CTL Options History — March 2008

In March 2008, CTL traded between $33.05 and $35.82. ATM implied volatility averaged 30.3%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 3.5% (HV 20d: 33.8%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 7.50.

Notable Days

  • 2008-03-07: Highest Volume — 605 contracts
  • 2008-03-10: Largest IV spike — 18.1% change
  • 2008-03-10: Highest IV Rank — 74.0%
  • 2008-03-10: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.14$33.05$35.82$35.82$33.24
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV30.3%28.1%34.3%30.1%29.7%
Expected Move8.7%8.1%9.2%8.6%8.5%
HV 20d33.8%25.9%39.6%38.1%25.9%
HV 60d35.1%34.4%35.9%34.6%35.8%
IV Rank68.2%61.0%74.0%67.7%66.4%
IV Percentile87.7%81.3%93.3%88.9%81.7%
Term Structure1.1%-0.3%3.0%-0.3%3.0%
VWIV30.3%20.0%34.8%20.0%30.7%
Skew 25d5.6%-8.2%19.7%6.7%5.9%
Skew 10d9.8%-6.5%34.5%7.9%10.4%
Call IV 25d26.2%21.7%32.6%21.7%29.8%
Put IV 25d31.8%22.5%42.8%28.4%35.7%
Bid-Ask Spread %12.705.3724.656.1114.07
Gamma HHI0.500.460.560.460.56
Net GEX321.0K267.5K371.4K317.2K316.5K
Net DEX-1.5M-4.5M771.3K-4.5M771.3K
Net VEX-59.5K-64.2K-47.9K-64.2K-47.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.500.0045.000.5035.00
Total Volume135.7506051572
Total OI11,890.4511,23812,41811,23811,829

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$35.82$35.0030.1%8.6%38.1%67.7%0.0%6.7%-0.3%317.2K-4.5M-64.2K0.506.11N/AN/A1057,7303,508
2008-03-04$35.33$35.0028.5%8.2%38.4%62.2%20.0%3.9%-0.1%334.4K-3.6M-62.1K0.296.53N/AN/A42127,7303,513
2008-03-05$35.43$35.0028.1%8.1%37.2%61.0%0.0%19.7%0.6%334.9K-3.7M-63.2K0.605.37N/AN/A2071257,7483,523
2008-03-06$34.45$35.0029.5%8.5%38.5%65.7%0.0%-0.5%0.3%324.2K-2.0M-61.0K0.416.24N/AN/A3801577,9223,581
2008-03-07$34.21$35.0029.0%8.6%38.4%67.1%30.0%10.9%0.6%320.9K-1.8M-62.4K1.1810.17N/AN/A2773288,1913,679
2008-03-10$33.53$35.0034.3%9.2%38.7%74.0%0.0%8.1%-0.1%267.5K-303.7K-62.2K0.009.14N/AN/A01148,3583,961
2008-03-11$34.22$35.0030.5%8.7%39.6%68.3%34.8%9.6%0.9%308.9K-1.5M-63.7K4.2711.47N/AN/A301288,3583,941
2008-03-12$33.71$35.0030.4%8.6%39.2%67.4%30.6%0.4%1.2%311.0K-705.7K-59.6K0.0016.57N/AN/A038,3683,867
2008-03-13$33.83$35.0030.2%8.6%38.5%67.9%0.0%9.8%0.9%316.0K-919.0K-59.6K45.009.49N/AN/A2908,3683,856
2008-03-14$33.33$35.0031.4%9.0%34.4%72.1%31.5%8.2%1.4%282.2K-384.5K-60.7K1.4012.29N/AN/A30428,3683,925
2008-03-17$33.91$35.0031.6%9.0%33.5%72.6%32.2%3.6%0.7%333.1K-1.3M-61.0K0.0016.98N/AN/A11308,3923,927
2008-03-18$34.05$35.0030.5%8.8%28.8%69.2%31.8%9.3%1.2%371.4K-841.9K-60.4K17.0012.71N/AN/A1178,4823,927
2008-03-19$33.34$35.0031.8%9.1%29.4%73.5%31.4%6.2%0.0%278.7K399.6K-58.3K0.0010.60N/AN/A098,4823,936
2008-03-20$33.78$35.0030.1%8.6%29.4%67.7%30.1%8.5%2.4%327.8K-677.0K-58.3K0.6711.91N/AN/A70478,4823,797
2008-03-24$34.90$35.0030.9%8.8%32.1%70.2%30.8%12.6%1.3%359.6K-3.2M-60.8K6.0015.49N/AN/A5308,0043,604
2008-03-25$34.86$35.0030.1%8.6%31.2%67.7%0.0%2.0%1.9%369.7K-3.0M-60.0K0.006.44N/AN/A008,0043,604
2008-03-26$34.22$35.0030.0%8.6%29.7%67.4%0.0%-0.3%1.9%355.6K-1.9M-58.0K0.0023.95N/AN/A0108,0043,604
2008-03-27$33.53$35.0029.5%8.4%28.3%65.6%29.5%-5.2%1.7%317.8K-339.7K-56.0K0.0024.65N/AN/A2008,0043,614
2008-03-28$33.05$35.0030.6%8.8%27.7%69.4%30.7%-8.2%1.7%272.8K537.8K-50.5K0.1423.76N/AN/A298418,0043,614
2008-03-31$33.24$35.0029.7%8.5%25.9%66.4%0.0%5.9%3.0%316.5K771.3K-47.9K35.0014.07N/AN/A2708,1903,639