CTL Options History — November 2008

In November 2008, CTL traded between $21.81 and $27.67. ATM implied volatility averaged 61.6%, placing in the 85.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 35.3% (HV 20d: 96.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.75.

Notable Days

2008-11-07: Highest Volume — 1,876 contracts
2008-11-04: Largest IV drop — 24.2% change
2008-11-19: Highest IV Rank — 100.0%
2008-11-20: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.49	$21.81	$27.67	$27.44	$26.56
Max Pain	$27.63	$25.00	$30.00	$30.00	$25.00
ATM IV	61.6%	49.1%	72.5%	64.7%	59.2%
Expected Move	17.5%	14.1%	20.8%	18.6%	17.0%
HV 20d	96.8%	87.4%	105.4%	105.0%	87.4%
HV 60d	70.8%	65.8%	79.0%	66.0%	79.0%
IV Rank	85.1%	64.1%	100.0%	96.7%	75.4%
IV Percentile	95.8%	91.3%	100.0%	99.2%	92.1%
Term Structure	1.1%	-4.8%	6.8%	-2.5%	2.1%
VWIV	59.9%	47.9%	73.6%	58.1%	58.6%
Skew 25d	10.7%	2.1%	21.1%	21.1%	5.9%
Skew 10d	25.0%	12.4%	34.9%	34.9%	22.5%
Call IV 25d	55.0%	41.2%	72.8%	45.7%	54.5%
Put IV 25d	65.6%	58.5%	77.8%	66.8%	60.5%
Bid-Ask Spread %	28.09	13.05	70.39	17.69	23.93
Gamma HHI	0.23	0.20	0.26	0.22	0.24
Net GEX	10.6K	-14.5K	48.6K	23.4K	41.3K
Net DEX	5.6M	3.1M	7.5M	5.2M	3.3M
Net VEX	-43.6K	-56.7K	-34.5K	-42.5K	-56.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.75	0.01	20.61	0.19	0.33
Total Volume	395.105	42	1,876	340	48
Total OI	15,140.263	13,093	16,266	13,093	16,204

Daily Data (19 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
2008-11-03	$27.44	$30.00	64.7%	18.6%	105.0%	96.7%	58.1%	21.1%	-2.5%	23.4K	5.2M	-42.5K	0.19	17.69	N/A	N/A	285	55	8,939	4,154
2008-11-04	$27.67	$30.00	49.1%	14.1%	105.2%	64.1%	56.0%	13.9%	-0.7%	21.1K	5.0M	-43.4K	0.17	17.39	N/A	N/A	224	39	8,906	4,187
2008-11-05	$26.80	$30.00	59.2%	17.0%	105.4%	85.1%	53.9%	5.1%	-4.8%	20.7K	5.3M	-40.9K	20.61	23.07	N/A	N/A	23	474	9,006	4,189
2008-11-06	$25.18	$30.00	56.9%	16.3%	103.5%	80.3%	48.5%	18.1%	0.9%	-8.8K	6.5M	-34.8K	0.13	70.39	N/A	N/A	246	31	8,995	4,661
2008-11-07	$26.42	$25.00	58.3%	16.1%	104.1%	78.5%	60.1%	11.4%	-0.4%	3.8K	5.9M	-40.6K	0.01	15.70	N/A	N/A	1,861	15	9,201	4,673
2008-11-10	$25.69	$25.00	60.9%	16.2%	96.7%	79.6%	58.4%	9.3%	2.6%	17.5K	5.8M	-41.0K	5.00	15.92	N/A	N/A	21	105	10,127	4,681
2008-11-11	$24.86	$25.00	56.2%	16.1%	94.0%	79.2%	58.1%	9.4%	1.0%	5.3K	6.3M	-37.3K	0.03	13.49	N/A	N/A	711	19	10,148	4,741
2008-11-12	$24.79	$25.00	61.6%	16.7%	90.8%	83.4%	47.9%	9.2%	4.2%	19.1K	5.8M	-40.6K	5.10	17.36	N/A	N/A	82	418	10,383	4,758
2008-11-13	$26.26	$30.00	61.2%	17.5%	94.1%	89.3%	61.5%	13.5%	0.6%	26.8K	5.4M	-45.1K	1.95	59.49	N/A	N/A	259	506	10,439	5,055
2008-11-14	$25.25	$30.00	62.4%	17.9%	94.5%	91.9%	61.9%	13.0%	-0.7%	1.8K	6.2M	-46.1K	5.00	49.09	N/A	N/A	7	35	10,625	5,476
2008-11-17	$25.75	$30.00	62.0%	17.8%	92.9%	91.0%	60.6%	11.5%	0.9%	6.2K	5.6M	-47.0K	5.87	39.73	N/A	N/A	15	88	10,627	5,480
2008-11-18	$25.89	$30.00	66.1%	19.0%	93.1%	99.6%	66.4%	16.1%	-0.9%	8.2K	5.5M	-49.0K	1.51	48.73	N/A	N/A	37	56	10,637	5,512
2008-11-19	$23.86	$30.00	71.7%	20.5%	95.5%	100.0%	69.6%	11.8%	-0.2%	-11.8K	6.7M	-41.3K	1.87	16.12	N/A	N/A	52	97	10,647	5,535
2008-11-20	$21.81	$30.00	72.5%	20.8%	99.2%	100.0%	73.6%	2.1%	2.6%	-12.1K	7.3M	-34.5K	0.45	32.26	N/A	N/A	99	45	10,677	5,487
2008-11-21	$22.01	$25.00	68.9%	19.8%	98.7%	93.4%	64.0%	8.1%	3.4%	-14.5K	7.5M	-35.3K	2.68	13.05	N/A	N/A	87	233	10,754	5,512
2008-11-24	$24.50	$25.00	61.7%	17.7%	95.9%	80.1%	64.5%	7.8%	2.2%	-10.7K	6.0M	-44.5K	0.42	21.25	N/A	N/A	176	74	10,093	5,373
2008-11-25	$26.30	$25.00	58.8%	16.8%	94.6%	74.6%	57.1%	8.0%	6.8%	14.8K	4.3M	-52.4K	0.18	21.95	N/A	N/A	663	119	10,244	5,417
2008-11-26	$27.33	$25.00	58.5%	16.8%	89.3%	74.3%	59.6%	7.1%	3.1%	48.6K	3.1M	-56.7K	0.77	17.20	N/A	N/A	114	88	10,651	5,471
2008-11-28	$26.56	$25.00	59.2%	17.0%	87.4%	75.4%	58.6%	5.9%	2.1%	41.3K	3.3M	-56.0K	0.33	23.93	N/A	N/A	36	12	10,663	5,541