CTL Options History — October 2008

In October 2008, CTL traded between $23.96 and $37.67. ATM implied volatility averaged 56.8%, placing in the 83.2% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 7.6% (HV 20d: 64.4%). Max pain ranged from $30.00 to $40.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.33.

Notable Days

  • 2008-10-20: Highest Volume — 2,548 contracts
  • 2008-10-06: Largest IV spike — 72.8% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-27: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.95$23.96$37.67$37.67$25.11
Max Pain$35.65$30.00$40.00$40.00$30.00
ATM IV56.8%30.0%78.1%30.2%62.9%
Expected Move15.3%8.6%19.0%8.7%18.0%
HV 20d64.4%36.8%97.9%40.1%97.9%
HV 60d44.3%29.4%63.1%29.6%63.1%
IV Rank83.2%41.4%100.0%50.5%92.8%
IV Percentile95.5%57.5%100.0%61.5%98.8%
Term Structure-6.0%-19.1%1.5%1.5%-3.8%
VWIV53.6%29.4%77.9%29.4%64.1%
Skew 25d9.3%-9.4%19.7%6.3%13.1%
Skew 10d22.0%-3.9%38.6%25.6%18.4%
Call IV 25d48.2%31.4%66.7%31.4%54.4%
Put IV 25d57.5%37.7%68.9%37.7%67.5%
Bid-Ask Spread %47.7514.0286.3217.4520.96
Gamma HHI0.240.160.360.360.22
Net GEX67.5K-16.2K239.1K216.6K4.4K
Net DEX2.3M-2.5M6.9M-1.8M6.5M
Net VEX-49.6K-66.8K-27.2K-58.9K-34.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.0110.000.380.04
Total Volume408.435332,548138246
Total OI11,392.8269,79713,01510,55213,015

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$37.67$40.0030.2%8.7%40.1%50.5%29.4%6.3%1.5%216.6K-1.8M-58.9K0.3817.45N/AN/A100387,2003,352
2008-10-02$37.32$40.0046.5%13.3%40.2%100.0%0.0%6.2%-8.1%211.1K-2.3M-58.9K10.0086.32N/AN/A3307,1273,379
2008-10-03$37.56$40.0030.0%8.6%39.1%41.4%38.1%1.9%-3.0%239.1K-2.5M-58.8K0.6120.26N/AN/A1911167,1253,404
2008-10-06$36.27$40.0051.8%12.2%36.8%86.1%0.0%9.8%-4.3%128.5K-24.2K-55.3K0.2351.82N/AN/A109257,1773,351
2008-10-07$35.50$40.0050.6%12.6%37.2%91.5%37.4%-2.0%-13.1%88.7K651.9K-51.8K0.8879.96N/AN/A69617,1743,350
2008-10-08$35.03$40.0053.9%13.8%37.2%100.0%48.4%8.0%-6.9%75.9K754.1K-52.4K1.5547.58N/AN/A1081677,1323,382
2008-10-09$32.10$35.0065.0%17.7%46.9%100.0%51.0%9.8%-11.2%10.4K3.0M-46.9K0.3578.38N/AN/A112397,1313,526
2008-10-10$30.28$35.0078.1%18.7%49.3%100.0%77.9%6.3%-19.1%-953.7M-43.1K0.8176.25N/AN/A1821487,1913,467
2008-10-13$33.38$35.0056.0%13.3%62.8%60.0%47.2%11.7%-3.5%-16.2K2.9M-45.8K0.1577.80N/AN/A124187,3353,477
2008-10-14$35.05$35.0057.0%13.8%65.9%63.4%47.5%12.4%-4.1%4.5K560.6K-52.8K0.0148.62N/AN/A1,453187,4543,489
2008-10-15$32.26$35.0077.5%16.7%70.1%85.2%54.4%9.2%-6.5%131.3K2.3M-46.3K0.9053.41N/AN/A2161958,9343,472
2008-10-16$32.38$35.0059.6%17.1%68.7%88.0%57.1%11.6%-8.1%38.1K2.8M-47.3K0.2137.48N/AN/A5991277,8353,637
2008-10-17$32.48$35.0061.0%17.5%68.6%90.9%52.9%14.2%-9.6%57.9K2.3M-49.9K5.9842.10N/AN/A482878,2293,697
2008-10-20$33.98$35.0050.1%14.4%70.5%67.7%52.5%17.4%-4.3%82.6K433.9K-51.0K0.4852.76N/AN/A1,7208286,8062,991
2008-10-21$33.38$35.0047.1%13.5%70.7%61.3%47.0%11.3%-2.7%95.1K370.7K-66.8K0.2728.65N/AN/A41118,0413,807
2008-10-22$31.79$35.0060.6%17.4%72.2%90.1%55.7%19.3%-3.1%74.1K1.8M-64.0K0.5777.00N/AN/A21128,0643,817
2008-10-23$31.08$35.0060.2%17.2%70.6%89.1%57.1%16.2%-4.6%62.5K2.5M-59.6K2.3035.09N/AN/A601388,0753,826
2008-10-24$29.50$35.0061.1%17.5%71.7%91.1%60.1%13.2%-3.6%39.7K3.6M-55.2K1.5021.45N/AN/A44668,1153,937
2008-10-27$25.62$35.0066.3%19.0%84.4%100.0%65.5%-0.9%-3.5%5.1K5.9M-37.2K1.0114.02N/AN/A1731758,1153,989
2008-10-28$27.81$35.0056.3%16.2%91.7%79.3%64.2%8.2%-1.5%11.0K5.4M-44.4K1.5125.77N/AN/A39598,2014,068
2008-10-29$25.32$30.0063.8%18.3%94.5%94.8%55.4%-9.4%-13.5%-2.6K6.5M-33.0K0.2063.22N/AN/A7191438,2314,087
2008-10-30$23.96$30.0061.2%17.5%95.2%89.4%62.3%19.7%-2.1%-5.0K6.9M-27.2K0.7141.90N/AN/A1851318,6674,156
2008-10-31$25.11$30.0062.9%18.0%97.9%92.8%64.1%13.1%-3.8%4.4K6.5M-34.1K0.0420.96N/AN/A236108,7714,244