CTL Options History — February 2007 In February 2007, CTL traded between $44.32 and $45.99. ATM implied volatility averaged 16.3%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 3.7% (HV 20d: 12.6%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.93.
Notable Days 2007-02-14 : Highest Volume — 1,692 contracts2007-02-08 : Largest IV drop — 21.0% change2007-02-01 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $45.15 $44.32 $45.99 $44.74 $44.75 Max Pain $43.42 $35.00 $45.00 $45.00 $45.00 ATM IV 16.3% 14.2% 19.8% 18.8% 15.9% Expected Move 4.5% 4.1% 5.4% 5.4% 4.6% HV 20d 12.6% 10.9% 16.2% 11.0% 16.1% Term Structure -0.4% -3.1% 0.4% -3.1% 0.0% VWIV 15.5% 13.3% 18.8% 18.8% 15.9% Skew 25d 1.7% -1.3% 3.8% 0.2% 3.5% Skew 10d 2.9% -1.6% 5.9% 0.6% 5.3% Call IV 25d 13.6% 12.1% 17.0% 17.0% 15.3% Put IV 25d 15.2% 12.6% 18.8% 17.3% 18.8% Bid-Ask Spread % 10.82 4.17 87.09 5.52 87.09 Gamma HHI 0.55 0.37 0.70 0.54 0.62 Net GEX 475.2K -604.0K 842.7K 522.1K 717.1K Net DEX -24.3M -28.0M -20.1M -22.1M -23.6M Net VEX -102.3K -108.0K -98.2K -107.1K -107.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.93 0.00 3.35 0.34 1.61 Total Volume 246.368 13 1,692 43 81 Total OI 11,207.526 10,633 12,590 10,826 11,607
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-02-01 $44.74 $45.00 18.8% 5.4% 11.0% 0.0% 18.8% 0.2% -3.1% 522.1K -22.1M -107.1K 0.34 5.52 N/A N/A 32 11 8,281 2,545 2007-02-02 $44.92 $35.00 18.1% 4.5% 11.1% 0.0% 15.6% 1.3% -0.4% 470.4K -23.1M -105.0K 0.96 4.17 N/A N/A 25 24 8,284 2,554 2007-02-05 $45.27 $45.00 19.8% 4.5% 11.2% 0.0% 15.8% 2.2% -0.2% 445.8K -24.1M -103.4K 0.41 4.98 N/A N/A 51 21 8,283 2,578 2007-02-06 $45.28 $45.00 18.4% 4.5% 10.9% 0.0% 13.3% 2.5% -0.2% 424.1K -24.5M -101.5K 0.00 4.57 N/A N/A 13 0 8,291 2,599 2007-02-07 $45.00 $45.00 19.3% 4.5% 11.1% 0.0% 15.5% 1.4% -0.6% 442.2K -23.3M -102.3K 0.15 4.83 N/A N/A 66 10 8,300 2,599 2007-02-08 $44.85 $35.00 15.2% 4.4% 11.2% 0.0% 0.0% 1.4% -0.1% 433.7K -22.7M -103.4K 0.00 4.52 N/A N/A 21 0 8,339 2,599 2007-02-09 $44.51 $35.00 15.7% 4.5% 11.6% 0.0% 15.0% -1.3% -0.4% 402.6K -21.3M -103.9K 0.28 5.90 N/A N/A 153 43 8,360 2,599 2007-02-12 $44.32 $45.00 15.3% 4.4% 11.6% 0.0% 0.0% -0.1% -0.1% 410.4K -20.1M -104.8K 1.08 6.70 N/A N/A 24 26 8,457 2,642 2007-02-13 $44.76 $45.00 15.4% 4.4% 12.0% 0.0% 15.4% 0.4% -0.4% 297.8K -21.6M -103.3K 0.01 5.56 N/A N/A 69 1 8,462 2,657 2007-02-14 $45.01 $45.00 16.4% 4.7% 11.4% 0.0% 16.4% 2.2% -1.0% 398.3K -23.2M -101.5K 2.27 6.60 N/A N/A 517 1,175 8,478 2,657 2007-02-15 $45.99 $45.00 15.7% 4.5% 13.1% 0.0% 15.7% 3.8% -0.5% 166.7K -27.5M -98.3K 1.15 8.63 N/A N/A 290 333 8,929 3,661 2007-02-16 $45.32 $45.00 15.2% 4.4% 14.0% 0.0% 15.2% 2.1% -0.6% -604.0K -27.0M -101.0K 0.76 6.96 N/A N/A 159 121 8,989 3,584 2007-02-20 $45.50 $45.00 14.7% 4.2% 13.9% 0.0% 14.7% 2.5% -0.2% 842.7K -26.0M -98.2K 3.35 7.83 N/A N/A 43 144 8,577 2,056 2007-02-21 $45.52 $45.00 14.3% 4.1% 13.8% 0.0% 14.3% 2.4% 0.2% 809.0K -26.4M -98.3K 1.65 6.96 N/A N/A 172 283 8,618 2,169 2007-02-22 $45.66 $45.00 14.2% 4.1% 13.7% 0.0% 14.2% 2.2% 0.3% 754.8K -27.2M -98.2K 0.76 7.21 N/A N/A 136 103 8,719 2,355 2007-02-23 $45.99 $45.00 14.4% 4.1% 12.6% 0.0% 14.4% 1.7% 0.4% 718.7K -28.0M -100.4K 2.18 8.08 N/A N/A 39 85 8,818 2,446 2007-02-26 $45.90 $45.00 15.4% 4.4% 12.1% 0.0% 15.4% 2.0% -0.0% 681.6K -27.9M -98.8K 0.73 9.70 N/A N/A 95 69 8,852 2,531 2007-02-27 $44.60 $45.00 17.1% 4.9% 16.2% 0.0% 17.1% 1.3% -0.8% 694.0K -23.1M -108.0K 0.00 9.70 N/A N/A 246 0 8,908 2,560 2007-02-28 $44.75 $45.00 15.9% 4.6% 16.1% 0.0% 15.9% 3.5% 0.0% 717.1K -23.6M -107.2K 1.61 87.09 N/A N/A 31 50 9,047 2,560
« Jan 2007 | All History | Mar 2007 » Home CTL History February 2007