 0.23 0.30 Net GEX 17.1M 3.6M 215.9M 3.6M 5.5M Net DEX -48.1M -77.2M -27.9M -38.3M -42.6M Net VEX -355.6K -417.7K -323.4K -323.4K -377.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.02 1.67 0.04 0.17 Total Volume 1,730.318 151 7,158 5,715 428 Total OI 35,644.273 30,404 41,628 30,567 37,073
Daily Data (22 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 2014-07-01 $74.67 $70.00 14.8% 5.7% 6.8% 11.0% 0.0% 5.2% 3.6% 3.6M -38.3M -323.4K 0.04 44.86 5,497 218 23,409 7,158 2014-07-02 $74.09 $70.00 14.4% 5.8% 7.3% 9.0% 20.8% 0.3% 4.1% 5.4M -40.0M -346.3K 0.52 43.10 173 90 26,787 7,245 2014-07-03 $74.16 $70.00 13.9% 6.1% 7.1% 6.8% 0.0% 0.4% 4.4% 7.0M -45.4M -357.5K 0.44 89.01 153 67 28,246 7,256 2014-07-07 $73.92 $70.00 15.9% 6.0% 7.1% 16.3% 0.0% 1.8% -1.6% 6.8M -43.1M -339.4K 0.19 91.83 127 24 28,247 7,303 2014-07-08 $73.95 $70.00 15.8% 6.1% 7.1% 15.8% 0.0% 2.8% -1.6% 6.9M -41.1M -336.3K 1.67 85.88 94 157 28,329 7,310 2014-07-09 $74.17 $70.00 14.6% 5.6% 7.1% 10.0% 21.4% 2.6% -1.4% 7.5M -45.0M -341.0K 0.03 77.04 936 26 28,330 7,346 2014-07-10 $74.49 $70.00 18.8% 5.7% 6.9% 30.8% 0.0% 2.9% -1.3% 9.0M -51.7M -338.9K 0.12 90.96 2,309 287 29,010 7,338 2014-07-11 $74.60 $70.00 19.1% 5.8% 6.5% 32.2% 0.0% 2.5% -1.7% 11.4M -55.2M -342.5K 0.29 65.55 143 41 29,780 7,317 2014-07-14 $74.85 $70.00 19.3% 5.7% 5.9% 32.9% 25.5% 2.3% -1.8% 13.6M -62.8M -365.1K 0.46 58.78 281 129 29,752 7,336 2014-07-15 $74.15 $70.00 19.2% 5.4% 6.3% 32.6% 0.0% 0.7% -2.2% 11.7M -42.4M -328.4K 0.33 61.11 319 105 29,907 7,325 2014-07-16 $74.68 $70.00 19.4% 5.4% 6.7% 33.7% 0.0% 1.6% -2.2% 14.7M -53.1M -333.8K 0.02 60.96 5,557 84 29,928 7,214 2014-07-17 $73.91 $70.00 20.6% 5.8% 7.7% 51.4% 21.7% 0.8% -2.8% 12.5M -42.0M -332.1K 0.16 63.06 954 151 34,224 7,168 2014-07-18 $75.00 $70.00 20.2% 5.8% 9.1% 50.4% 0.0% 2.8% -2.5% 215.9M -77.2M -340.8K 0.11 58.83 6,439 719 34,412 7,216 2014-07-21 $75.08 $70.00 20.2% 5.9% 9.1% 50.4% 22.0% 4.0% -1.9% 5.3M -48.9M -359.4K 1.45 69.90 709 1,031 25,370 5,034 2014-07-22 $75.54 $70.00 20.9% 6.0% 9.3% 55.6% 21.1% 3.2% -2.6% 5.8M -56.3M -387.0K 0.04 59.18 2,896 127 25,851 5,542 2014-07-23 $76.60 $70.00 20.1% 6.0% 10.3% 50.3% 16.8% 2.2% -2.7% 6.7M -70.9M -417.7K 1.03 76.35 845 869 27,467 5,202 2014-07-24 $73.83 $70.00 16.0% 6.0% 17.1% 23.3% 22.0% 0.9% 0.3% 4.9M -41.0M -362.1K 1.31 77.54 854 1,116 27,907 5,938 2014-07-25 $73.21 $75.00 16.2% 5.2% 17.3% 24.1% 18.7% 2.2% 0.5% 4.0M -27.9M -336.9K 0.82 91.13 588 485 28,343 6,870 2014-07-28 $74.95 $75.00 16.3% 5.8% 19.3% 24.8% 0.0% 3.6% 0.8% 6.0M -44.5M -382.0K 0.46 78.74 978 453 28,519 7,126 2014-07-29 $74.39 $75.00 15.6% 5.8% 19.5% 20.7% 0.0% 0.1% -0.5% 5.4M -43.1M -387.3K 0.11 90.86 1,100 119 28,863 7,326 2014-07-30 $74.50 $75.00 15.7% 5.7% 19.4% 20.8% 20.6% 2.9% 0.4% 5.8M -45.0M -387.7K 0.33 85.20 292 97 29,447 7,403 2014-07-31 $74.18 $75.00 16.8% 5.6% 19.3% 28.1% 20.0% 0.9% -0.9% 5.5M -42.6M -377.6K 0.17 59.80 365 63 29,609 7,464
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