CTL Options History — September 2008

In September 2008, CTL traded between $36.65 and $40.15. ATM implied volatility averaged 29.5%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 0.5% (HV 20d: 30.1%). 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 13 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2008-09-04: Highest Volume — 25,760 contracts
  • 2008-09-29: Largest IV spike — 42.8% change
  • 2008-09-29: Highest IV Rank — 100.0%
  • 2008-09-29: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.49$36.65$40.15$39.03$36.65
Max Pain$39.29$35.00$40.00$35.00$40.00
ATM IV29.5%23.7%41.9%25.0%35.0%
Expected Move8.6%6.8%12.0%7.2%10.0%
HV 20d30.1%20.8%39.2%23.7%39.1%
HV 60d36.4%27.6%43.5%43.4%29.2%
IV Rank49.6%23.2%100.0%28.7%70.9%
IV Percentile57.6%14.3%100.0%26.2%89.7%
Term Structure0.1%-3.4%3.1%0.6%-3.4%
VWIV30.8%23.7%67.0%25.0%31.3%
Skew 25d4.7%0.1%15.3%4.5%15.3%
Skew 10d6.6%-1.7%15.7%8.5%12.5%
Call IV 25d27.7%19.6%37.0%24.6%19.6%
Put IV 25d32.4%29.1%40.9%29.1%35.0%
Bid-Ask Spread %23.6510.0680.3916.1911.65
Gamma HHI0.350.270.400.390.32
Net GEX264.3K99.6K399.6K276.9K137.7K
Net DEX-3.4M-6.8M-429.9K-5.7M-470.9K
Net VEX-63.2K-68.6K-54.8K-67.8K-55.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.004.980.390.82
Total Volume1,349.3331225,76015340
Total OI10,961.61910,22511,82611,69510,566

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$39.03$35.0025.0%7.2%23.7%28.7%25.0%4.5%0.6%276.9K-5.7M-67.8K0.3916.19N/AN/A110437,8323,863
2008-09-03$39.61$35.0023.7%6.8%23.3%23.2%23.7%10.2%2.8%304.9K-6.8M-68.6K0.5912.09N/AN/A131777,8893,886
2008-09-04$39.54$35.0025.9%7.4%20.8%32.6%67.0%9.8%1.3%306.2K-6.4M-68.5K0.0010.06N/AN/A25,677837,8873,939
2008-09-05$38.39$40.0025.9%8.0%22.9%41.0%27.8%3.4%0.5%205.7K-2.4M-65.9K0.5415.98N/AN/A56306,9273,935
2008-09-08$40.15$40.0024.1%7.5%27.6%34.6%26.3%3.9%1.4%347.3K-5.2M-66.8K0.4518.61N/AN/A2361066,9773,885
2008-09-09$39.59$40.0028.5%8.4%27.0%47.1%29.3%2.5%-0.3%335.8K-5.3M-67.9K0.2921.77N/AN/A95287,0773,909
2008-09-10$39.64$40.0025.6%7.9%26.6%39.3%27.4%3.3%0.6%373.6K-5.4M-67.5K0.0018.83N/AN/A2807,1223,909
2008-09-11$39.69$40.0027.3%7.8%25.7%38.8%27.3%2.7%1.0%397.0K-5.3M-67.3K0.5021.71N/AN/A847,1323,909
2008-09-12$39.96$40.0027.7%7.9%25.7%40.3%27.7%4.1%0.5%399.6K-5.8M-66.5K4.9816.85N/AN/A472347,1403,906
2008-09-15$38.88$40.0030.4%8.7%27.4%51.9%30.4%0.1%-1.5%317.4K-3.6M-67.2K0.5221.98N/AN/A23127,1714,060
2008-09-16$38.56$40.0032.2%9.2%26.9%59.9%32.9%2.1%-3.2%262.2K-2.6M-62.7K2.0519.18N/AN/A21437,1544,010
2008-09-17$36.81$40.0035.7%10.2%31.3%74.8%34.5%0.3%-1.8%99.6K-429.9K-58.6K0.0930.10N/AN/A149147,1663,955
2008-09-18$38.03$40.0030.0%8.6%33.4%50.2%31.0%3.9%-0.1%211.0K-1.6M-62.7K0.8660.98N/AN/A22197,2263,948
2008-09-19$38.32$40.0027.3%7.8%33.5%38.8%28.1%5.5%0.9%264.7K-2.5M-59.7K1.2729.55N/AN/A1131437,2443,895
2008-09-22$37.11$40.0031.4%9.0%35.1%56.2%24.8%5.8%1.2%139.7K-710.4K-54.8K0.0314.99N/AN/A296106,8343,391
2008-09-23$36.93$40.0033.7%9.7%34.8%66.3%30.0%3.2%-1.0%166.3K-1.1M-58.4K0.5715.89N/AN/A141807,0913,365
2008-09-24$37.15$40.0031.5%9.0%34.9%56.7%32.3%3.5%3.1%175.6K-1.2M-56.4K0.1013.69N/AN/A115117,0733,335
2008-09-25$38.45$40.0028.1%8.1%36.5%42.3%28.1%4.3%0.9%310.2K-3.6M-62.0K0.0015.19N/AN/A2007,1773,335
2008-09-26$38.74$40.0029.3%8.4%36.2%47.5%0.0%6.0%0.3%321.7K-4.0M-62.1K0.6530.95N/AN/A26177,1903,335
2008-09-29$37.13$40.0041.9%12.0%39.2%100.0%0.0%3.9%-2.7%198.1K-2.1M-60.6K1.3380.39N/AN/A12167,2013,348
2008-09-30$36.65$40.0035.0%10.0%39.1%70.9%31.3%15.3%-3.4%137.7K-470.9K-55.1K0.8211.65N/AN/A22187,2023,364