CCI Options History — November 2014

In November 2014, CCI traded between $78.06 and $83.09. ATM implied volatility averaged 19.4%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 10.9% (HV 20d: 30.3%). Max pain ranged from $82.50 to $82.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.63.

Notable Days

2014-11-26: Highest Volume — 15,703 contracts
2014-11-13: Largest IV spike — 9.3% change
2014-11-05: Highest IV Rank — 49.8%
2014-11-19: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$80.58	$78.06	$83.09	$79.00	$83.09
Max Pain	$82.50	$82.50	$82.50	$82.50	$82.50
ATM IV	19.4%	17.2%	21.6%	20.6%	17.2%
Expected Move	5.8%	5.6%	6.0%	5.6%	5.6%
HV 20d	30.3%	26.3%	35.4%	34.9%	26.3%
HV 60d	22.4%	22.1%	22.6%	22.1%	22.4%
IV Rank	37.5%	25.7%	49.8%	44.2%	25.7%
IV Percentile	54.7%	35.7%	77.4%	65.1%	35.7%
Term Structure	-0.0%	-1.7%	1.7%	-0.1%	-0.2%
VWIV	20.2%	18.9%	23.5%	20.9%	20.3%
Skew 25d	1.7%	-0.1%	3.8%	1.0%	2.3%
Skew 10d	3.7%	-2.6%	13.4%	1.8%	13.4%
Call IV 25d	19.0%	16.0%	22.1%	21.5%	16.0%
Put IV 25d	20.7%	17.8%	22.5%	22.5%	18.3%
Bid-Ask Spread %	68.61	55.95	84.76	75.94	82.73
Gamma HHI	0.25	0.22	0.33	0.23	0.24
Net GEX	19.6M	11.9M	29.8M	13.6M	12.9M
Net DEX	-129.8M	-202.8M	-54.6M	-82.0M	-138.9M
Net VEX	-1.4M	-1.5M	-1.0M	-1.5M	-1.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.00	2.56	0.35	0.06
Total Volume	5,799.526	196	15,703	12,304	1,314
Total OI	120,608.632	88,107	131,691	121,705	88,107

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
2014-11-03	$79.00	$82.50	20.6%	5.6%	34.9%	44.2%	20.9%	1.0%	-0.1%	13.6M	-82.0M	-1.5M	0.35	75.94	9,107	3,197	81,530	40,175
2014-11-04	$78.06	$82.50	20.3%	5.8%	35.0%	42.8%	20.4%	0.5%	0.5%	12.6M	-54.6M	-1.5M	0.27	67.01	6,545	1,769	83,239	40,679
2014-11-05	$79.35	$82.50	21.6%	5.6%	35.4%	49.8%	19.3%	0.2%	-1.5%	15.9M	-93.4M	-1.5M	0.19	59.03	9,458	1,779	83,502	40,833
2014-11-06	$79.82	$82.50	20.9%	5.7%	35.3%	46.0%	19.5%	-0.1%	-0.2%	17.9M	-117.9M	-1.5M	0.41	57.86	3,742	1,517	84,063	40,965
2014-11-07	$79.68	$82.50	21.1%	6.0%	35.2%	46.9%	20.1%	0.8%	1.4%	18.1M	-115.5M	-1.5M	0.40	58.60	3,747	1,498	84,881	41,121
2014-11-10	$79.95	$82.50	19.2%	5.7%	34.4%	36.5%	19.9%	1.6%	0.9%	19.2M	-109.3M	-1.5M	0.29	55.95	4,753	1,399	85,043	41,221
2014-11-11	$79.57	$82.50	19.7%	5.8%	31.6%	39.2%	19.9%	0.7%	1.7%	18.8M	-105.9M	-1.4M	0.28	63.30	4,660	1,311	84,183	40,749
2014-11-12	$80.51	$82.50	18.1%	5.8%	30.7%	30.3%	19.7%	2.3%	0.4%	22.9M	-125.8M	-1.5M	0.49	77.40	2,802	1,387	86,130	41,314
2014-11-13	$80.19	$82.50	19.7%	5.8%	30.7%	39.5%	19.3%	1.6%	0.1%	22.6M	-139.9M	-1.4M	0.75	59.32	1,822	1,374	86,680	41,353
2014-11-14	$80.39	$82.50	20.1%	6.0%	29.9%	41.6%	20.7%	2.7%	0.1%	22.6M	-129.8M	-1.4M	0.35	64.49	145	51	86,616	41,422
2014-11-17	$80.11	$82.50	20.3%	5.8%	29.0%	42.5%	18.9%	1.5%	-0.3%	23.1M	-116.7M	-1.4M	0.83	59.31	1,789	1,480	86,625	41,414
2014-11-18	$80.63	$82.50	20.1%	5.8%	27.0%	41.6%	20.3%	3.0%	-0.5%	27.0M	-136.2M	-1.4M	0.59	59.89	5,337	3,162	86,763	41,333
2014-11-19	$80.77	$82.50	19.4%	6.0%	26.7%	37.8%	20.2%	2.4%	-1.7%	26.1M	-152.5M	-1.4M	2.56	80.83	182	466	88,648	43,043
2014-11-20	$80.99	$82.50	18.9%	5.7%	26.6%	35.0%	23.5%	1.6%	-0.5%	25.2M	-164.0M	-1.4M	1.21	84.76	1,472	1,787	87,807	42,800
2014-11-21	$81.75	$82.50	18.4%	5.9%	26.7%	32.3%	20.4%	2.0%	-0.3%	29.8M	-202.8M	-1.4M	1.47	72.58	2,054	3,020	87,854	43,042
2014-11-24	$82.17	$82.50	17.5%	5.6%	26.8%	27.6%	19.5%	3.8%	-0.7%	11.9M	-142.8M	-1.3M	0.03	80.48	6,018	160	56,728	38,698
2014-11-25	$82.43	$82.50	17.3%	5.6%	26.7%	25.9%	21.0%	2.7%	0.5%	16.0M	-167.4M	-1.3M	1.34	76.49	1,790	2,394	62,604	38,760
2014-11-26	$82.51	$82.50	17.5%	5.6%	26.3%	27.4%	19.6%	1.4%	-0.2%	15.9M	-170.9M	-1.3M	0.00	67.57	15,663	40	62,808	38,831
2014-11-28	$83.09	$82.50	17.2%	5.6%	26.3%	25.7%	20.3%	2.3%	-0.2%	12.9M	-138.9M	-1.0M	0.06	82.73	1,237	77	49,241	38,866