CTL Options History — October 2007

In October 2007, CTL traded between $44.05 and $46.53. ATM implied volatility averaged 23.6%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.9% (HV 20d: 14.7%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 1.16.

Notable Days

  • 2007-10-18: Highest Volume — 4,401 contracts
  • 2007-10-11: Largest IV spike — 16.6% change
  • 2007-10-19: Highest IV Rank — 74.7%
  • 2007-10-19: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.48$44.05$46.53$46.53$44.05
Max Pain$44.35$40.00$45.00$45.00$45.00
ATM IV23.6%20.5%25.3%22.5%25.2%
Expected Move6.9%6.3%7.3%6.4%7.2%
HV 20d14.7%12.2%17.5%16.3%13.7%
HV 60d32.2%30.4%33.6%33.5%30.5%
IV Rank68.1%57.6%74.7%60.7%74.1%
IV Percentile81.5%75.8%85.1%78.1%84.7%
Term Structure-0.3%-1.5%2.1%1.9%-1.5%
VWIV23.1%13.5%27.3%21.8%27.3%
Skew 25d2.0%-4.5%13.0%0.1%13.0%
Skew 10d2.8%-8.6%19.7%-1.5%19.7%
Call IV 25d21.5%15.3%25.1%21.9%23.3%
Put IV 25d23.5%20.5%36.3%22.1%36.3%
Bid-Ask Spread %14.596.3628.5716.4128.57
Gamma HHI0.320.270.340.330.31
Net GEX405.0K121.8K475.6K390.5K475.6K
Net DEX-15.8M-19.1M-13.2M-17.0M-14.8M
Net VEX-86.5K-108.6K-71.1K-71.1K-102.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.007.430.671.56
Total Volume287.69634,401401274
Total OI10,037.0879,30711,3259,30710,415

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$46.53$45.0022.5%6.4%16.3%60.7%21.8%0.1%1.9%390.5K-17.0M-71.1K0.6716.41N/AN/A2401616,9002,407
2007-10-02$45.74$45.0022.4%6.4%17.1%60.4%13.5%5.3%1.3%402.9K-15.3M-75.7K0.086.93N/AN/A3637,1222,568
2007-10-03$45.56$45.0022.3%6.4%17.0%59.6%22.3%4.2%2.0%406.1K-14.7M-75.3K1.607.59N/AN/A53857,1092,560
2007-10-04$45.96$45.0021.8%6.3%17.5%57.6%0.0%6.0%2.1%388.1K-15.4M-74.8K0.007.84N/AN/A2007,1242,631
2007-10-05$46.10$40.0021.4%6.8%17.5%67.4%0.0%2.1%-1.0%411.5K-15.8M-74.5K3.1315.19N/AN/A23727,1342,576
2007-10-08$45.60$40.0023.0%7.0%16.4%70.6%0.0%1.2%-1.4%410.1K-15.0M-73.1K2.0017.25N/AN/A127,1172,579
2007-10-09$45.34$40.0022.2%6.9%16.4%68.6%24.1%3.3%-1.2%409.7K-13.7M-76.2K5.2816.39N/AN/A18957,1162,581
2007-10-10$45.17$45.0020.5%6.9%14.9%68.3%0.0%2.0%-0.8%401.7K-13.8M-73.6K0.0018.38N/AN/A2207,1232,676
2007-10-11$45.24$45.0023.9%6.8%14.2%67.6%23.9%2.1%-0.4%392.1K-13.7M-74.1K1.4022.03N/AN/A43607,1082,676
2007-10-12$45.55$45.0023.7%6.8%14.3%66.6%0.0%2.9%-0.2%414.7K-14.4M-73.3K0.0017.93N/AN/A1507,1512,676
2007-10-15$45.32$45.0024.3%7.0%14.4%69.7%0.0%2.7%-0.6%411.3K-14.0M-73.6K0.0019.59N/AN/A1007,1562,676
2007-10-16$45.09$45.0024.1%6.9%13.1%69.0%24.1%2.3%-0.7%427.5K-13.2M-72.5K7.4321.08N/AN/A282087,1592,676
2007-10-17$45.75$45.0023.9%6.9%13.9%68.0%23.2%-0.3%-0.4%300.6K-15.0M-72.3K0.1416.37N/AN/A4367,1602,865
2007-10-18$45.80$45.0024.7%7.1%13.9%71.6%23.9%-2.7%-0.1%349.6K-15.2M-71.3K0.0113.44N/AN/A4,341607,1772,870
2007-10-19$45.22$45.0025.3%7.3%14.5%74.7%25.3%-3.5%-0.8%121.8K-17.0M-103.2K0.1116.92N/AN/A377408,4522,873
2007-10-22$45.38$45.0024.1%6.9%13.9%68.7%24.1%5.3%-0.1%455.1K-17.7M-107.9K0.006.70N/AN/A2508,0272,257
2007-10-23$45.78$45.0024.3%7.0%13.4%69.5%24.3%-1.6%-0.1%454.8K-18.2M-108.6K2.0013.76N/AN/A10208,0222,257
2007-10-24$46.15$45.0024.3%7.0%12.8%69.6%24.0%-0.2%-0.4%449.0K-19.1M-108.6K0.0017.02N/AN/A13808,0322,276
2007-10-25$45.58$45.0023.9%6.9%13.6%68.0%0.0%-4.5%-0.3%454.7K-18.4M-107.8K0.0016.43N/AN/A0528,0882,276
2007-10-26$45.33$45.0024.2%6.9%13.6%69.2%19.5%2.5%-1.2%459.9K-17.9M-108.2K0.006.36N/AN/A1508,0882,315
2007-10-29$45.02$45.0024.8%7.1%13.5%72.1%0.0%2.4%-1.2%464.3K-17.1M-106.0K0.006.86N/AN/A308,0882,315
2007-10-30$44.89$45.0025.3%7.3%12.2%74.6%25.3%1.5%-1.3%462.4K-16.7M-105.5K0.136.57N/AN/A1628,0842,315
2007-10-31$44.05$45.0025.2%7.2%13.7%74.1%27.3%13.0%-1.5%475.6K-14.8M-102.9K1.5628.57N/AN/A1071678,1002,315