CTL Options History — January 2007

In January 2007, CTL traded between $43.21 and $44.84. ATM implied volatility averaged 17.3%. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 5.7% (HV 20d: 11.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2007-01-23: Highest Volume — 2,355 contracts
  • 2007-01-10: Largest IV drop — 22.0% change
  • 2007-01-29: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.86$43.21$44.84$43.73$44.84
Max Pain$44.50$40.00$45.00$40.00$45.00
ATM IV17.3%15.8%20.3%18.1%18.6%
Expected Move4.9%4.5%5.4%5.2%5.3%
HV 20d11.6%11.3%12.1%11.3%11.3%
Term Structure-1.0%-3.3%0.3%-0.6%-3.3%
VWIV16.8%11.4%18.8%18.1%18.6%
Skew 25d-0.6%-7.1%4.3%-2.2%0.2%
Skew 10d0.3%-13.3%7.8%-2.8%1.0%
Call IV 25d16.7%14.7%24.2%18.2%16.7%
Put IV 25d16.1%12.7%20.4%16.0%16.9%
Bid-Ask Spread %8.214.8516.198.936.26
Gamma HHI0.630.510.770.540.53
Net GEX664.9K462.1K883.0K775.6K483.2K
Net DEX-36.2M-48.9M-17.1M-47.7M-22.6M
Net VEX-96.4K-107.3K-84.2K-97.4K-107.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.002.960.120.00
Total Volume311.65122,35518212
Total OI21,333.958,60429,16129,08910,825

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$43.73$40.0018.1%5.2%0.0%0.0%18.1%-2.2%-0.6%775.6K-47.7M-97.4K0.128.93N/AN/A1622015,33513,754
2007-01-04$43.70$40.0018.3%5.3%0.0%0.0%18.0%-1.9%-1.0%764.8K-48.1M-95.5K1.168.60N/AN/A15117515,31213,595
2007-01-05$43.65$45.0017.7%5.2%0.0%0.0%18.1%4.3%-0.8%720.0K-47.3M-94.7K0.1010.08N/AN/A4164115,25413,604
2007-01-08$43.40$45.0019.1%5.2%0.0%0.0%0.0%3.4%-0.7%815.4K-46.6M-97.8K0.0010.75N/AN/A29015,44013,495
2007-01-09$43.21$45.0020.3%5.1%0.0%0.0%0.0%2.4%-1.0%883.0K-45.6M-98.9K0.0612.36N/AN/A77515,45813,495
2007-01-10$43.32$45.0015.8%5.1%0.0%0.0%0.0%3.6%-0.8%816.9K-46.4M-96.7K0.0010.89N/AN/A32015,48113,494
2007-01-11$43.58$45.0016.4%4.7%0.0%0.0%16.4%3.6%0.3%742.3K-47.8M-93.1K0.0013.63N/AN/A87015,50113,490
2007-01-12$43.83$45.0016.0%4.6%0.0%0.0%16.0%-1.3%0.1%723.6K-48.9M-91.7K1.925.62N/AN/A6312115,52213,490
2007-01-16$43.95$45.0016.1%4.6%0.0%0.0%15.8%-1.5%-0.1%658.4K-47.8M-88.8K0.795.10N/AN/A393115,52813,600
2007-01-17$43.50$45.0016.6%4.7%0.0%0.0%16.6%-3.4%-0.3%582.3K-46.1M-88.7K0.057.65N/AN/A135715,51413,608
2007-01-18$43.91$45.0015.9%4.6%0.0%0.0%11.4%-1.5%0.1%623.5K-47.3M-88.2K0.015.23N/AN/A93115,54613,615
2007-01-19$43.53$45.0016.9%4.8%0.0%0.0%16.9%-3.5%-0.8%592.2K-46.2M-87.7K2.966.05N/AN/A7923415,54313,615
2007-01-22$43.75$45.0017.1%4.9%0.0%0.0%17.1%-2.6%-0.9%513.7K-17.1M-88.6K0.117.20N/AN/A154176,7561,848
2007-01-23$44.07$45.0016.0%4.6%0.0%0.0%0.0%-1.1%-1.0%593.7K-18.4M-84.2K0.315.69N/AN/A1,7985576,8861,865
2007-01-24$44.31$45.0016.1%4.6%0.0%0.0%15.9%0.0%-1.2%762.1K-21.1M-105.6K0.505.07N/AN/A140707,9541,967
2007-01-25$43.70$45.0015.9%4.5%11.3%0.0%0.0%-1.7%-1.0%678.7K-18.7M-105.3K0.007.08N/AN/A15007,6752,017
2007-01-26$44.27$45.0017.5%5.0%12.1%0.0%17.5%-1.7%-2.0%644.3K-20.4M-104.9K2.366.90N/AN/A2225247,7282,017
2007-01-29$44.34$45.0018.8%5.4%11.7%0.0%18.8%-7.1%-2.8%462.1K-19.6M-106.2K0.0016.19N/AN/A17907,8472,525
2007-01-30$44.62$45.0018.6%5.3%11.5%0.0%18.6%-0.4%-2.6%462.8K-20.6M-107.3K0.084.85N/AN/A382307,9552,525
2007-01-31$44.84$45.0018.6%5.3%11.3%0.0%0.0%0.2%-3.3%483.2K-22.6M-107.0K0.006.26N/AN/A1208,2802,545