CTL Options History — May 2007

In May 2007, CTL traded between $45.82 and $49.42. ATM implied volatility averaged 14.1%. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 2.9% (HV 20d: 17.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.50.

Notable Days

  • 2007-05-03: Highest Volume — 1,881 contracts
  • 2007-05-03: Largest IV drop — 47.3% change
  • 2007-05-02: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.27$45.82$49.42$45.82$49.42
Max Pain$49.32$45.00$50.00$45.00$50.00
ATM IV14.1%8.3%19.2%16.8%16.0%
Expected Move4.2%2.9%5.5%4.8%4.6%
HV 20d17.0%7.5%18.7%7.5%17.8%
HV 60d14.3%12.5%15.5%12.5%13.3%
Term Structure0.2%-3.1%1.8%-1.1%-0.5%
VWIV15.2%8.7%20.5%16.7%16.0%
Skew 25d0.1%-4.5%4.5%3.6%-1.1%
Skew 10d0.8%-5.8%6.5%5.2%-1.1%
Call IV 25d15.2%12.5%21.1%13.2%15.5%
Put IV 25d15.3%10.4%20.8%16.8%14.4%
Bid-Ask Spread %12.606.1427.907.148.04
Gamma HHI0.440.390.510.510.43
Net GEX226.7K-58.9K628.3K628.3K-55.9K
Net DEX-23.0M-28.1M-5.9M-22.0M-25.7M
Net VEX-78.8K-87.7K-32.7K-80.3K-74.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.008.060.040.26
Total Volume216.40901,881102197
Total OI10,398.1825,32111,1758,84211,175

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$45.82$45.0016.8%4.8%7.5%0.0%16.7%3.6%-1.1%628.3K-22.0M-80.3K0.047.14N/AN/A9847,0861,756
2007-05-02$46.67$45.0019.2%5.5%9.6%0.0%20.5%-2.3%-3.1%609.6K-23.4M-81.5K0.307.89N/AN/A181557,1611,756
2007-05-03$48.59$45.0010.1%2.9%17.0%0.0%11.8%-2.4%1.8%591.0K-28.1M-68.5K5.2513.63N/AN/A3011,5807,3001,750
2007-05-04$48.64$50.009.9%3.8%16.7%0.0%13.3%3.3%0.5%207.4K-25.5M-76.2K0.0014.72N/AN/A20707,3653,263
2007-05-07$48.77$50.0010.0%3.9%16.7%0.0%0.0%3.7%0.7%234.3K-25.1M-80.9K0.4812.97N/AN/A161777,4093,262
2007-05-08$48.78$50.008.3%4.0%16.7%0.0%13.8%3.5%0.8%215.3K-25.1M-78.7K5.0014.16N/AN/A10507,4023,298
2007-05-09$48.70$50.0011.7%4.1%16.5%0.0%0.0%-2.7%0.6%224.9K-24.8M-80.5K0.136.14N/AN/A77107,4023,266
2007-05-10$47.83$50.0015.8%4.5%18.2%0.0%15.8%0.2%0.2%261.5K-22.5M-85.4K2.1418.52N/AN/A1392977,4443,264
2007-05-11$48.00$50.0011.3%3.2%18.2%0.0%0.0%1.7%1.2%227.6K-22.4M-87.3K8.0614.23N/AN/A312507,5483,497
2007-05-14$48.21$50.0015.2%4.3%18.2%0.0%10.7%1.7%0.8%-58.9K-5.9M-32.7K3.0017.30N/AN/A11332,9482,373
2007-05-15$48.16$50.0011.7%3.4%18.2%0.0%8.7%0.6%1.0%214.4K-22.9M-85.5K0.0016.20N/AN/A3907,5423,453
2007-05-16$48.11$50.0011.8%3.4%18.2%0.0%0.0%0.7%0.9%228.6K-22.4M-87.7K0.0018.00N/AN/A007,5423,453
2007-05-17$48.02$50.0012.1%3.5%18.3%0.0%17.8%0.7%0.6%227.8K-22.5M-84.7K0.0017.13N/AN/A0207,5423,453
2007-05-18$48.11$50.0015.7%4.5%18.2%0.0%15.8%0.5%0.2%253.4K-22.4M-85.4K0.008.65N/AN/A4607,5423,464
2007-05-21$48.16$50.0016.1%4.6%17.9%0.0%16.2%1.7%0.0%218.1K-22.4M-83.8K0.008.66N/AN/A12107,3383,390
2007-05-22$48.73$50.0016.0%4.6%18.0%0.0%15.2%-3.1%0.5%188.4K-24.3M-80.1K0.217.37N/AN/A94207,4593,390
2007-05-23$48.87$50.0016.5%4.7%17.9%0.0%16.5%-3.1%-0.3%194.5K-24.9M-79.8K3.319.00N/AN/A892957,5123,390
2007-05-24$48.35$50.0017.1%4.9%18.4%0.0%0.0%-4.5%-1.2%140.2K-22.9M-81.4K0.0410.16N/AN/A15677,5083,649
2007-05-25$48.54$50.0015.9%4.6%18.4%0.0%15.9%-3.2%0.2%100.5K-22.9M-82.0K0.0027.90N/AN/A1007,4863,644
2007-05-29$48.39$50.0016.4%4.7%18.3%0.0%18.4%4.5%-0.4%132.4K-22.4M-79.4K1.769.64N/AN/A17307,4883,644
2007-05-30$49.15$50.0016.0%4.6%18.7%0.0%16.0%-1.6%-0.1%3.4K-24.3M-78.1K0.009.76N/AN/A4807,4923,654
2007-05-31$49.42$50.0016.0%4.6%17.8%0.0%16.0%-1.1%-0.5%-55.9K-25.7M-74.1K0.268.04N/AN/A156417,5213,654