CTL Options History — December 2008

In December 2008, CTL traded between $23.86 and $27.33. ATM implied volatility averaged 59.1%, placing in the 75.4% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded below realized volatility by 17.6% (HV 20d: 76.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.47.

Notable Days

  • 2008-12-11: Highest Volume — 2,105 contracts
  • 2008-12-11: Largest IV drop — 7.9% change
  • 2008-12-01: Highest IV Rank — 93.2%
  • 2008-12-01: Largest Expected Move — 19.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.92$23.86$27.33$24.43$27.33
Max Pain$29.09$25.00$30.00$25.00$30.00
ATM IV59.1%49.9%68.8%68.8%50.4%
Expected Move17.0%14.3%19.7%19.7%14.4%
HV 20d76.7%42.3%91.3%91.3%42.3%
HV 60d82.1%80.4%83.2%80.4%82.2%
IV Rank75.4%58.1%93.2%93.2%59.0%
IV Percentile89.4%79.4%98.8%98.8%80.6%
Term Structure-0.1%-4.4%5.0%-2.7%-1.3%
VWIV57.9%38.3%71.6%71.6%52.9%
Skew 25d7.9%3.2%11.2%10.5%6.6%
Skew 10d17.8%4.5%33.4%16.9%16.5%
Call IV 25d53.9%43.1%63.7%63.7%43.1%
Put IV 25d61.8%49.6%74.1%74.1%49.6%
Bid-Ask Spread %15.1410.6624.6223.1215.15
Gamma HHI0.280.220.360.240.34
Net GEX12.8K-85.2K63.9K9.4K63.9K
Net DEX3.9M1.7M7.4M4.7M3.0M
Net VEX-57.1K-62.3K-49.1K-49.1K-58.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.470.0064.780.650.10
Total Volume417.727232,105102256
Total OI18,279.95515,85219,84016,16619,840

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$24.43$25.0068.8%19.7%91.3%93.2%71.6%10.5%-2.7%9.4K4.7M-49.1K0.6523.12N/AN/A624010,6635,503
2008-12-02$26.02$25.0065.9%18.9%88.4%87.8%69.4%11.1%1.9%39.1K2.5M-54.8K0.6419.22N/AN/A64440910,7105,142
2008-12-03$26.65$25.0065.4%18.7%88.8%86.9%60.5%11.2%1.0%58.7K1.7M-60.6K0.0717.77N/AN/A89611,1975,496
2008-12-04$25.30$25.0066.3%19.0%90.0%88.5%62.5%10.6%1.9%29.1K2.9M-55.6K0.9324.62N/AN/A282611,2735,496
2008-12-05$26.10$30.0065.3%19.1%87.9%89.0%61.6%9.5%-3.7%41.4K2.4M-56.5K0.0013.00N/AN/A42011,2915,515
2008-12-08$26.22$30.0067.5%19.4%86.2%90.9%63.3%7.8%-4.4%48.7K2.1M-56.4K0.4811.58N/AN/A643111,3255,515
2008-12-09$26.15$30.0063.4%19.1%85.6%88.8%63.3%7.4%-4.3%45.4K2.2M-55.7K0.3112.73N/AN/A46014111,3795,499
2008-12-10$26.41$30.0067.6%18.8%84.7%87.3%59.7%8.7%-4.3%53.7K2.0M-55.9K0.0011.17N/AN/A214011,4615,522
2008-12-11$25.41$30.0062.3%17.9%85.9%81.2%62.4%3.2%-1.1%22.5K2.9M-52.2K64.7813.11N/AN/A322,07311,6105,522
2008-12-12$24.94$30.0061.6%17.7%83.5%79.9%61.6%8.0%-1.6%-54.0K6.2M-59.6K0.5110.72N/AN/A26613511,6287,523
2008-12-15$23.86$30.0063.8%18.3%83.9%84.0%64.0%7.6%-2.8%-85.2K7.4M-53.9K0.7111.47N/AN/A24217311,7567,525
2008-12-16$25.54$30.0061.7%17.7%87.3%80.0%64.1%10.0%-1.9%-35.1K5.0M-62.3K0.1811.94N/AN/A1182111,9787,541
2008-12-17$25.46$30.0057.6%16.5%87.2%72.6%56.4%5.6%-0.4%-19.4K4.9M-59.1K0.6712.41N/AN/A37124812,0797,544
2008-12-18$25.67$30.0054.1%15.5%81.9%66.0%55.8%3.4%2.3%-28.1K5.0M-57.7K2.3614.11N/AN/A9522411,9157,659
2008-12-19$25.91$30.0052.0%14.9%74.0%62.2%51.9%7.5%3.1%-23.5K4.6M-57.0K2.4618.93N/AN/A358611,9407,749
2008-12-22$25.96$30.0053.6%15.4%74.1%65.1%52.3%10.1%1.5%-21.4K5.5M-56.2K0.0521.08N/AN/A1,5967511,3326,791
2008-12-23$26.18$30.0050.1%14.4%64.2%58.8%38.3%5.7%5.0%18.3K4.6M-58.9K0.0513.47N/AN/A22112,4876,813
2008-12-24$26.55$30.0050.2%14.4%59.3%58.9%0.0%8.0%4.0%30.1K4.1M-59.8K0.0012.55N/AN/A55012,5096,812
2008-12-26$26.68$30.0051.0%14.6%57.6%60.4%49.4%6.7%1.3%34.8K4.0M-59.3K0.3710.66N/AN/A2278512,5526,812
2008-12-29$26.70$30.0051.0%14.6%56.7%60.1%51.7%8.1%2.5%24.1K4.3M-58.4K0.3715.15N/AN/A1756512,6196,897
2008-12-30$26.86$30.0049.9%14.3%47.2%58.1%42.4%5.9%1.6%29.7K4.1M-58.5K0.6419.04N/AN/A15710112,7876,952
2008-12-31$27.33$30.0050.4%14.4%42.3%59.0%52.9%6.6%-1.3%63.9K3.0M-58.9K0.1015.15N/AN/A2322412,9416,899