CTL Options History — June 2008

In June 2008, CTL traded between $31.04 and $36.78. ATM implied volatility averaged 29.9%, placing in the 62.0% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 5.3% (HV 20d: 35.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2008-06-24: Highest Volume — 3,481 contracts
  • 2008-06-12: Largest IV spike — 22.4% change
  • 2008-06-24: Highest IV Rank — 89.6%
  • 2008-06-24: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.40$31.04$36.78$35.40$35.59
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV29.9%25.2%37.0%25.2%30.0%
Expected Move8.6%7.2%10.6%7.2%8.6%
HV 20d35.2%15.8%68.6%15.9%68.4%
HV 60d36.4%31.3%47.8%31.5%47.6%
IV Rank62.0%42.1%89.6%42.1%61.5%
IV Percentile75.2%45.6%99.2%45.6%73.8%
Term Structure1.3%-2.8%11.9%1.3%11.9%
VWIV30.2%24.1%37.2%25.2%24.1%
Skew 25d2.5%-3.8%13.1%3.8%13.1%
Skew 10d6.1%-4.2%21.6%4.6%12.5%
Call IV 25d28.9%19.6%37.4%19.6%28.7%
Put IV 25d31.5%23.4%41.7%23.4%41.7%
Bid-Ask Spread %14.255.4724.517.135.47
Gamma HHI0.290.230.370.290.34
Net GEX199.2K71.6K356.5K206.2K225.3K
Net DEX-1.8M-6.5M1.7M-2.5M-2.4M
Net VEX-44.3K-60.2K-32.8K-45.3K-49.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.002.710.240.43
Total Volume406.667213,48151179
Total OI11,491.85710,09712,98610,09712,986

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$35.40$35.0025.2%7.2%15.9%42.1%25.2%3.8%1.3%206.2K-2.5M-45.3K0.247.13N/AN/A41106,5503,547
2008-06-03$35.61$35.0026.2%7.5%15.8%46.3%26.2%3.3%1.0%212.5K-2.9M-45.3K2.716.90N/AN/A14386,5703,557
2008-06-04$35.97$35.0026.6%7.6%15.9%47.6%34.1%5.5%0.9%221.4K-3.7M-47.5K1.148.13N/AN/A14166,5723,586
2008-06-05$36.77$35.0025.4%7.3%17.0%43.0%25.6%-3.8%2.3%237.6K-5.1M-49.1K0.1017.37N/AN/A1,0461046,5693,602
2008-06-06$35.92$35.0026.6%8.1%18.8%53.8%28.1%2.2%1.4%297.7K-4.2M-49.9K2.5016.70N/AN/A401007,5233,642
2008-06-09$35.83$35.0027.7%8.3%18.1%57.7%28.7%3.5%0.9%308.4K-4.1M-48.9K0.0617.52N/AN/A8557,5003,542
2008-06-10$35.65$35.0027.2%8.1%18.2%54.1%0.0%2.3%1.6%295.0K-3.5M-45.7K0.0016.86N/AN/A5307,4933,545
2008-06-11$34.56$35.0027.4%8.2%21.3%55.5%0.0%3.1%1.6%248.3K-1.4M-42.4K0.0217.62N/AN/A521107,5463,545
2008-06-12$32.30$35.0033.6%9.6%31.2%75.7%32.5%2.8%-2.8%90.5K1.7M-36.3K0.3816.13N/AN/A176668,0623,545
2008-06-13$32.51$35.0028.0%8.0%31.4%53.1%30.3%3.6%0.8%108.3K903.2K-38.4K1.9317.49N/AN/A30588,2273,444
2008-06-16$32.81$35.0028.8%8.3%31.8%56.6%28.9%3.1%1.4%132.0K477.2K-39.4K0.2416.49N/AN/A250608,2273,460
2008-06-17$32.43$35.0030.8%8.8%31.9%64.7%30.5%2.6%2.5%115.1K754.3K-38.5K0.319.67N/AN/A32108,4423,468
2008-06-18$31.97$35.0031.3%9.0%31.8%66.5%28.5%2.5%1.9%89.5K1.2M-34.9K0.0024.51N/AN/A14708,4713,455
2008-06-19$32.01$35.0031.0%8.9%31.7%65.2%30.3%1.9%1.6%88.2K1.3M-34.6K0.0119.01N/AN/A9218,5373,455
2008-06-20$31.04$35.0031.4%9.0%33.0%66.8%29.5%5.7%1.5%71.6K1.6M-35.0K0.0123.25N/AN/A26028,5943,422
2008-06-23$31.25$35.0031.9%9.1%33.2%68.8%31.8%0.7%2.3%82.1K731.5K-32.8K0.0015.27N/AN/A2107,8623,129
2008-06-24$36.78$35.0037.0%10.6%68.4%89.6%37.2%-0.6%-2.5%356.5K-6.5M-54.4K0.359.21N/AN/A2,5709117,8833,129
2008-06-25$36.29$35.0035.3%10.1%68.6%82.5%35.3%0.3%-1.8%348.2K-5.8M-60.2K1.369.44N/AN/A5337239,0673,763
2008-06-26$36.14$35.0033.6%9.6%68.3%76.0%33.0%-1.3%-2.0%250.6K-3.4M-53.1K1.1811.18N/AN/A55658,7014,205
2008-06-27$35.49$35.0033.3%9.5%68.4%74.4%33.2%-0.8%0.8%197.9K-1.8M-49.9K1.2413.85N/AN/A901128,7014,205
2008-06-30$35.59$35.0030.0%8.6%68.4%61.5%24.1%13.1%11.9%225.3K-2.4M-49.5K0.435.47N/AN/A125548,7654,221