CTL Options History — September 2007

In September 2007, CTL traded between $44.65 and $48.14. ATM implied volatility averaged 26.5%, placing in the 79.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 3.7% (HV 20d: 30.2%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 5.13.

Notable Days

  • 2007-09-25: Highest Volume — 486 contracts
  • 2007-09-13: Largest IV drop — 8.6% change
  • 2007-09-05: Highest IV Rank — 96.5%
  • 2007-09-05: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.06$44.65$48.14$48.14$46.22
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV26.5%22.8%29.7%28.4%22.8%
Expected Move7.5%6.5%8.5%8.1%6.5%
HV 20d30.2%16.7%48.9%48.9%16.7%
HV 60d33.1%32.8%33.4%32.9%33.4%
IV Rank79.2%62.4%96.5%89.7%62.4%
IV Percentile87.5%79.6%98.2%95.2%79.6%
Term Structure-0.6%-3.2%1.8%-1.8%1.8%
VWIV25.5%16.4%28.3%28.3%22.8%
Skew 25d0.6%-2.8%3.0%-0.0%-2.6%
Skew 10d2.0%-6.4%16.4%-4.8%-6.4%
Call IV 25d26.6%23.6%29.8%29.5%24.4%
Put IV 25d27.2%20.8%31.5%29.4%21.7%
Bid-Ask Spread %15.209.0524.0511.4411.66
Gamma HHI0.380.300.530.300.33
Net GEX460.9K392.5K626.6K458.1K394.7K
Net DEX-16.2M-21.3M-13.0M-21.3M-16.1M
Net VEX-78.6K-81.8K-73.9K-76.6K-73.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.130.0080.000.170.00
Total Volume97.8951148614414
Total OI9,923.2639,24010,5239,6019,310

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$48.14$45.0028.4%8.1%48.9%89.7%28.3%-0.0%-1.8%458.1K-21.3M-76.6K0.1711.44N/AN/A123217,1192,482
2007-09-05$47.82$45.0029.7%8.5%48.7%96.5%0.0%1.7%-3.2%472.6K-19.9M-80.8K0.039.05N/AN/A3217,2262,493
2007-09-06$47.79$45.0027.8%8.0%42.5%87.1%27.9%0.7%-1.4%480.0K-20.4M-77.7K0.5412.88N/AN/A92507,2502,493
2007-09-07$47.49$45.0029.4%8.0%40.6%87.4%26.6%0.7%-0.5%467.7K-19.6M-79.2K0.3818.00N/AN/A133507,3072,543
2007-09-10$46.52$45.0029.3%8.1%41.7%89.0%28.2%1.0%-2.2%468.8K-17.4M-80.0K0.1124.05N/AN/A5467,4292,557
2007-09-11$46.49$45.0029.4%8.0%32.9%87.6%25.9%2.7%-2.3%470.7K-17.4M-79.9K0.1918.63N/AN/A1637,4722,563
2007-09-12$45.55$45.0028.6%8.0%31.1%86.7%27.8%2.3%-1.5%442.9K-15.0M-79.9K0.1115.27N/AN/A331357,4782,564
2007-09-13$45.00$45.0026.2%7.5%31.1%79.0%0.0%1.8%-0.0%469.0K-14.1M-81.0K5.4218.20N/AN/A12657,7702,584
2007-09-14$44.84$45.0026.5%7.6%31.1%80.5%26.5%2.4%-0.7%462.9K-13.8M-81.8K1.8311.68N/AN/A6117,7702,639
2007-09-17$44.65$45.0027.1%7.8%30.7%83.3%16.4%2.0%-0.5%460.3K-13.2M-80.3K1.4814.65N/AN/A25377,7762,649
2007-09-18$45.42$45.0026.5%7.6%31.2%80.5%26.5%3.0%-1.6%489.4K-14.9M-81.6K1.2916.52N/AN/A17227,8012,664
2007-09-19$45.72$45.0025.7%7.4%31.2%76.6%25.7%1.0%-0.9%503.4K-15.9M-79.3K0.0016.04N/AN/A0427,8102,682
2007-09-20$45.64$45.0026.5%7.6%20.6%80.7%28.2%-0.4%-0.7%514.8K-15.8M-79.4K0.0015.34N/AN/A2607,8032,697
2007-09-21$45.32$45.0024.7%7.1%20.6%71.7%25.3%0.5%0.0%626.6K-15.0M-79.4K0.3516.57N/AN/A51187,8262,697
2007-09-24$44.82$45.0024.4%7.0%18.9%70.4%25.2%1.7%0.5%393.6K-13.0M-76.1K0.4221.04N/AN/A24106,9152,349
2007-09-25$45.45$45.0023.6%6.8%19.9%66.2%23.7%-2.8%0.7%395.3K-14.4M-75.6K80.0014.30N/AN/A64806,8892,351
2007-09-26$46.05$45.0023.7%6.8%18.8%66.8%23.7%-2.1%0.7%392.5K-15.6M-75.6K0.0011.88N/AN/A1106,8852,407
2007-09-27$46.12$45.0022.9%6.6%16.7%62.9%0.0%-2.2%1.3%392.7K-15.9M-74.6K0.0011.64N/AN/A3606,8852,407
2007-09-28$46.22$45.0022.8%6.5%16.7%62.4%22.8%-2.6%1.8%394.7K-16.1M-73.9K0.0011.66N/AN/A1406,9032,407