CTL Options History — February 2009

In February 2009, CTL traded between $25.12 and $27.75. ATM implied volatility averaged 44.2%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 7.0% (HV 20d: 37.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-02-04: Highest Volume — 1,325 contracts
  • 2009-02-10: Largest IV spike — 17.1% change
  • 2009-02-27: Highest IV Rank — 54.0%
  • 2009-02-27: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.60$25.12$27.75$27.51$26.33
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV44.2%37.8%49.9%40.4%47.7%
Expected Move12.3%9.3%13.7%11.6%13.7%
HV 20d37.2%32.8%41.3%37.3%39.8%
HV 60d53.6%42.0%60.1%60.1%42.0%
IV Rank45.2%25.9%54.0%40.5%54.0%
IV Percentile67.7%46.8%75.0%66.7%75.0%
Term Structure-3.5%-14.1%4.7%-6.7%-12.9%
VWIV40.6%23.1%49.0%40.5%36.5%
Skew 25d8.3%-1.7%18.9%5.7%7.6%
Skew 10d18.5%-4.6%31.5%18.9%16.0%
Call IV 25d36.7%28.0%44.1%41.3%34.7%
Put IV 25d45.0%40.4%52.0%47.0%42.2%
Bid-Ask Spread %17.5110.7723.5019.4510.77
Gamma HHI0.710.510.890.890.63
Net GEX483.1K186.3K852.9K663.0K391.4K
Net DEX-2.4M-8.5M3.0M-5.5M-830.0K
Net VEX-69.9K-84.9K-56.2K-77.9K-68.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.025.880.065.88
Total Volume495.421341,32534165
Total OI25,309.73723,16828,22223,85024,071

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$27.51$25.0040.4%11.6%37.3%40.5%40.5%5.7%-6.7%663.0K-5.5M-77.9K0.0619.45N/AN/A32217,3636,487
2009-02-03$27.66$25.0041.3%11.8%37.3%42.2%41.9%3.6%-7.2%703.7K-7.3M-84.9K0.2321.95N/AN/A1022317,3766,488
2009-02-04$27.25$25.0043.7%12.5%37.5%46.6%43.0%1.2%2.3%618.6K-5.3M-78.9K0.0413.92N/AN/A1,2705517,4186,508
2009-02-05$27.00$25.0043.5%12.5%37.2%46.2%43.4%1.7%3.9%584.1K-4.1M-74.0K1.9014.78N/AN/A214018,5396,553
2009-02-06$27.75$25.0042.7%9.3%36.7%25.9%34.2%9.5%2.1%804.5K-8.5M-83.9K0.0220.73N/AN/A8641518,5396,592
2009-02-09$27.70$25.0041.5%9.4%34.9%26.1%32.7%8.9%2.1%852.9K-8.4M-83.2K0.5119.03N/AN/A854319,2446,603
2009-02-10$26.78$25.0048.6%13.3%34.3%51.4%40.0%8.5%-6.7%594.4K-3.6M-69.8K2.6518.08N/AN/A10126819,3476,645
2009-02-11$26.80$25.0049.9%13.6%33.9%53.7%38.6%-1.7%-13.7%530.3K-2.6M-68.7K0.2617.01N/AN/A3248519,4006,838
2009-02-12$26.74$25.0045.9%13.1%32.8%50.6%44.0%10.8%-4.2%507.9K-3.0M-73.6K0.7818.48N/AN/A20716219,6916,897
2009-02-13$26.92$25.0046.0%13.2%32.9%50.9%46.6%9.8%-4.9%543.3K-3.5M-70.9K0.2317.04N/AN/A55812819,7637,025
2009-02-17$25.13$25.0044.1%12.6%39.9%47.4%44.2%10.0%0.4%262.3K1.9M-58.2K0.9923.50N/AN/A51050419,5127,149
2009-02-18$25.27$25.0043.4%12.4%39.4%46.0%43.5%8.8%1.6%263.0K2.2M-60.1K1.9123.35N/AN/A7714719,8017,485
2009-02-19$25.12$25.0037.8%10.8%34.9%35.7%37.7%18.9%4.7%186.3K3.0M-56.2K0.9719.35N/AN/A51850519,8547,587
2009-02-20$26.17$25.0042.5%12.2%38.6%44.4%47.3%10.9%-0.3%262.7K66.6K-62.4K0.2717.19N/AN/A2797420,1898,033
2009-02-23$25.67$25.0043.5%12.5%37.9%46.2%49.0%7.3%-0.8%265.2K2.4M-61.2K0.2416.93N/AN/A3588615,9187,250
2009-02-24$26.69$25.0044.8%12.9%40.1%48.7%44.0%13.4%-6.2%347.4K-737.8K-63.7K0.3318.77N/AN/A30510016,1527,305
2009-02-25$26.89$25.0047.2%13.5%40.3%53.0%23.1%9.6%-14.1%435.0K-2.3M-67.7K0.2011.57N/AN/A2254416,2717,325
2009-02-26$26.06$25.0045.5%13.0%41.3%49.9%40.9%13.0%-5.7%363.1K116.0K-63.6K0.2310.86N/AN/A91821316,3107,357
2009-02-27$26.33$25.0047.7%13.7%39.8%54.0%36.5%7.6%-12.9%391.4K-830.0K-68.5K5.8810.77N/AN/A2414116,6517,420