CTL Options History — December 2007

In December 2007, CTL traded between $40.30 and $42.42. ATM implied volatility averaged 21.7%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 6.8% (HV 20d: 28.5%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 8.12.

Notable Days

  • 2007-12-26: Highest Volume — 593 contracts
  • 2007-12-13: Largest IV spike — 23.8% change
  • 2007-12-03: Highest IV Rank — 75.1%
  • 2007-12-03: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.52$40.30$42.42$42.05$41.46
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV21.7%18.2%25.4%25.4%21.2%
Expected Move6.3%5.2%7.3%7.3%6.1%
HV 20d28.5%20.0%32.7%32.2%20.0%
HV 60d22.5%22.1%23.1%22.3%22.9%
IV Rank58.5%40.1%75.1%75.1%54.4%
IV Percentile64.1%52.4%83.5%83.5%60.0%
Term Structure2.9%1.2%5.4%1.8%3.1%
VWIV22.0%16.0%25.4%25.3%21.3%
Skew 25d-1.7%-5.3%3.8%0.3%-3.3%
Skew 10d-2.5%-8.8%3.5%-0.0%-2.5%
Call IV 25d23.2%20.9%26.7%25.0%24.2%
Put IV 25d21.5%17.9%25.3%25.3%20.9%
Bid-Ask Spread %18.469.0240.7813.6116.16
Gamma HHI0.360.320.480.320.37
Net GEX661.9K607.1K755.4K607.1K667.2K
Net DEX-10.8M-13.1M-7.3M-12.2M-9.9M
Net VEX-80.3K-90.7K-73.3K-90.7K-76.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.120.00125.000.000.69
Total Volume10625933349
Total OI10,705.5510,48110,96910,59810,828

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$42.05$40.0025.4%7.3%32.2%75.1%25.3%0.3%1.8%607.1K-12.2M-90.7K0.0013.61N/AN/A3308,6061,992
2007-12-04$41.62$40.0023.7%6.8%31.7%67.0%16.0%-3.6%1.2%616.0K-11.5M-86.2K0.3712.99N/AN/A81308,6081,960
2007-12-05$42.42$40.0022.9%6.6%32.7%63.1%24.9%3.8%4.0%627.6K-13.1M-88.4K1.0018.00N/AN/A10108,6431,957
2007-12-06$42.09$40.0021.2%6.1%31.0%54.3%23.4%-0.5%5.4%634.7K-12.2M-87.2K1.6018.43N/AN/A50808,6401,957
2007-12-07$41.64$40.0021.2%6.7%31.2%64.8%18.0%-0.5%2.5%638.5K-11.5M-85.4K0.009.02N/AN/A0108,6901,981
2007-12-10$41.82$40.0023.9%6.5%30.4%62.1%0.0%0.5%2.5%655.6K-11.8M-82.6K0.0010.74N/AN/A01628,6901,971
2007-12-11$41.14$40.0022.9%6.6%30.6%63.0%0.0%-1.7%2.4%648.7K-9.9M-81.7K0.0012.82N/AN/A208,6901,981
2007-12-12$41.66$40.0018.2%6.6%30.9%63.0%21.1%1.0%2.4%655.8K-11.0M-81.4K9.0012.57N/AN/A141268,6881,968
2007-12-13$42.15$40.0022.6%6.5%28.9%61.1%22.2%0.2%2.4%659.6K-12.3M-81.3K0.1226.94N/AN/A100128,6941,985
2007-12-14$41.71$40.0022.1%6.3%29.2%59.1%0.0%0.1%3.3%673.2K-11.8M-81.4K0.9911.23N/AN/A1211208,7541,991
2007-12-17$40.82$40.0022.9%6.6%29.9%62.6%24.9%-3.1%2.4%673.8K-9.3M-79.7K0.1029.24N/AN/A1018,8582,111
2007-12-18$40.91$40.0023.4%6.7%29.7%65.4%23.4%-1.8%2.1%675.6K-9.5M-77.0K2.0011.66N/AN/A128,8482,018
2007-12-19$40.42$40.0023.0%6.6%29.0%63.2%25.4%-5.2%1.7%696.6K-8.0M-73.5K0.4040.53N/AN/A100408,8482,018
2007-12-20$40.30$40.0020.9%6.0%28.3%52.9%20.9%-4.5%3.3%755.4K-7.3M-73.3K1.2814.91N/AN/A25328,8692,018
2007-12-21$41.29$40.0021.2%6.1%28.3%54.3%22.4%-1.6%3.6%686.1K-10.7M-75.0K0.3840.78N/AN/A80308,8542,000
2007-12-24$41.71$40.0019.2%5.5%26.5%44.5%19.0%-2.9%4.6%677.2K-11.4M-74.7K1.0016.77N/AN/A10108,5751,906
2007-12-26$42.07$40.0020.6%5.9%26.6%51.4%23.8%-5.3%1.9%669.0K-12.3M-75.3K2.2614.33N/AN/A1824118,5751,916
2007-12-27$41.62$40.0018.3%5.2%21.9%40.1%23.2%-3.7%4.5%648.5K-11.1M-76.6K0.0021.96N/AN/A5008,5422,160
2007-12-28$41.44$40.0019.8%5.7%20.7%47.7%19.2%-2.8%2.8%672.7K-10.3M-77.0K125.0016.48N/AN/A11258,5622,159
2007-12-31$41.46$40.0021.2%6.1%20.0%54.4%21.3%-3.3%3.1%667.2K-9.9M-76.8K0.6916.16N/AN/A29208,5622,266