CTL Options History — November 2007

In November 2007, CTL traded between $41.16 and $45.43. ATM implied volatility averaged 24.7%, placing in the 71.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.7% (HV 20d: 22.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2007-11-21: Highest Volume — 874 contracts
  • 2007-11-12: Largest IV spike — 52.4% change
  • 2007-11-12: Highest IV Rank — 88.3%
  • 2007-11-12: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.74$41.16$45.43$44.58$42.63
Max Pain$42.14$40.00$45.00$45.00$40.00
ATM IV24.7%15.9%34.7%23.7%22.8%
Expected Move7.1%6.4%8.1%6.8%6.5%
HV 20d22.0%14.1%32.0%14.1%32.0%
HV 60d21.8%18.6%27.8%27.8%22.2%
IV Rank71.8%59.3%88.3%66.7%62.2%
IV Percentile80.1%66.1%94.0%74.8%66.1%
Term Structure0.8%-1.4%1.8%0.3%1.6%
VWIV25.1%21.1%28.1%23.7%24.0%
Skew 25d2.5%-2.0%8.8%8.8%0.0%
Skew 10d3.8%-2.6%13.8%13.8%2.3%
Call IV 25d22.9%17.9%27.2%21.6%23.3%
Put IV 25d25.3%20.6%30.4%30.4%23.3%
Bid-Ask Spread %15.908.2629.3917.6613.20
Gamma HHI0.330.300.350.320.31
Net GEX504.2K454.4K609.4K454.4K609.4K
Net DEX-12.3M-18.3M-8.6M-16.2M-13.9M
Net VEX-96.2K-105.8K-88.6K-105.4K-92.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.026.000.202.53
Total Volume183.817874206113
Total OI10,64210,36910,85110,58810,595

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$44.58$45.0023.7%6.8%14.1%66.7%23.7%8.8%0.3%454.4K-16.2M-105.4K0.2017.66N/AN/A171358,1432,445
2007-11-02$44.74$45.0022.2%6.4%14.1%59.3%23.1%0.6%0.7%461.8K-16.5M-105.8K4.518.26N/AN/A512308,1922,445
2007-11-05$45.36$45.0022.2%6.6%14.6%64.1%21.1%3.4%0.8%479.6K-18.3M-102.8K0.7615.69N/AN/A66508,2042,296
2007-11-06$45.43$45.0022.1%6.6%14.5%63.2%0.0%3.3%0.8%493.9K-18.2M-102.4K0.5015.87N/AN/A1268,2212,278
2007-11-07$44.02$45.0023.6%6.8%18.3%67.1%23.7%6.7%0.4%496.9K-15.0M-100.8K1.5028.21N/AN/A30458,2222,280
2007-11-08$43.86$45.0020.9%6.7%18.3%64.9%0.0%8.3%0.9%483.3K-14.4M-100.5K0.569.85N/AN/A176998,2502,316
2007-11-09$42.93$45.0015.9%6.8%19.3%66.9%28.1%5.6%1.0%469.6K-11.7M-102.1K0.029.49N/AN/A4318,3252,409
2007-11-12$42.35$45.0024.2%8.1%19.7%88.3%28.1%3.4%-0.3%458.7K-10.8M-98.3K0.6011.12N/AN/A67408,3242,409
2007-11-13$42.59$45.0034.7%6.8%19.9%66.4%27.9%4.0%1.3%471.0K-10.8M-96.8K0.0310.69N/AN/A14048,3272,409
2007-11-14$41.23$40.0030.3%7.4%21.4%78.0%0.0%0.8%1.0%485.9K-8.6M-92.0K0.2328.55N/AN/A1338,4412,390
2007-11-15$41.35$40.0026.2%7.5%21.5%78.8%26.6%1.1%1.0%482.9K-8.7M-91.5K6.0029.39N/AN/A168,4472,358
2007-11-16$41.80$40.0025.5%7.3%22.0%75.8%25.5%3.4%0.2%494.1K-9.1M-90.3K0.6014.69N/AN/A42258,4472,361
2007-11-19$41.32$40.0025.0%7.2%22.0%73.2%0.0%0.3%1.2%487.7K-8.6M-88.6K0.3015.79N/AN/A80248,2512,251
2007-11-20$42.13$40.0024.8%7.1%23.1%72.2%0.0%2.2%1.6%509.1K-10.6M-94.6K0.5514.51N/AN/A60338,2912,263
2007-11-21$41.38$40.0026.0%7.4%23.2%77.9%0.0%-1.7%1.8%490.8K-9.6M-95.3K0.049.44N/AN/A844308,3462,276
2007-11-23$42.42$40.0025.7%7.4%25.3%76.4%23.8%1.3%1.7%523.0K-11.6M-96.0K0.2112.31N/AN/A96208,5502,301
2007-11-26$41.19$40.0027.0%7.7%27.0%83.1%26.5%-2.0%-1.4%531.5K-9.8M-91.0K1.7214.69N/AN/A36628,5952,192
2007-11-27$41.16$40.0026.2%7.5%27.0%79.1%0.0%1.6%-0.0%538.7K-9.4M-89.7K0.8215.68N/AN/A3032478,6012,199
2007-11-28$42.96$40.0024.5%7.0%31.8%70.7%24.4%1.2%1.0%578.7K-14.0M-93.7K0.8312.11N/AN/A1251048,4031,966
2007-11-29$42.06$40.0025.2%7.2%32.0%74.0%25.2%0.2%0.2%587.5K-12.0M-90.7K0.0726.70N/AN/A307208,4651,998
2007-11-30$42.63$40.0022.8%6.5%32.0%62.2%24.0%0.0%1.6%609.4K-13.9M-92.8K2.5313.20N/AN/A32818,6031,992