CTL Options History — July 2008 In July 2008, CTL traded between $34.46 and $37.31. ATM implied volatility averaged 37.1%, placing in the 88.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 15.4% (HV 20d: 52.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 3.01.
Notable Days 2008-07-01 : Highest Volume — 2,896 contracts2008-07-10 : Largest IV spike — 17.0% change2008-07-15 : Highest IV Rank — 100.0%2008-07-30 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $35.76 $34.46 $37.31 $35.93 $37.19 Max Pain $35.45 $35.00 $40.00 $35.00 $35.00 ATM IV 37.1% 30.6% 41.6% 30.6% 35.1% Expected Move 10.8% 8.8% 11.9% 8.8% 10.1% HV 20d 52.5% 19.0% 69.9% 68.5% 19.0% HV 60d 46.4% 42.1% 48.1% 47.6% 42.3% IV Rank 88.7% 63.7% 100.0% 63.7% 72.4% IV Percentile 96.3% 77.8% 100.0% 77.8% 90.9% Term Structure -1.6% -5.9% 4.6% 4.6% -0.9% VWIV 37.0% 30.6% 41.2% 30.6% 35.0% Skew 25d 4.2% -2.3% 11.2% -2.3% 1.4% Skew 10d 11.1% -4.7% 28.5% 0.1% 28.5% Call IV 25d 35.1% 28.3% 38.5% 35.3% 32.5% Put IV 25d 39.3% 33.0% 44.5% 33.0% 33.9% Bid-Ask Spread % 15.45 10.41 22.48 21.61 15.93 Gamma HHI 0.25 0.22 0.32 0.29 0.32 Net GEX 202.4K 158.3K 256.9K 197.6K 207.6K Net DEX -3.2M -7.7M -101.4K -2.8M -4.1M Net VEX -65.7K -76.8K -50.7K -50.7K -74.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.01 0.01 30.44 0.20 0.08 Total Volume 469.091 42 2,896 2,896 384 Total OI 13,221.727 9,867 15,197 12,912 12,134
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-07-01 $35.93 $35.00 30.6% 8.8% 68.5% 63.7% 30.6% -2.3% 4.6% 197.6K -2.8M -50.7K 0.20 21.61 N/A N/A 2,422 474 8,684 4,228 2008-07-02 $34.46 $35.00 33.2% 9.5% 69.9% 74.1% 33.1% 11.2% 3.1% 171.7K -101.4K -54.3K 0.58 14.60 N/A N/A 685 395 9,183 4,607 2008-07-03 $34.47 $35.00 33.4% 9.6% 69.4% 75.0% 33.3% 10.6% 2.4% 188.2K -844.0K -59.7K 1.50 15.41 N/A N/A 34 51 9,744 4,714 2008-07-07 $34.61 $35.00 35.8% 10.6% 69.0% 89.0% 36.0% 2.5% -1.7% 206.2K -1.5M -60.8K 0.33 11.50 N/A N/A 168 55 9,754 4,728 2008-07-08 $35.06 $35.00 33.4% 10.4% 69.2% 87.2% 36.4% 4.7% -1.4% 208.5K -2.1M -60.1K 0.04 13.20 N/A N/A 441 16 9,837 4,780 2008-07-09 $34.59 $35.00 33.0% 10.5% 69.3% 88.3% 0.0% 3.0% -1.2% 186.3K -1.7M -64.8K 1.88 14.58 N/A N/A 16 30 10,112 4,747 2008-07-10 $35.04 $35.00 38.6% 11.1% 68.6% 95.7% 38.6% 5.3% -2.4% 208.0K -2.7M -64.8K 0.66 12.19 N/A N/A 94 62 10,107 4,747 2008-07-11 $34.55 $35.00 37.4% 10.7% 64.0% 91.1% 37.4% 4.2% -1.6% 188.9K -1.6M -61.5K 0.79 16.83 N/A N/A 43 34 10,170 4,752 2008-07-14 $34.76 $35.00 38.5% 11.0% 64.0% 95.3% 0.0% 3.5% -2.4% 205.6K -2.3M -63.1K 1.31 14.43 N/A N/A 54 71 10,213 4,760 2008-07-15 $35.47 $35.00 40.5% 11.6% 64.2% 100.0% 40.2% 3.1% -3.8% 203.7K -4.3M -66.3K 0.87 15.59 N/A N/A 79 69 10,179 4,831 2008-07-16 $35.85 $35.00 39.8% 11.4% 64.0% 97.4% 39.0% 5.0% -3.1% 210.5K -5.4M -66.1K 0.14 15.74 N/A N/A 194 28 10,220 4,874 2008-07-17 $35.99 $35.00 39.0% 11.2% 63.6% 94.1% 38.9% 4.1% -2.5% 207.6K -6.8M -63.6K 0.91 12.96 N/A N/A 150 136 10,240 4,875 2008-07-18 $36.41 $35.00 38.2% 11.0% 63.6% 91.3% 38.1% 4.0% -2.3% 217.7K -7.7M -66.4K 4.35 15.74 N/A N/A 34 148 10,245 4,952 2008-07-21 $36.64 $35.00 38.4% 11.0% 62.1% 91.9% 35.7% 4.2% -1.2% 216.6K -4.4M -66.9K 0.01 15.42 N/A N/A 281 3 7,351 2,516 2008-07-22 $37.14 $35.00 36.4% 10.4% 62.1% 84.0% 35.9% 3.2% -0.7% 256.9K -5.1M -67.6K 5.00 15.50 N/A N/A 50 250 7,530 2,516 2008-07-23 $37.31 $35.00 37.9% 10.9% 23.2% 90.1% 35.0% 2.9% -0.8% 248.3K -5.1M -68.0K 1.23 22.48 N/A N/A 297 366 7,542 2,699 2008-07-24 $36.47 $40.00 38.0% 10.9% 24.1% 90.6% 37.9% 4.5% -1.9% 207.3K -3.5M -66.9K 14.58 18.14 N/A N/A 52 758 7,640 2,925 2008-07-25 $36.06 $40.00 37.4% 10.7% 24.4% 86.2% 37.3% 7.2% -2.2% 158.3K -1.5M -72.5K 0.23 18.10 N/A N/A 552 126 7,722 3,601 2008-07-28 $35.71 $35.00 41.2% 11.8% 23.8% 100.0% 41.2% 6.0% -4.3% 207.0K -2.0M -73.0K 30.44 18.82 N/A N/A 18 548 8,171 3,645 2008-07-29 $36.26 $35.00 39.9% 11.4% 24.4% 94.5% 39.0% -1.8% -4.4% 162.4K -2.3M -76.2K 0.40 10.41 N/A N/A 30 12 8,182 4,116 2008-07-30 $36.84 $35.00 41.6% 11.9% 24.8% 100.0% 41.2% 4.9% -5.9% 188.2K -3.3M -76.8K 0.58 10.64 N/A N/A 385 225 8,191 4,114 2008-07-31 $37.19 $35.00 35.1% 10.1% 19.0% 72.4% 35.0% 1.4% -0.9% 207.6K -4.1M -74.8K 0.08 15.93 N/A N/A 355 29 8,097 4,037
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