CTL Options History — May 2008

In May 2008, CTL traded between $34.78 and $35.99. ATM implied volatility averaged 25.9%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 14.8% (HV 20d: 40.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2008-05-01: Highest Volume — 1,032 contracts
  • 2008-05-15: Largest IV spike — 43.9% change
  • 2008-05-01: Highest IV Rank — 62.4%
  • 2008-05-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.45$34.78$35.99$35.93$35.41
Max Pain$34.29$30.00$35.00$30.00$35.00
ATM IV25.9%18.1%28.5%28.5%24.4%
Expected Move7.5%6.9%8.2%8.2%7.0%
HV 20d40.7%16.2%46.1%46.1%16.2%
HV 60d34.7%31.8%37.4%37.3%32.0%
IV Rank49.4%38.1%62.4%62.4%39.1%
IV Percentile53.3%40.1%69.0%69.0%40.5%
Term Structure0.8%-1.7%2.4%-1.7%1.7%
VWIV25.9%21.9%28.1%28.1%24.4%
Skew 25d1.3%-6.8%6.8%6.8%2.5%
Skew 10d1.3%-10.2%7.6%7.2%2.6%
Call IV 25d23.4%16.7%32.8%21.1%19.9%
Put IV 25d24.7%21.5%29.6%27.9%22.4%
Bid-Ask Spread %12.025.4326.597.585.68
Gamma HHI0.310.260.580.370.28
Net GEX221.5K184.7K282.9K279.9K209.3K
Net DEX-3.1M-5.1M-1.7M-4.2M-2.7M
Net VEX-46.9K-52.6K-25.7K-48.2K-46.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.630.550.00
Total Volume203.71421,0321,0329
Total OI9,804.816,38310,5898,88710,093

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$35.93$30.0028.5%8.2%46.1%62.4%28.1%6.8%-1.7%279.9K-4.2M-48.2K0.557.58N/AN/A6653676,0262,861
2008-05-02$35.64$35.0026.8%7.7%45.6%56.4%26.8%-6.8%-0.5%227.6K-3.4M-47.9K0.448.30N/AN/A171766,0973,164
2008-05-05$35.37$30.0028.5%7.9%45.7%57.2%27.5%3.9%-0.1%215.6K-2.8M-45.8K0.5326.59N/AN/A1911016,1773,205
2008-05-06$35.71$30.0027.8%7.6%44.4%53.8%26.4%3.2%0.0%200.8K-3.3M-47.6K0.2218.14N/AN/A5371196,0903,294
2008-05-07$35.32$35.0028.0%7.8%43.8%56.2%27.1%-3.3%-0.1%223.8K-2.9M-50.2K0.0017.27N/AN/A37016,4743,396
2008-05-08$34.96$35.0027.3%7.8%43.7%56.5%27.3%2.3%0.5%251.2K-2.6M-47.9K1.2721.88N/AN/A2192786,7453,396
2008-05-09$35.49$35.0026.6%8.0%43.7%58.0%0.0%2.7%-0.1%259.6K-3.6M-52.6K0.8517.90N/AN/A13116,9363,653
2008-05-12$35.57$35.0028.1%7.7%43.3%55.2%0.0%3.9%0.3%207.9K-3.3M-25.7K0.0023.01N/AN/A1103,3833,000
2008-05-13$35.58$35.0027.3%7.8%43.3%55.0%0.0%-3.1%0.9%282.9K-4.2M-51.4K0.0011.26N/AN/A3006,9353,653
2008-05-14$35.99$35.0018.1%7.5%43.0%51.4%26.0%-1.1%1.2%253.7K-5.1M-50.7K0.0916.61N/AN/A169156,9353,653
2008-05-15$35.99$35.0026.0%7.4%42.3%51.0%26.0%-2.8%1.2%225.5K-5.0M-49.9K2.6312.90N/AN/A19506,8963,663
2008-05-16$35.70$35.0024.9%7.1%39.9%46.6%24.9%5.6%1.0%246.8K-4.6M-49.4K0.876.48N/AN/A92806,9013,683
2008-05-19$35.54$35.0025.3%7.3%40.0%42.6%27.0%-4.0%1.2%202.1K-2.7M-48.7K0.2015.36N/AN/A99206,3233,440
2008-05-20$34.96$35.0024.8%7.1%39.1%40.3%21.9%1.8%1.2%184.7K-1.8M-44.7K0.006.16N/AN/A206,4123,448
2008-05-21$35.11$35.0025.7%7.4%39.1%43.9%0.0%2.6%1.6%187.7K-2.0M-45.0K0.126.29N/AN/A164206,4123,448
2008-05-22$35.11$35.0024.2%6.9%39.1%38.1%24.2%2.4%2.4%199.0K-2.2M-47.6K0.035.43N/AN/A3516,4853,468
2008-05-23$34.78$35.0025.3%7.3%39.4%42.6%25.3%0.9%1.9%188.2K-1.7M-46.5K1.226.79N/AN/A67826,5203,468
2008-05-27$35.03$35.0026.4%7.6%38.9%46.7%26.3%1.5%0.9%194.7K-1.9M-46.0K0.165.93N/AN/A3156,5543,506
2008-05-28$35.27$35.0025.7%7.4%38.9%44.0%25.7%2.8%0.9%199.5K-2.1M-44.7K0.076.48N/AN/A9066,5363,510
2008-05-29$35.96$35.0025.0%7.2%39.2%41.3%25.0%4.8%2.0%211.1K-3.3M-47.1K0.006.47N/AN/A0626,5463,516
2008-05-30$35.41$35.0024.4%7.0%16.2%39.1%24.4%2.5%1.7%209.3K-2.7M-46.8K0.005.68N/AN/A906,5463,547