CTL Options History — January 2008

In January 2008, CTL traded between $33.43 and $41.58. ATM implied volatility averaged 32.0%, placing in the 87.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 3.4% (HV 20d: 35.5%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2008-01-29: Highest Volume — 2,312 contracts
  • 2008-01-09: Largest IV spike — 21.8% change
  • 2008-01-09: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.43$33.43$41.58$40.77$36.82
Max Pain$40.00$35.00$45.00$40.00$40.00
ATM IV32.0%22.1%39.6%22.5%34.4%
Expected Move9.2%6.3%11.4%6.5%9.9%
HV 20d35.5%19.5%42.8%20.3%42.8%
HV 60d29.5%23.0%32.6%23.1%32.6%
IV Rank87.4%58.9%100.0%60.9%82.2%
IV Percentile93.9%60.7%100.0%63.7%98.0%
Term Structure-1.8%-5.2%2.3%2.3%-3.0%
VWIV32.0%22.2%37.0%22.2%32.2%
Skew 25d3.0%-3.7%12.9%3.6%1.7%
Skew 10d4.3%-11.3%20.9%5.1%-0.2%
Call IV 25d30.8%19.1%40.8%19.1%32.6%
Put IV 25d33.8%22.5%43.7%22.7%34.3%
Bid-Ask Spread %17.547.1651.218.1612.23
Gamma HHI0.280.190.520.440.29
Net GEX226.9K18.0K735.0K699.7K237.1K
Net DEX-1.2M-11.7M3.8M-8.1M-5.8M
Net VEX-57.5K-74.4K-47.7K-73.7K-70.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.009.800.330.25
Total Volume406.238102,31220100
Total OI10,673.2868,80513,38110,83110,476

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$40.77$40.0022.5%6.5%20.3%60.9%22.2%3.6%2.3%699.7K-8.1M-73.7K0.338.16N/AN/A1558,5752,256
2008-01-03$40.92$40.0022.1%6.3%20.1%58.9%34.1%3.3%1.7%714.8K-8.7M-72.7K0.008.86N/AN/A0188,5702,151
2008-01-04$40.19$45.0022.3%7.1%19.5%71.6%27.4%3.2%0.3%735.0K-7.2M-71.5K0.0051.21N/AN/A01988,5702,103
2008-01-07$41.58$35.0024.1%7.7%23.3%81.7%26.7%1.7%-0.4%672.2K-11.7M-74.4K0.4026.90N/AN/A30128,5702,117
2008-01-08$39.32$40.0027.7%8.2%30.4%90.8%28.6%11.3%-1.6%656.5K-5.2M-67.5K3.0015.21N/AN/A601808,5872,125
2008-01-09$36.41$40.0033.8%8.9%40.0%100.0%30.6%-3.7%-0.1%173.0K1.2M-48.9K2.3912.66N/AN/A621488,6122,305
2008-01-10$36.60$40.0033.5%9.6%40.0%100.0%32.3%0.6%-2.5%171.1K830.4K-53.1K1.037.16N/AN/A3994118,6122,373
2008-01-11$35.96$40.0033.4%9.6%39.6%99.8%32.6%3.4%-1.8%80.2K1.8M-54.0K1.0117.65N/AN/A2202228,9162,727
2008-01-14$36.05$40.0034.9%10.0%39.2%100.0%35.1%3.8%-2.1%66.6K1.8M-54.6K1.2417.58N/AN/A1732149,1122,840
2008-01-15$35.20$40.0033.8%9.7%39.6%95.6%33.7%1.3%-1.8%26.2K2.5M-52.4K0.1216.96N/AN/A100129,2722,977
2008-01-16$34.99$40.0033.4%9.6%39.3%93.9%0.0%1.0%-1.5%24.9K2.6M-51.5K0.0020.58N/AN/A3509,3722,978
2008-01-17$34.86$40.0034.3%9.8%39.1%97.9%35.5%0.6%-2.6%25.8K2.7M-50.3K5.6821.56N/AN/A2531,4369,3922,949
2008-01-18$34.35$40.0034.4%9.9%39.2%98.1%36.1%-0.5%-2.3%18.0K3.8M-51.9K1.5923.99N/AN/A3104949,5343,847
2008-01-22$33.93$40.0038.8%11.1%39.2%100.0%37.0%3.4%-5.2%27.4K1.7M-52.4K0.2416.55N/AN/A156375,5663,409
2008-01-23$33.48$40.0039.6%11.4%37.2%100.0%26.3%2.9%-5.2%26.7K2.1M-48.9K9.8017.04N/AN/A5495,6713,389
2008-01-24$33.43$40.0033.9%9.7%36.6%80.7%33.8%9.0%-0.9%23.5K2.2M-47.7K0.789.84N/AN/A3722895,6713,406
2008-01-25$34.49$40.0033.0%9.5%39.0%77.4%0.0%12.9%-0.5%52.6K457.0K-50.9K0.6011.63N/AN/A35215,6463,159
2008-01-28$34.72$40.0035.7%10.2%39.4%86.7%35.8%3.0%-3.5%48.7K645.9K-49.9K5.9014.36N/AN/A201185,6533,168
2008-01-29$35.23$40.0033.9%9.7%40.3%80.7%36.3%3.9%-3.9%55.6K183.8K-48.8K0.0022.03N/AN/A2,30575,6553,167
2008-01-30$35.76$40.0033.4%9.6%41.0%78.8%0.0%-3.1%-2.9%229.0K-4.0M-62.6K0.0016.19N/AN/A1007,5003,161
2008-01-31$36.82$40.0034.4%9.9%42.8%82.2%32.2%1.7%-3.0%237.1K-5.8M-70.1K0.2512.23N/AN/A80207,3153,161