CTL Options History — June 2007

In June 2007, CTL traded between $47.82 and $49.50. ATM implied volatility averaged 16.4%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.0% (HV 20d: 14.5%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 9.08.

Notable Days

  • 2007-06-13: Highest Volume — 1,330 contracts
  • 2007-06-08: Largest IV spike — 39.6% change
  • 2007-06-28: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.89$47.82$49.50$49.45$49.05
Max Pain$46.43$45.00$50.00$50.00$50.00
ATM IV16.4%11.7%18.6%15.7%17.9%
Expected Move4.8%4.3%5.3%4.5%5.1%
HV 20d14.5%11.0%16.3%11.1%15.7%
HV 60d14.1%13.0%14.7%13.1%14.7%
Term Structure0.5%-0.4%1.7%0.1%0.3%
VWIV16.4%9.4%18.6%15.7%18.6%
Skew 25d4.2%-0.7%5.7%-0.7%4.6%
Skew 10d7.1%-0.7%9.2%-0.7%6.8%
Call IV 25d15.2%12.7%17.9%15.3%17.6%
Put IV 25d19.4%14.7%22.8%14.7%22.2%
Bid-Ask Spread %12.844.9116.917.4014.57
Gamma HHI0.400.330.630.440.40
Net GEX84.2K-103.6K454.7K-76.0K-86.0K
Net DEX-24.8M-26.9M-20.6M-26.0M-24.3M
Net VEX-86.3K-94.3K-74.0K-74.0K-92.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.080.00119.910.092.22
Total Volume294.048201,33027829
Total OI11,998.23811,26312,61811,26312,616

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$49.45$50.0015.7%4.5%11.1%0.0%15.7%-0.7%0.1%-76.0K-26.0M-74.0K0.097.40N/AN/A254247,5753,688
2007-06-04$49.46$45.0016.8%4.8%11.1%0.0%0.0%5.7%0.1%-94.0K-26.0M-75.2K0.2216.91N/AN/A2767,6993,695
2007-06-05$49.45$45.0017.1%4.7%11.0%0.0%9.4%5.6%0.7%-103.6K-26.0M-75.5K0.1716.70N/AN/A75137,7173,696
2007-06-06$48.89$45.0017.1%4.6%11.8%0.0%0.0%3.8%0.6%3.6K-23.9M-78.5K1.2916.90N/AN/A73947,7903,704
2007-06-07$47.82$45.0011.7%4.7%14.2%0.0%16.6%0.5%0.5%360.9K-20.6M-80.7K20.2514.72N/AN/A204057,8633,786
2007-06-08$48.29$45.0016.4%4.9%13.2%0.0%18.1%4.4%0.7%218.9K-22.0M-86.5K0.499.79N/AN/A5292597,8653,663
2007-06-11$48.65$45.0018.0%4.8%13.4%0.0%0.0%4.7%0.3%104.1K-24.2M-87.6K0.8413.68N/AN/A25218,3013,839
2007-06-12$48.11$45.0012.0%4.7%13.9%0.0%16.6%3.5%0.8%454.7K-22.8M-87.7K9.0010.46N/AN/A2188,3033,719
2007-06-13$48.77$45.0014.2%4.6%14.8%0.0%16.2%4.8%1.3%317.0K-23.9M-87.0K119.9110.62N/AN/A111,3198,3033,737
2007-06-14$49.50$45.0017.6%5.0%15.6%0.0%17.6%5.6%-0.4%40.2K-26.7M-86.2K0.1114.07N/AN/A349408,2983,969
2007-06-15$49.07$45.0016.9%4.9%15.9%0.0%16.9%5.1%0.2%238.5K-26.9M-89.3K1.6514.45N/AN/A3716118,6193,999
2007-06-18$49.21$45.0016.8%4.8%16.0%0.0%16.8%4.9%0.8%120.5K-26.7M-86.3K0.004.91N/AN/A2508,1433,688
2007-06-19$49.11$45.0016.2%4.6%16.0%0.0%16.2%4.4%1.7%101.5K-26.1M-86.6K0.076.36N/AN/A230178,1163,688
2007-06-20$48.66$45.0016.4%4.7%15.9%0.0%16.4%3.6%0.5%145.4K-25.4M-90.5K16.2315.04N/AN/A132118,2883,695
2007-06-21$48.55$45.0015.2%4.3%15.8%0.0%15.1%3.6%1.5%53.3K-24.3M-89.7K0.0015.05N/AN/A02008,2883,885
2007-06-22$48.80$45.0017.0%4.9%15.5%0.0%16.9%5.0%0.5%125.1K-25.6M-90.6K7.098.77N/AN/A654618,2883,714
2007-06-25$49.21$50.0018.2%5.2%15.7%0.0%0.0%5.6%-0.2%-52.0K-25.7M-90.8K0.2613.50N/AN/A38108,3114,100
2007-06-26$48.58$50.0018.4%5.3%16.3%0.0%18.4%2.9%-0.3%24.4K-23.5M-94.3K0.0014.75N/AN/A5108,3234,096
2007-06-27$48.89$50.0016.9%4.8%15.5%0.0%16.9%4.5%1.3%-57.3K-24.3M-93.0K0.0016.42N/AN/A3508,3544,096
2007-06-28$49.26$50.0018.6%5.3%15.6%0.0%18.6%5.5%-0.4%-71.9K-25.9M-89.9K1.7714.51N/AN/A881568,3504,096
2007-06-29$49.05$50.0017.9%5.1%15.7%0.0%0.0%4.6%0.3%-86.0K-24.3M-92.6K2.2214.57N/AN/A9208,4104,206