CTL Options History — March 2007

In March 2007, CTL traded between $43.56 and $45.19. ATM implied volatility averaged 15.5%. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.4% (HV 20d: 16.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 5.56.

Notable Days

  • 2007-03-20: Highest Volume — 585 contracts
  • 2007-03-14: Largest IV spike — 47.3% change
  • 2007-03-02: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.41$43.56$45.19$44.54$45.19
Max Pain$40.45$40.00$45.00$45.00$40.00
ATM IV15.5%13.7%20.5%16.5%14.4%
Expected Move4.4%3.9%5.0%4.7%4.1%
HV 20d16.0%12.6%18.4%16.1%12.8%
HV 60d13.7%13.3%14.2%13.9%13.3%
Term Structure1.6%-0.2%3.0%0.5%2.3%
VWIV17.1%12.9%29.3%16.5%29.3%
Skew 25d3.0%0.3%8.5%1.9%2.5%
Skew 10d4.7%0.5%14.0%2.9%4.0%
Call IV 25d14.8%11.7%18.8%16.3%12.9%
Put IV 25d17.8%13.9%21.4%18.2%15.4%
Bid-Ask Spread %10.565.4022.206.735.78
Gamma HHI0.640.590.680.610.67
Net GEX792.9K688.8K921.4K722.4K911.0K
Net DEX-21.6M-25.3M-17.3M-22.1M-24.8M
Net VEX-104.3K-110.6K-97.3K-109.3K-98.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.560.0060.000.090.33
Total Volume100.909658528540
Total OI11,452.09110,82611,89311,65311,224

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$44.54$45.0016.5%4.7%16.1%0.0%16.5%1.9%0.5%722.4K-22.1M-109.3K0.096.73N/AN/A261249,0432,610
2007-03-02$44.65$45.0017.4%5.0%16.1%0.0%17.4%2.3%-0.2%712.4K-22.6M-109.7K1.048.19N/AN/A55579,0512,633
2007-03-05$43.95$40.0018.6%5.0%16.9%0.0%17.4%1.4%0.5%701.7K-19.9M-110.6K0.4111.34N/AN/A74309,0762,678
2007-03-06$44.33$40.0017.3%4.9%17.0%0.0%17.1%0.6%0.9%728.9K-20.8M-109.1K0.1113.80N/AN/A7189,0842,687
2007-03-07$43.91$40.0013.9%4.8%17.3%0.0%16.6%3.8%1.3%708.0K-19.3M-109.2K0.2514.50N/AN/A829,0842,689
2007-03-08$44.10$40.0016.7%4.8%17.3%0.0%0.0%4.5%1.2%703.1K-19.9M-108.2K0.2213.33N/AN/A79179,0352,687
2007-03-09$44.35$40.0016.3%4.8%17.4%0.0%16.7%1.1%1.4%688.8K-21.2M-107.6K1.1113.14N/AN/A18209,0772,690
2007-03-12$44.37$40.0018.2%4.6%17.2%0.0%16.1%1.2%1.5%696.4K-20.7M-106.9K0.0013.69N/AN/A2109,0872,710
2007-03-13$43.56$40.0013.9%4.8%18.4%0.0%12.9%3.0%1.0%750.8K-17.3M-106.4K0.0014.51N/AN/A5609,0772,710
2007-03-14$43.65$40.0020.5%4.8%18.0%0.0%16.1%3.1%1.3%724.7K-17.7M-106.5K1.1715.59N/AN/A18219,1232,680
2007-03-15$43.70$40.0016.4%4.7%17.8%0.0%20.4%3.8%1.1%765.1K-18.0M-106.3K0.0013.78N/AN/A1109,1862,707
2007-03-16$43.72$40.0016.3%4.7%15.6%0.0%0.0%3.0%1.5%758.7K-17.6M-106.2K3.406.74N/AN/A10349,1332,689
2007-03-19$44.08$40.0013.8%4.0%15.4%0.0%13.8%0.3%3.0%850.5K-20.8M-102.8K1.2522.20N/AN/A891118,6102,216
2007-03-20$44.03$40.0013.9%4.0%15.3%0.0%17.5%6.5%2.3%834.7K-20.9M-102.4K6.3114.85N/AN/A805058,6362,261
2007-03-21$44.53$40.0014.0%4.0%15.9%0.0%14.0%7.0%1.9%834.1K-22.5M-101.9K1.245.73N/AN/A67838,6262,344
2007-03-22$45.09$40.0013.8%4.0%16.6%0.0%0.0%2.2%2.6%855.3K-24.7M-100.6K0.775.65N/AN/A43338,6632,369
2007-03-23$45.16$40.0013.9%4.0%16.4%0.0%0.0%2.5%2.1%869.3K-25.2M-99.7K0.135.40N/AN/A1528,7042,369
2007-03-26$45.18$40.0014.1%4.1%16.4%0.0%0.0%2.5%2.0%895.2K-25.3M-97.3K39.007.74N/AN/A41568,7032,367
2007-03-27$45.11$40.0013.7%3.9%12.6%0.0%13.7%2.3%2.1%911.0K-25.0M-97.9K0.007.13N/AN/A608,7052,494
2007-03-28$44.83$40.0014.5%4.2%12.8%0.0%0.0%1.8%1.7%899.9K-24.0M-99.4K0.006.90N/AN/A0308,7112,494
2007-03-29$44.93$40.0013.8%3.9%12.7%0.0%29.3%8.5%2.4%921.4K-24.0M-99.8K60.005.66N/AN/A1608,7112,513
2007-03-30$45.19$40.0014.4%4.1%12.8%0.0%0.0%2.5%2.3%911.0K-24.8M-98.0K0.335.78N/AN/A30108,7112,513