CTL Options History — July 2007

In July 2007, CTL traded between $45.59 and $49.52. ATM implied volatility averaged 18.4%, placing in the 84.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.2% (HV 20d: 17.2%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 5.41.

Notable Days

  • 2007-07-19: Highest Volume — 1,189 contracts
  • 2007-07-26: Largest IV spike — 55.1% change
  • 2007-07-26: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.08$45.59$49.52$49.12$45.87
Max Pain$47.86$45.00$50.00$50.00$45.00
ATM IV18.4%14.7%23.8%17.9%23.8%
Expected Move5.3%4.2%6.8%5.1%6.8%
HV 20d17.2%12.4%23.4%15.7%23.4%
HV 60d16.4%14.6%18.7%14.6%17.4%
IV Rank84.3%50.4%100.0%92.7%100.0%
IV Percentile81.9%18.7%100.0%95.2%100.0%
Term Structure-0.6%-1.9%0.8%0.6%-1.8%
VWIV18.9%17.8%22.4%18.5%20.1%
Skew 25d2.0%-3.7%6.4%5.9%-3.7%
Skew 10d3.4%-7.3%9.1%8.3%-7.3%
Call IV 25d18.0%13.3%25.7%17.8%25.7%
Put IV 25d20.0%16.8%24.0%23.7%22.0%
Bid-Ask Spread %19.687.9679.3716.2816.25
Gamma HHI0.400.320.510.420.41
Net GEX177.3K-339.6K408.6K-147.1K405.7K
Net DEX-22.1M-25.9M-15.4M-24.9M-15.6M
Net VEX-84.1K-90.3K-75.7K-90.3K-80.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.410.0031.117.402.44
Total Volume186.14321,1898462
Total OI11,114.0488,29112,98112,6178,541

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$49.12$50.0017.9%5.1%15.7%0.0%0.0%5.9%0.6%-147.1K-24.9M-90.3K7.4016.28N/AN/A10748,4194,198
2007-07-03$49.15$50.0017.6%5.0%15.7%0.0%0.0%6.4%0.8%-185.9K-25.0M-89.6K0.0015.33N/AN/A208,4194,272
2007-07-05$49.28$50.0018.6%5.3%15.2%92.7%0.0%-0.4%-1.0%-219.7K-25.9M-86.5K31.1179.37N/AN/A92808,4174,272
2007-07-06$49.52$50.0018.4%5.1%12.7%83.7%0.0%5.7%-0.5%-298.9K-25.9M-89.4K0.3914.08N/AN/A41168,4104,476
2007-07-09$49.37$50.0018.8%5.3%12.4%92.4%0.0%5.4%-1.1%-339.6K-25.7M-87.7K9.4513.94N/AN/A111048,4514,476
2007-07-10$47.77$50.0015.3%5.2%17.1%87.8%0.0%-1.1%-1.0%145.0K-20.0M-90.3K30.8534.37N/AN/A278338,4574,524
2007-07-11$48.14$50.0016.7%5.0%16.9%79.3%18.5%2.2%-0.3%212.0K-22.8M-88.8K1.9211.28N/AN/A13258,4553,965
2007-07-12$48.73$50.0018.1%5.2%16.7%87.3%0.0%3.5%-0.9%40.1K-24.2M-86.2K2.5013.05N/AN/A6158,4643,979
2007-07-13$48.53$50.0016.9%4.8%15.8%74.2%0.0%1.5%0.2%84.1K-23.9M-86.2K1.9044.36N/AN/A10198,4673,987
2007-07-16$48.00$50.0017.5%5.0%16.0%81.6%0.0%1.4%-0.3%297.2K-22.0M-84.9K16.5013.02N/AN/A203308,4673,987
2007-07-17$47.96$50.0017.6%5.0%15.9%81.9%0.0%1.4%-0.3%376.6K-23.8M-87.0K0.0014.56N/AN/A808,4673,638
2007-07-18$48.09$50.0017.5%5.0%16.0%81.1%17.8%2.2%-0.6%344.8K-23.9M-85.5K0.4012.62N/AN/A25108,4723,582
2007-07-19$48.72$45.0017.8%5.1%16.4%84.3%17.8%2.6%0.1%314.5K-25.2M-83.4K1.3114.82N/AN/A5146758,4973,572
2007-07-20$47.98$45.0018.1%5.2%17.3%87.4%18.2%1.5%-0.2%346.6K-23.5M-77.2K0.0013.22N/AN/A7308,2573,277
2007-07-23$48.43$45.0018.3%5.3%17.5%90.0%18.4%1.8%-0.4%353.4K-20.7M-75.8K0.0017.31N/AN/A18806,3891,902
2007-07-24$47.98$45.0014.7%4.2%17.5%50.4%18.4%1.5%-0.0%392.9K-20.3M-75.7K0.0014.14N/AN/A2606,5211,902
2007-07-25$48.27$45.0014.7%4.2%17.1%50.8%0.0%0.9%0.3%392.2K-20.8M-76.5K0.0017.89N/AN/A0106,5141,902
2007-07-26$46.69$45.0022.9%6.6%20.5%100.0%22.4%0.3%-1.4%396.1K-17.7M-79.8K1.1513.18N/AN/A1201386,5141,912
2007-07-27$45.59$45.0022.8%6.5%21.5%99.3%20.1%3.5%-1.9%408.6K-15.4M-82.9K0.397.96N/AN/A90356,5531,908
2007-07-30$46.51$45.0022.5%6.5%23.1%97.4%0.0%0.1%-1.8%404.1K-16.7M-81.2K0.3816.25N/AN/A65256,5701,943
2007-07-31$45.87$45.0023.8%6.8%23.4%100.0%0.0%-3.7%-1.8%405.7K-15.6M-80.5K2.4416.25N/AN/A18446,6041,937