CTL Options History — February 2008

In February 2008, CTL traded between $35.54 and $39.57. ATM implied volatility averaged 32.8%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.4% (HV 20d: 33.2%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 2.42.

Notable Days

  • 2008-02-13: Highest Volume — 1,251 contracts
  • 2008-02-14: Largest IV drop — 40.5% change
  • 2008-02-01: Highest IV Rank — 79.3%
  • 2008-02-01: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.92$35.54$39.57$37.04$36.19
Max Pain$35.25$35.00$40.00$40.00$35.00
ATM IV32.8%25.7%44.7%33.5%29.8%
Expected Move8.5%7.4%9.6%9.6%8.6%
HV 20d33.2%24.0%42.9%42.9%38.1%
HV 60d33.3%31.7%35.0%32.5%34.6%
IV Rank66.4%52.6%79.3%79.3%66.9%
IV Percentile88.0%71.8%96.0%96.0%88.5%
Term Structure-0.5%-2.7%2.4%-2.7%0.1%
VWIV28.1%16.3%33.2%33.2%29.3%
Skew 25d3.5%-1.1%7.8%0.2%-1.1%
Skew 10d6.6%-3.9%14.8%0.7%-3.9%
Call IV 25d27.0%21.4%33.3%33.3%29.9%
Put IV 25d30.6%27.3%34.4%33.5%28.8%
Bid-Ask Spread %15.8210.1428.5416.2516.20
Gamma HHI0.340.270.430.300.43
Net GEX281.1K220.8K347.7K246.2K318.5K
Net DEX-6.7M-12.2M-3.6M-6.1M-5.6M
Net VEX-67.5K-73.9K-63.3K-69.1K-68.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.420.0014.330.0014.33
Total Volume177.5501,25110946
Total OI10,898.2510,44411,84910,55811,233

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$37.04$40.0033.5%9.6%42.9%79.3%33.2%0.2%-2.7%246.2K-6.1M-69.1K0.0016.25N/AN/A10907,3773,181
2008-02-04$36.88$35.0035.9%9.0%42.6%71.8%28.2%4.0%-2.3%244.9K-5.9M-66.1K0.1617.34N/AN/A1937,3893,181
2008-02-05$35.89$35.0037.9%9.2%40.8%74.7%0.0%4.5%-2.2%226.1K-4.2M-63.3K4.6715.72N/AN/A3147,3953,184
2008-02-06$35.94$35.0034.7%8.9%36.6%70.5%31.0%3.8%-1.2%225.3K-4.4M-64.7K0.1216.00N/AN/A82107,3983,198
2008-02-07$35.54$35.0036.8%8.9%25.0%71.4%0.0%4.8%-1.8%221.8K-3.6M-64.4K0.6715.70N/AN/A2031377,4553,194
2008-02-08$35.80$35.0035.4%8.9%25.1%70.6%0.0%4.9%-2.0%225.9K-4.2M-64.9K0.0015.61N/AN/A007,5713,324
2008-02-11$35.73$35.0041.9%8.6%24.3%67.9%30.1%4.6%-0.8%220.8K-3.9M-63.7K1.0014.77N/AN/A10107,5713,323
2008-02-12$36.31$35.0043.1%8.8%25.0%69.6%27.8%4.7%-1.0%234.8K-5.1M-64.6K0.2217.94N/AN/A2767,5713,323
2008-02-13$36.96$35.0044.7%9.0%24.0%72.3%31.6%4.8%-1.8%248.3K-6.2M-67.1K0.4110.69N/AN/A8863657,5583,313
2008-02-14$38.57$35.0026.6%7.6%27.7%55.7%29.4%6.9%0.4%333.7K-10.8M-70.8K1.4010.14N/AN/A1512128,0433,612
2008-02-15$39.57$35.0027.3%7.8%28.4%58.3%27.3%7.8%0.2%347.7K-12.2M-73.9K1.7028.54N/AN/A50858,0623,787
2008-02-19$37.49$35.0029.3%8.4%34.9%65.0%27.4%2.9%0.7%321.5K-8.7M-68.8K1.6125.71N/AN/A28457,4592,985
2008-02-20$37.34$35.0029.3%8.4%34.5%65.1%27.5%3.7%1.4%314.3K-8.1M-66.4K0.9013.10N/AN/A2071867,4842,989
2008-02-21$36.51$35.0028.9%8.3%35.3%63.7%16.3%0.8%-0.3%322.3K-6.6M-67.7K1.2014.10N/AN/A10127,6313,168
2008-02-22$36.69$35.0028.0%8.0%35.2%60.7%28.1%2.9%2.4%320.1K-6.5M-66.5K11.4020.19N/AN/A202287,6313,176
2008-02-25$37.32$35.0029.9%8.6%34.2%66.9%0.0%4.2%-1.7%322.2K-8.0M-67.0K0.9510.61N/AN/A20197,6313,345
2008-02-26$38.28$35.0025.7%7.4%35.0%52.6%25.7%2.2%0.8%301.7K-9.4M-70.7K2.5512.07N/AN/A511307,6163,364
2008-02-27$36.98$35.0028.1%8.0%37.5%60.8%28.1%1.4%0.8%315.4K-7.4M-70.3K2.5014.12N/AN/A10257,6363,473
2008-02-28$37.45$35.0029.2%8.4%37.4%64.5%0.0%3.0%0.3%309.6K-8.1M-71.3K0.2611.62N/AN/A105277,6463,488
2008-02-29$36.19$35.0029.8%8.6%38.1%66.9%29.3%-1.1%0.1%318.5K-5.6M-68.9K14.3316.20N/AN/A3437,7303,503