CTL Options History — March 2009 In March 2009, CTL traded between $23.56 and $28.29. ATM implied volatility averaged 45.8%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 10.6% (HV 20d: 56.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.56.
Notable Days 2009-03-12 : Highest Volume — 16,339 contracts2009-03-30 : Largest IV spike — 34.6% change2009-03-09 : Highest IV Rank — 63.3%2009-03-09 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $26.13 $23.56 $28.29 $25.23 $28.12 Max Pain $29.09 $25.00 $30.00 $25.00 $30.00 ATM IV 45.8% 32.8% 57.3% 43.1% 39.2% Expected Move 13.2% 9.4% 15.1% 12.4% 11.3% HV 20d 56.3% 42.4% 62.6% 42.4% 51.4% HV 60d 44.7% 41.0% 46.3% 41.0% 45.6% IV Rank 51.2% 26.4% 63.3% 45.5% 38.4% IV Percentile 69.2% 40.9% 81.7% 65.1% 52.0% Term Structure -1.1% -9.7% 6.8% 2.8% 3.2% VWIV 47.3% 38.9% 64.0% 43.6% 39.4% Skew 25d 9.0% 3.7% 17.9% 17.9% 10.9% Skew 10d 17.7% 2.3% 35.2% 15.5% 19.8% Call IV 25d 42.3% 31.9% 51.9% 33.7% 39.5% Put IV 25d 51.3% 46.9% 55.6% 51.6% 50.4% Bid-Ask Spread % 19.56 7.96 48.05 9.50 19.63 Gamma HHI 0.47 0.31 0.64 0.47 0.64 Net GEX 152.7K -31.8K 328.0K 278.8K 194.5K Net DEX 749.3K -5.5M 8.2M 3.1M -5.5M Net VEX -68.9K -87.7K -44.8K -57.0K -86.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.01 4.27 4.27 0.03 Total Volume 1,488.818 21 16,339 543 673 Total OI 23,438.545 20,969 25,417 24,114 22,302
Daily Data (22 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 2009-03-02 $25.23 $25.00 43.1% 12.4% 42.4% 45.5% 43.6% 17.9% 2.8% 278.8K 3.1M -57.0K 4.27 9.50 N/A N/A 103 440 16,650 7,464 2009-03-03 $23.83 $25.00 44.1% 12.7% 45.8% 47.4% 52.8% 7.9% 1.3% 156.0K 7.0M -49.4K 0.12 16.43 N/A N/A 1,384 166 16,697 7,740 2009-03-04 $25.45 $25.00 44.7% 12.8% 52.6% 48.5% 44.6% 17.8% 2.0% 273.3K 2.3M -55.7K 0.32 17.36 N/A N/A 330 106 17,159 7,772 2009-03-05 $25.15 $25.00 32.8% 9.4% 52.5% 26.4% 46.1% 15.0% 6.8% 294.4K 2.2M -60.0K 0.29 18.54 N/A N/A 776 222 17,323 7,827 2009-03-06 $24.09 $30.00 43.9% 13.0% 54.3% 49.9% 48.2% 7.5% -2.5% 199.8K 5.7M -52.9K 0.33 12.70 N/A N/A 552 180 16,726 7,892 2009-03-09 $23.56 $30.00 57.3% 15.1% 53.1% 63.3% 51.7% 3.7% -9.7% 134.7K 8.2M -44.8K 0.27 7.96 N/A N/A 376 100 17,029 7,989 2009-03-10 $25.32 $30.00 47.1% 14.1% 60.3% 56.5% 48.7% 8.4% -5.4% 284.6K 2.0M -57.4K 0.12 12.57 N/A N/A 1,262 149 17,096 8,054 2009-03-11 $25.22 $30.00 38.9% 13.9% 59.3% 55.2% 48.4% 6.5% -4.3% 302.0K 1.7M -54.7K 1.41 12.04 N/A N/A 37 52 16,848 8,146 2009-03-12 $26.13 $30.00 48.5% 13.9% 60.8% 55.5% 64.0% 5.8% -5.0% 328.0K -253.8K -57.4K 0.01 13.22 N/A N/A 16,200 139 16,858 8,192 2009-03-13 $25.04 $30.00 48.7% 14.0% 62.6% 55.8% 48.6% 5.8% -3.5% -31.8K 5.9M -52.0K 0.18 14.07 N/A N/A 1,292 239 13,617 8,290 2009-03-16 $25.13 $30.00 49.0% 14.1% 62.5% 56.5% 50.1% 5.1% -4.5% -12.6K 5.2M -52.5K 0.51 13.85 N/A N/A 356 183 13,009 8,287 2009-03-17 $26.37 $30.00 49.2% 14.1% 60.0% 56.9% 48.9% 6.4% -2.9% 33.6K 1.3M -55.9K 0.72 18.42 N/A N/A 2,652 1,901 12,853 8,319 2009-03-18 $26.78 $30.00 49.4% 14.2% 60.2% 57.2% 47.6% 8.2% -3.2% 64.8K -1.7M -87.3K 0.52 21.29 N/A N/A 258 134 15,079 10,137 2009-03-19 $26.46 $30.00 48.4% 13.9% 60.4% 55.4% 47.8% 6.9% -0.9% 52.4K -849.8K -86.3K 0.75 17.83 N/A N/A 12 9 15,244 10,173 2009-03-20 $26.50 $30.00 51.6% 14.8% 58.6% 61.2% 49.0% 8.3% -3.5% 59.0K -1.6M -85.2K 1.17 16.61 N/A N/A 46 54 15,242 10,174 2009-03-23 $27.29 $30.00 51.3% 14.7% 59.0% 60.6% 40.4% 10.0% -1.2% 70.2K -733.5K -85.7K 0.13 18.45 N/A N/A 280 36 11,745 9,224 2009-03-24 $27.38 $30.00 50.2% 14.4% 57.4% 58.6% 48.8% 8.8% -2.0% 90.0K -2.0M -87.7K 0.59 40.05 N/A N/A 264 157 11,995 9,219 2009-03-25 $27.88 $30.00 39.7% 11.4% 57.7% 39.3% 45.7% 9.0% 2.3% 131.6K -3.6M -87.1K 0.23 17.69 N/A N/A 186 43 12,219 9,371 2009-03-26 $28.27 $30.00 40.1% 11.5% 56.5% 40.0% 40.4% 9.8% 2.0% 165.8K -4.8M -87.1K 0.03 32.29 N/A N/A 372 10 12,360 9,390 2009-03-27 $28.29 $30.00 38.4% 11.0% 56.5% 36.7% 38.9% 11.0% 3.8% 187.5K -5.4M -87.3K 0.24 48.05 N/A N/A 358 86 12,639 9,390 2009-03-30 $27.31 $30.00 51.6% 14.8% 55.7% 61.3% 47.6% 7.2% -0.9% 102.5K -2.1M -85.7K 0.09 31.82 N/A N/A 532 47 12,551 9,357 2009-03-31 $28.12 $30.00 39.2% 11.3% 51.4% 38.4% 39.4% 10.9% 3.2% 194.5K -5.5M -86.3K 0.03 19.63 N/A N/A 652 21 12,955 9,347
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