CTL Options History — April 2008

In April 2008, CTL traded between $30.88 and $33.75. ATM implied volatility averaged 30.0%, placing in the 72.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.4% (HV 20d: 27.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2008-04-11: Highest Volume — 1,563 contracts
  • 2008-04-10: Largest IV spike — 43.1% change
  • 2008-04-18: Highest IV Rank — 84.2%
  • 2008-04-18: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.11$30.88$33.75$33.75$32.45
Max Pain$30.91$30.00$35.00$35.00$30.00
ATM IV30.0%20.2%35.0%29.8%33.5%
Expected Move9.1%7.2%10.0%8.5%9.6%
HV 20d27.6%25.2%31.3%26.7%28.2%
HV 60d31.7%30.1%36.0%36.0%31.1%
IV Rank72.9%50.7%84.2%66.6%79.2%
IV Percentile87.0%52.0%98.8%82.1%94.8%
Term Structure-1.1%-6.5%4.1%2.1%-6.5%
VWIV31.6%26.9%34.3%27.6%34.3%
Skew 25d1.2%-5.0%7.2%-4.8%-3.4%
Skew 10d3.2%-8.0%16.1%-4.0%1.5%
Call IV 25d30.2%26.4%33.9%28.8%31.9%
Put IV 25d31.5%21.5%37.3%24.0%28.5%
Bid-Ask Spread %13.297.1622.807.1620.68
Gamma HHI0.340.200.580.570.38
Net GEX131.2K1.2K373.8K373.8K134.6K
Net DEX1.5M-234.3K3.8M-226.7K49.8K
Net VEX-38.5K-52.0K-33.1K-52.0K-35.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.500.300.90
Total Volume182.18211,5632699
Total OI10,716.2278,68412,02311,8978,845

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$33.75$35.0029.8%8.5%26.7%66.6%27.6%-4.8%2.1%373.8K-226.7K-52.0K0.307.16N/AN/A2068,1923,705
2008-04-02$33.14$35.0026.6%7.6%27.0%55.9%26.9%-5.0%4.1%318.4K1.3M-47.0K0.008.97N/AN/A46308,2123,705
2008-04-03$33.47$35.0027.7%7.9%27.3%59.5%27.8%-4.5%2.8%369.0K516.2K-48.7K0.007.45N/AN/A508,3513,653
2008-04-04$32.84$35.0020.2%8.5%26.3%66.5%33.5%4.5%0.0%254.7K2.2M-43.7K0.007.50N/AN/A0118,3563,653
2008-04-07$33.22$30.0026.0%8.5%26.7%65.7%0.0%5.7%-0.4%332.6K1.6M-43.7K0.2010.56N/AN/A3068,3563,654
2008-04-08$32.36$30.0020.6%9.6%27.4%79.0%0.0%2.5%-1.2%76.8K3.2M-38.6K0.009.04N/AN/A018,3723,651
2008-04-09$31.73$30.0022.9%9.4%26.8%77.4%0.0%1.8%-0.4%59.1K3.5M-37.5K0.007.54N/AN/A078,3723,651
2008-04-10$31.31$30.0032.9%9.4%26.7%77.0%32.9%0.8%-0.7%26.4K3.8M-33.7K0.249.72N/AN/A50128,3723,621
2008-04-11$31.24$30.0033.1%9.5%26.5%77.9%33.1%-0.7%-1.5%8.3K2.8M-36.1K0.0110.34N/AN/A1,553108,3923,289
2008-04-14$30.91$30.0033.6%9.6%26.4%79.4%33.6%6.7%-1.5%1.2K2.9M-33.9K0.0522.80N/AN/A462238,4893,299
2008-04-15$30.88$30.0033.1%9.5%25.2%77.8%33.1%7.2%-1.3%8.8K2.8M-34.4K0.0022.14N/AN/A2108,0133,301
2008-04-16$31.49$30.0032.3%9.3%26.5%75.2%29.1%4.7%-1.6%22.3K2.4M-33.5K0.0318.94N/AN/A522148,0343,241
2008-04-17$31.00$30.0032.2%9.2%26.1%74.7%33.7%2.3%-1.2%40.6K2.0M-33.1K0.318.46N/AN/A100318,5063,142
2008-04-18$32.50$30.0035.0%10.0%31.3%84.2%32.4%2.8%-3.7%105.3K840.3K-39.0K0.199.43N/AN/A194378,5953,146
2008-04-21$32.44$30.0032.8%9.4%28.5%76.9%32.2%0.3%-1.6%114.4K175.1K-37.1K0.0011.66N/AN/A16205,8412,843
2008-04-22$31.60$30.0032.8%9.4%29.6%76.9%0.0%-1.0%-1.4%85.8K583.3K-37.8K0.0712.65N/AN/A9065,8412,843
2008-04-23$31.71$30.0033.0%9.5%29.3%77.6%0.0%1.2%-1.6%89.9K700.3K-34.5K2.0012.34N/AN/A5106,0062,833
2008-04-24$31.64$30.0032.5%9.3%28.6%75.8%0.0%1.5%-1.4%91.3K638.4K-36.2K0.0019.52N/AN/A1006,0062,843
2008-04-25$31.77$30.0031.7%9.1%28.4%73.2%31.7%-1.0%-1.7%95.6K573.5K-35.8K2.5015.07N/AN/A8206,0062,843
2008-04-28$32.45$30.0032.8%9.4%29.4%77.0%0.0%2.0%-2.4%129.7K73.8K-38.0K0.0022.05N/AN/A0136,0142,832
2008-04-29$32.56$30.0025.1%7.2%28.9%50.7%0.0%3.1%-2.8%146.9K-234.3K-38.2K0.0018.41N/AN/A706,0142,824
2008-04-30$32.45$30.0033.5%9.6%28.2%79.2%34.3%-3.4%-6.5%134.6K49.8K-35.6K0.9020.68N/AN/A52476,0212,824