CTL Options History — August 2007

In August 2007, CTL traded between $41.64 and $48.12. ATM implied volatility averaged 26.9%, placing in the 89.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 14.7% (HV 20d: 41.5%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.69.

Notable Days

  • 2007-08-13: Highest Volume — 3,227 contracts
  • 2007-08-09: Largest IV spike — 137.1% change
  • 2007-08-01: Highest IV Rank — 100.0%
  • 2007-08-30: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.51$41.64$48.12$46.25$47.98
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV26.9%13.5%31.9%24.3%26.7%
Expected Move7.6%5.4%8.7%7.0%7.7%
HV 20d41.5%23.7%51.9%23.7%49.1%
HV 60d27.4%17.5%33.3%17.5%33.0%
IV Rank89.9%60.7%100.0%100.0%81.7%
IV Percentile97.4%91.0%100.0%100.0%91.0%
Term Structure-0.5%-2.2%1.8%-2.0%-0.7%
VWIV27.4%21.0%33.8%24.3%27.2%
Skew 25d2.5%-0.8%5.7%2.5%3.0%
Skew 10d5.9%-6.0%16.7%14.2%13.9%
Call IV 25d25.9%17.9%30.3%25.4%25.9%
Put IV 25d28.4%20.5%33.4%27.9%28.9%
Bid-Ask Spread %26.468.9761.1721.0911.54
Gamma HHI0.420.310.710.390.31
Net GEX425.9K271.0K885.9K398.5K426.2K
Net DEX-15.4M-21.1M-7.7M-16.0M-20.4M
Net VEX-84.4K-101.9K-78.8K-83.6K-79.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.006.001.150.00
Total Volume421.95793,22758107
Total OI9,471.5228,58911,7658,5899,498

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$46.25$45.0024.3%7.0%23.7%100.0%24.3%2.5%-2.0%398.5K-16.0M-83.6K1.1521.09N/AN/A27316,6191,970
2007-08-02$47.28$45.0022.3%6.4%25.3%86.2%21.0%-0.8%-1.5%394.1K-18.8M-79.5K0.1027.13N/AN/A352356,6491,980
2007-08-03$45.76$45.0021.4%6.1%27.3%79.6%21.4%3.1%0.3%410.6K-15.6M-82.9K0.0013.17N/AN/A6106,8382,015
2007-08-06$46.31$45.0026.1%6.4%27.9%86.4%0.0%3.5%-0.4%412.3K-16.4M-82.5K0.3420.19N/AN/A59206,8022,015
2007-08-07$45.65$45.0022.4%6.0%26.0%75.2%0.0%3.8%0.3%403.9K-14.9M-82.7K0.0022.58N/AN/A0206,8151,998
2007-08-08$42.92$45.0013.5%5.4%33.2%60.7%0.0%5.7%1.8%408.3K-10.2M-79.5K1.6911.88N/AN/A801356,8151,990
2007-08-09$41.64$45.0031.9%7.9%33.5%100.0%24.6%2.5%-0.8%350.3K-7.7M-78.8K0.1328.05N/AN/A2,7313516,8182,085
2007-08-10$41.99$45.0024.7%8.3%34.0%100.0%27.7%1.1%-1.2%692.1K-10.7M-93.5K0.078.97N/AN/A195149,3422,233
2007-08-13$45.21$45.0031.6%7.6%44.5%86.3%26.1%3.1%0.1%885.9K-21.1M-101.9K0.1037.66N/AN/A2,9342939,5222,243
2007-08-14$43.64$45.0026.2%7.9%45.9%92.7%29.4%1.4%0.7%713.0K-14.7M-98.7K1.2415.99N/AN/A3173939,1262,451
2007-08-15$43.18$45.0028.7%8.1%45.9%95.1%29.3%4.3%0.8%318.0K-9.2M-87.2K0.3118.79N/AN/A145457,0482,635
2007-08-16$43.54$45.0029.1%8.3%45.7%100.0%33.8%4.1%0.2%307.0K-9.5M-86.9K0.7559.39N/AN/A60456,9832,680
2007-08-17$44.25$45.0030.4%8.7%46.2%100.0%30.4%2.2%-0.5%271.0K-11.0M-87.8K1.0451.46N/AN/A1441507,0032,669
2007-08-20$44.25$45.0028.0%8.0%45.9%88.0%28.3%1.8%0.3%340.6K-12.0M-85.2K0.0431.08N/AN/A12456,5732,464
2007-08-21$44.56$45.0027.7%7.9%46.1%86.4%27.7%1.3%-0.1%346.4K-12.5M-84.2K0.1342.65N/AN/A99136,5132,464
2007-08-22$47.51$45.0028.3%8.1%51.9%89.4%28.7%0.6%-0.9%337.8K-18.6M-83.2K0.4624.48N/AN/A189866,6042,459
2007-08-23$47.13$45.0029.2%8.4%50.6%93.8%0.0%1.6%-0.8%372.6K-18.3M-83.1K6.0030.82N/AN/A2126,7332,462
2007-08-24$48.12$45.0028.8%8.3%50.2%91.9%28.8%1.1%-2.2%367.3K-20.0M-80.1K0.0111.11N/AN/A12416,7332,441
2007-08-27$47.80$45.0027.3%7.8%49.9%84.3%27.8%3.6%-0.9%394.3K-19.9M-79.4K0.009.69N/AN/A14906,8122,442
2007-08-28$46.63$45.0030.2%8.6%50.5%98.7%29.5%2.3%-0.9%413.3K-17.7M-81.7K0.9732.09N/AN/A33326,9462,442
2007-08-29$47.70$45.0028.8%8.3%51.0%91.9%0.0%2.6%-2.1%413.1K-19.4M-80.4K0.0061.17N/AN/A8306,9512,474
2007-08-30$47.45$45.0030.5%8.7%50.5%100.0%0.0%2.3%-2.0%419.6K-19.3M-80.0K0.0017.63N/AN/A097,0162,474
2007-08-31$47.98$45.0026.7%7.7%49.1%81.7%27.2%3.0%-0.7%426.2K-20.4M-79.3K0.0011.54N/AN/A10707,0162,482