CTL Options History — August 2008

In August 2008, CTL traded between $36.06 and $38.65. ATM implied volatility averaged 28.3%, placing in the 47.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 3.3% (HV 20d: 25.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2008-08-06: Highest Volume — 1,079 contracts
  • 2008-08-13: Largest IV spike — 122.3% change
  • 2008-08-07: Highest IV Rank — 68.1%
  • 2008-08-07: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.62$36.06$38.65$36.22$38.63
Max Pain$35.71$35.00$40.00$35.00$35.00
ATM IV28.3%18.6%46.2%34.1%18.6%
Expected Move8.4%5.3%9.8%9.8%5.3%
HV 20d25.1%21.8%27.1%21.8%23.7%
HV 60d43.5%42.5%43.9%42.6%43.7%
IV Rank47.1%1.2%68.1%67.8%1.2%
IV Percentile57.1%0.4%88.5%88.5%0.4%
Term Structure-0.0%-10.0%5.6%-1.1%2.4%
VWIV31.3%22.0%38.1%34.1%23.1%
Skew 25d4.7%-1.1%10.8%-1.1%2.8%
Skew 10d7.8%-5.4%17.6%-5.4%6.5%
Call IV 25d26.0%20.4%34.1%34.1%22.5%
Put IV 25d30.6%25.3%34.4%33.0%25.3%
Bid-Ask Spread %13.208.3118.7815.9018.78
Gamma HHI0.310.230.380.270.36
Net GEX208.4K136.1K306.6K138.9K237.3K
Net DEX-3.8M-6.3M-1.9M-1.9M-4.8M
Net VEX-67.9K-73.1K-63.6K-69.4K-67.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.034.500.030.15
Total Volume237.143201,079330311
Total OI11,830.23810,42612,80512,10611,502

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$36.22$35.0034.1%9.8%21.8%67.8%34.1%-1.1%-1.1%138.9K-1.9M-69.4K0.0315.90N/AN/A320108,0404,066
2008-08-04$36.06$40.0035.0%9.7%21.9%66.7%0.0%4.0%-0.7%136.1K-2.2M-73.1K0.5614.02N/AN/A1791008,3234,063
2008-08-05$36.80$40.0035.3%9.6%22.5%65.5%34.0%3.9%-1.3%150.1K-2.9M-69.7K0.3918.05N/AN/A61248,0544,080
2008-08-06$37.99$40.0021.2%8.3%24.0%45.8%30.9%5.9%0.2%254.7K-5.4M-72.4K0.1315.04N/AN/A9541258,0564,059
2008-08-07$37.41$35.0028.9%9.8%24.8%68.1%35.3%5.7%-2.3%211.4K-4.0M-69.2K0.0416.00N/AN/A7638,2024,162
2008-08-08$37.54$35.0019.2%8.2%23.9%43.7%32.1%4.6%1.0%217.4K-4.2M-68.6K0.7516.21N/AN/A32248,1584,165
2008-08-11$38.49$35.0023.6%8.3%25.0%45.2%38.1%7.0%0.3%306.6K-6.3M-69.4K0.968.31N/AN/A25248,1904,189
2008-08-12$38.06$35.0020.8%8.1%25.0%42.9%32.3%5.1%0.9%228.4K-5.4M-68.8K0.728.94N/AN/A54398,2134,213
2008-08-13$37.45$35.0046.2%9.7%25.8%67.2%34.3%5.4%-2.8%201.1K-4.0M-66.9K0.8716.79N/AN/A1801578,2324,250
2008-08-14$37.75$35.0028.2%8.1%25.9%42.5%35.5%5.4%1.7%200.0K-5.1M-67.0K0.049.80N/AN/A9448,3984,337
2008-08-15$38.34$35.0026.7%7.7%26.1%36.2%27.0%3.8%0.4%257.3K-6.0M-68.6K0.039.84N/AN/A381128,4644,341
2008-08-18$37.76$35.0026.6%7.6%26.8%35.8%30.9%5.8%1.6%207.6K-3.4M-63.6K0.8011.56N/AN/A3632917,2043,222
2008-08-19$37.15$35.0031.5%9.0%27.1%56.6%31.6%4.5%-0.6%188.6K-2.5M-67.3K0.3310.09N/AN/A3741227,4563,496
2008-08-20$37.37$35.0031.4%9.0%27.1%56.1%31.3%6.0%-0.9%203.9K-2.9M-67.8K2.7810.11N/AN/A691927,5383,496
2008-08-21$37.42$35.0029.7%8.5%25.8%49.1%22.0%6.5%0.3%191.3K-2.7M-67.8K0.3311.71N/AN/A61207,5733,706
2008-08-22$37.93$35.0024.3%7.0%25.7%26.0%27.6%4.3%3.5%212.5K-3.5M-67.0K0.5311.48N/AN/A47257,6143,706
2008-08-25$37.43$35.0030.5%8.7%25.9%52.5%30.5%5.5%-1.2%198.9K-2.8M-65.5K1.0012.15N/AN/A10107,6483,726
2008-08-26$37.39$35.0034.0%9.8%25.5%67.6%34.0%0.5%-10.0%189.0K-2.4M-64.2K0.9515.11N/AN/A42407,6483,736
2008-08-27$38.08$35.0026.8%7.7%25.7%36.6%30.3%10.8%5.6%216.0K-3.7M-65.5K4.5013.07N/AN/A12547,6493,776
2008-08-28$38.65$35.0022.2%6.4%26.0%16.7%0.0%1.5%2.6%229.8K-4.5M-66.4K0.5114.16N/AN/A39207,6543,830
2008-08-29$38.63$35.0018.6%5.3%23.7%1.2%23.1%2.8%2.4%237.3K-4.8M-67.7K0.1518.78N/AN/A271407,6593,843