CTL Options History — April 2007

In April 2007, CTL traded between $45.57 and $46.49. ATM implied volatility averaged 15.8%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 6.9% (HV 20d: 8.8%). 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 7 of 20 days. Put/call ratio averaged 2.13.

Notable Days

  • 2007-04-24: Highest Volume — 267 contracts
  • 2007-04-25: Largest IV spike — 16.6% change
  • 2007-04-20: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.98$45.57$46.49$45.59$46.05
Max Pain$44.00$40.00$45.00$40.00$45.00
ATM IV15.8%13.3%17.4%14.3%17.2%
Expected Move4.6%3.8%5.0%4.1%4.9%
HV 20d8.8%6.5%11.5%11.5%7.8%
HV 60d13.0%12.4%13.4%13.4%12.5%
Term Structure0.2%-1.6%3.3%2.6%-1.6%
VWIV16.2%14.0%17.4%14.0%17.2%
Skew 25d3.6%0.6%5.3%2.5%3.2%
Skew 10d5.6%3.7%7.9%5.5%5.5%
Call IV 25d12.5%11.4%13.3%12.6%13.1%
Put IV 25d16.0%13.4%17.3%15.1%16.3%
Bid-Ask Spread %15.904.8579.367.477.34
Gamma HHI0.610.520.700.680.52
Net GEX783.8K576.4K989.5K904.2K593.5K
Net DEX-26.9M-31.1M-22.2M-27.0M-22.5M
Net VEX-84.5K-92.7K-73.5K-92.7K-78.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0021.250.080.00
Total Volume65.9026752111
Total OI10,488.38,53111,29211,2518,739

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$45.59$40.0014.3%4.1%11.5%0.0%0.0%2.5%2.6%904.2K-27.0M-92.7K0.087.47N/AN/A4848,7282,523
2007-04-03$45.93$40.0013.9%4.0%11.5%0.0%14.0%1.9%3.1%875.3K-27.8M-92.1K0.808.62N/AN/A20168,7302,523
2007-04-04$45.93$40.0014.1%4.1%10.7%0.0%14.1%1.7%2.9%865.8K-28.3M-90.0K0.008.76N/AN/A2908,7332,533
2007-04-05$45.70$40.0013.3%3.8%11.0%0.0%0.0%0.6%3.3%916.0K-27.8M-91.4K0.199.27N/AN/A3268,7302,533
2007-04-09$45.66$45.0014.7%4.8%10.9%0.0%0.0%4.4%-0.2%948.8K-27.4M-91.6K0.004.85N/AN/A6308,7412,539
2007-04-10$45.80$45.0014.3%5.0%10.9%0.0%0.0%4.0%-1.0%973.9K-27.6M-90.8K0.0024.53N/AN/A2008,7362,539
2007-04-11$45.57$45.0014.7%4.9%8.4%0.0%0.0%3.5%-0.7%989.5K-27.3M-87.9K0.0079.36N/AN/A3108,7362,539
2007-04-12$45.79$45.0016.7%4.8%8.4%0.0%0.0%4.4%-0.1%939.3K-27.3M-90.2K0.3524.64N/AN/A1768,7202,539
2007-04-13$45.87$45.0016.2%4.6%8.4%0.0%0.0%3.9%-0.1%945.5K-28.4M-85.9K0.007.75N/AN/A10908,7092,545
2007-04-16$46.04$45.0016.8%4.8%8.4%0.0%0.0%4.4%-0.5%755.4K-29.8M-83.5K10.006.92N/AN/A1108,7432,545
2007-04-17$46.03$45.0016.7%4.8%8.2%0.0%0.0%4.3%-0.3%765.9K-29.8M-83.3K0.008.45N/AN/A008,7432,545
2007-04-18$46.05$45.0016.1%4.6%8.1%0.0%16.1%4.0%0.0%743.2K-30.2M-80.2K0.269.91N/AN/A77208,7432,545
2007-04-19$46.18$45.0017.0%4.9%7.4%0.0%17.0%4.7%-1.0%676.1K-30.4M-82.6K2.669.35N/AN/A611628,7672,525
2007-04-20$46.49$45.0017.4%5.0%6.5%0.0%17.4%5.3%-1.3%762.5K-31.1M-78.1K0.0012.05N/AN/A15708,7992,462
2007-04-23$46.15$45.0015.4%4.4%7.3%0.0%0.0%2.8%0.7%615.4K-23.0M-78.4K0.6744.59N/AN/A15106,9601,571
2007-04-24$45.94$45.0014.8%4.3%7.5%0.0%0.0%1.8%1.2%641.7K-22.2M-81.1K21.2514.32N/AN/A122556,9651,581
2007-04-25$46.34$45.0017.3%5.0%8.0%0.0%17.3%4.2%-1.1%576.4K-23.7M-73.5K0.0010.80N/AN/A0106,9771,714
2007-04-26$46.18$45.0017.1%4.9%7.7%0.0%17.2%4.5%-1.1%593.7K-23.1M-77.9K0.009.26N/AN/A0106,9771,756
2007-04-27$46.28$45.0016.9%4.9%7.7%0.0%0.0%5.2%-0.5%593.6K-22.7M-79.7K0.009.83N/AN/A606,9771,756
2007-04-30$46.05$45.0017.2%4.9%7.8%0.0%0.0%3.2%-1.6%593.5K-22.5M-78.4K0.007.34N/AN/A11106,9831,756