CTL Options History — April 2009

In April 2009, CTL traded between $25.65 and $28.38. ATM implied volatility averaged 39.8%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 3.5% (HV 20d: 36.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.01.

Notable Days

  • 2009-04-07: Highest Volume — 1,710 contracts
  • 2009-04-13: Largest IV spike — 23.6% change
  • 2009-04-08: Highest IV Rank — 51.7%
  • 2009-04-08: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.90$25.65$28.38$28.38$27.15
Max Pain$25.48$25.00$30.00$30.00$25.00
ATM IV39.8%34.7%45.8%39.9%38.6%
Expected Move11.8%10.5%13.3%11.4%11.1%
HV 20d36.3%30.5%47.2%46.7%30.5%
HV 60d44.8%44.0%45.8%45.6%44.0%
IV Rank41.7%33.4%51.7%39.5%37.1%
IV Percentile52.8%43.3%66.7%52.8%43.7%
Term Structure0.1%-5.6%4.9%2.1%0.6%
VWIV41.3%37.0%51.1%51.1%40.1%
Skew 25d9.3%2.0%16.5%7.8%9.7%
Skew 10d15.1%5.0%27.9%10.7%15.2%
Call IV 25d34.4%24.0%42.3%39.4%24.6%
Put IV 25d43.7%34.3%48.3%47.2%34.3%
Bid-Ask Spread %16.609.1628.3714.6612.43
Gamma HHI0.540.430.800.710.46
Net GEX288.3K174.3K397.7K268.2K364.4K
Net DEX-7.2M-10.5M-4.5M-6.4M-9.9M
Net VEX-74.9K-89.1K-65.0K-89.1K-67.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.006.170.006.17
Total Volume400.714151,7101,024746
Total OI20,010.66713,76724,35422,87815,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$28.38$30.0039.9%11.4%46.7%39.5%51.1%7.8%2.1%268.2K-6.4M-89.1K0.0014.66N/AN/A1,023113,5679,311
2009-04-02$27.83$30.0039.1%11.2%47.2%38.2%39.4%7.3%3.1%273.9K-5.7M-89.1K0.3615.30N/AN/A11414,4759,311
2009-04-03$27.82$25.0036.5%11.8%43.7%42.2%47.2%6.0%-2.7%280.5K-5.4M-88.1K0.6521.63N/AN/A342214,4869,314
2009-04-06$28.28$25.0034.7%12.1%42.4%44.1%42.1%12.1%-3.6%397.7K-7.7M-85.4K0.5419.32N/AN/A392114,5189,316
2009-04-07$27.91$25.0034.7%11.7%35.9%41.5%45.1%10.4%-2.0%315.3K-8.4M-83.2K0.0627.25N/AN/A1,6199114,5128,499
2009-04-08$26.91$25.0039.3%13.3%38.7%51.7%46.3%5.0%-2.7%174.3K-7.4M-80.5K0.0210.92N/AN/A1,2132415,5688,432
2009-04-09$27.67$25.0036.6%10.5%38.0%33.4%37.0%8.8%-1.2%368.4K-10.5M-84.8K0.3128.37N/AN/A13415,9268,424
2009-04-13$27.04$25.0045.2%13.0%35.4%49.5%44.5%7.0%-3.2%284.6K-9.7M-76.0K0.4814.90N/AN/A1024915,9268,428
2009-04-14$26.32$25.0045.8%13.1%37.1%50.5%38.4%8.4%-5.6%201.4K-7.8M-74.4K0.4411.94N/AN/A1396115,9198,432
2009-04-15$26.48$25.0044.3%12.7%33.0%47.7%44.3%8.9%-3.5%255.3K-7.7M-73.9K1.2623.00N/AN/A394915,8488,457
2009-04-16$26.90$25.0042.2%12.1%33.0%43.8%0.0%6.4%-1.2%295.8K-8.6M-70.1K0.9517.63N/AN/A373515,2738,101
2009-04-17$26.67$25.0040.5%11.6%32.8%40.7%39.5%7.7%-2.0%291.7K-7.9M-69.4K0.6823.70N/AN/A604115,2838,104
2009-04-20$25.65$25.0040.7%11.7%35.7%41.1%40.9%3.9%2.5%267.4K-4.8M-65.0K4.3619.57N/AN/A1446289,5114,256
2009-04-21$25.84$25.0041.5%11.9%33.9%42.6%38.4%15.2%3.0%227.2K-4.5M-67.2K0.1112.04N/AN/A6379,6214,863
2009-04-22$25.79$25.0040.2%11.5%33.9%40.1%40.2%14.2%3.8%232.3K-4.8M-66.0K0.1114.10N/AN/A483529,6674,869
2009-04-23$25.76$25.0040.3%11.6%33.0%40.4%40.3%2.0%3.9%264.1K-4.9M-68.4K0.0321.36N/AN/A164510,1234,860
2009-04-24$26.45$25.0038.6%11.1%34.1%37.2%37.1%12.2%1.6%294.9K-6.8M-67.7K0.249.60N/AN/A2255410,2244,865
2009-04-27$26.38$25.0038.8%11.1%34.1%37.5%38.8%13.2%3.0%311.5K-7.1M-66.8K1.129.16N/AN/A697710,4054,902
2009-04-28$26.65$25.0038.9%11.2%32.3%37.7%37.5%16.5%4.9%332.0K-6.8M-69.9K0.1010.31N/AN/A1932010,4474,916
2009-04-29$26.95$25.0039.7%11.4%30.6%39.3%38.2%12.9%1.6%354.1K-8.6M-69.5K3.1911.37N/AN/A18057410,6314,931
2009-04-30$27.15$25.0038.6%11.1%30.5%37.1%40.1%9.7%0.6%364.4K-9.9M-67.7K6.1712.43N/AN/A10464210,7504,953