CTL Options History — January 2009

In January 2009, CTL traded between $26.49 and $28.82. ATM implied volatility averaged 45.0%, placing in the 49.2% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 7.2% (HV 20d: 37.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.37.

Notable Days

  • 2009-01-20: Highest Volume — 2,619 contracts
  • 2009-01-21: Largest IV drop — 24.6% change
  • 2009-01-14: Highest IV Rank — 61.4%
  • 2009-01-14: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.69$26.49$28.82$28.42$27.14
Max Pain$26.50$25.00$30.00$30.00$25.00
ATM IV45.0%35.1%54.8%35.1%46.8%
Expected Move12.9%10.1%14.8%10.1%13.4%
HV 20d37.8%30.3%43.6%43.6%39.7%
HV 60d73.4%60.1%82.6%82.6%60.1%
IV Rank49.2%30.6%61.4%30.6%52.4%
IV Percentile74.6%65.1%81.3%65.1%74.6%
Term Structure-1.5%-5.5%6.9%6.9%-1.9%
VWIV44.2%38.5%51.7%38.5%42.6%
Skew 25d8.3%3.6%12.6%10.7%4.3%
Skew 10d18.8%8.3%29.8%15.3%13.6%
Call IV 25d41.1%35.1%46.6%35.4%42.4%
Put IV 25d49.4%46.1%54.0%46.1%46.7%
Bid-Ask Spread %16.469.1524.4812.3319.96
Gamma HHI0.540.340.850.350.84
Net GEX253.5K13.8K591.4K139.1K562.4K
Net DEX-1.3M-8.6M4.1M516.8K-4.8M
Net VEX-68.9K-88.5K-53.9K-62.8K-83.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.001.340.080.00
Total Volume835.8832,619690660
Total OI20,436.914,52123,24320,05423,243

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$28.42$30.0035.1%10.1%43.6%30.6%38.5%10.7%6.9%139.1K516.8K-62.8K0.0812.33N/AN/A6405013,1406,914
2009-01-05$28.15$25.0042.4%12.5%38.8%46.3%43.5%6.8%-1.5%160.3K189.0K-63.0K0.5319.61N/AN/A1709013,7196,924
2009-01-06$28.26$25.0042.3%12.5%37.6%46.7%50.6%5.8%-2.6%166.2K311.8K-62.5K0.7420.57N/AN/A1309613,6877,009
2009-01-07$27.78$25.0045.9%12.5%38.4%46.5%45.3%8.5%-1.4%131.0K1.1M-61.5K0.1624.48N/AN/A2594113,6977,035
2009-01-08$28.69$25.0040.9%12.5%39.7%46.7%44.0%8.6%-2.2%199.1K-453.1K-64.0K0.0519.28N/AN/A8204213,7287,064
2009-01-09$27.79$30.0047.7%12.8%41.6%48.6%0.0%6.7%-2.6%140.7K713.3K-61.4K0.5717.85N/AN/A533013,8407,073
2009-01-12$26.75$30.0049.7%14.7%41.6%61.0%51.3%8.7%-2.5%45.3K2.9M-53.9K1.3411.06N/AN/A41455513,8167,093
2009-01-13$27.13$30.0054.8%14.8%41.0%61.2%46.3%10.0%-1.3%55.7K3.3M-59.7K0.9214.32N/AN/A726613,9437,626
2009-01-14$26.49$30.0048.6%14.8%38.3%61.4%51.7%7.4%-1.2%13.8K4.1M-56.5K0.8513.85N/AN/A12310513,9797,602
2009-01-15$26.53$30.0051.5%14.8%30.3%61.1%47.6%9.3%-0.5%37.3K4.0M-54.8K0.0616.22N/AN/A1,0616714,0647,580
2009-01-16$27.16$25.0050.2%14.4%31.2%58.7%40.4%9.9%0.0%112.8K1.8M-61.9K0.8319.80N/AN/A30024914,9137,521
2009-01-20$26.54$25.0051.0%14.6%32.5%60.1%44.2%9.3%-3.0%91.5K1.7M-61.0K0.0219.16N/AN/A2,576438,6975,824
2009-01-21$27.80$25.0038.5%11.0%36.1%36.9%39.8%8.0%0.3%307.2K-1.9M-70.9K0.0717.30N/AN/A1,4849911,1585,855
2009-01-22$27.66$25.0041.7%12.0%36.2%42.9%41.9%8.1%-3.6%365.5K-4.5M-76.2K0.7114.08N/AN/A49235112,4775,920
2009-01-23$28.26$25.0041.1%11.8%36.8%41.8%42.7%9.3%-1.7%418.7K-5.6M-81.8K0.0217.73N/AN/A401812,7586,242
2009-01-26$28.82$25.0043.1%12.4%37.0%45.5%43.1%9.8%-3.0%449.4K-7.7M-83.2K0.3112.66N/AN/A92329013,0576,242
2009-01-27$28.75$25.0041.3%11.9%37.1%42.3%41.7%12.6%-2.0%501.2K-8.0M-85.7K0.0110.50N/AN/A2,1591113,6446,445
2009-01-28$28.31$25.0040.8%11.7%37.7%41.2%41.0%9.2%-5.5%591.4K-8.6M-88.5K0.049.15N/AN/A1,5286715,6176,441
2009-01-29$27.31$25.0046.8%13.4%40.1%52.3%42.6%3.6%-1.5%581.2K-6.0M-84.2K0.0719.24N/AN/A1781316,6756,476
2009-01-30$27.14$25.0046.8%13.4%39.7%52.4%0.0%4.3%-1.9%562.4K-4.8M-83.5K0.0019.96N/AN/A660016,7566,487