CTL Options History — May 2009

In May 2009, CTL traded between $28.11 and $30.98. ATM implied volatility averaged 28.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 0.6% (HV 20d: 28.2%). 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 10 of 20 days. Put/call ratio averaged 1.49.

Notable Days

  • 2009-05-21: Highest Volume — 1,368 contracts
  • 2009-05-07: Largest IV spike — 26.2% change
  • 2009-05-13: Highest IV Rank — 29.1%
  • 2009-05-13: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.10$28.11$30.98$28.11$30.85
Max Pain$29.75$25.00$30.00$25.00$30.00
ATM IV28.8%21.8%33.7%28.6%31.8%
Expected Move8.6%7.2%9.8%8.2%9.1%
HV 20d28.2%22.1%32.8%32.4%30.0%
HV 60d42.2%36.5%44.5%44.5%36.5%
IV Rank21.2%12.1%29.1%18.6%24.5%
IV Percentile20.0%4.0%34.5%19.0%25.8%
Term Structure-1.3%-11.3%5.4%0.5%-5.1%
VWIV29.8%23.3%39.0%25.1%36.8%
Skew 25d7.6%-14.5%18.4%-3.2%-0.9%
Skew 10d14.3%-6.7%23.2%-6.7%4.5%
Call IV 25d25.9%20.8%35.3%27.1%27.5%
Put IV 25d33.5%20.6%41.7%23.9%26.6%
Bid-Ask Spread %13.156.2721.0516.286.27
Gamma HHI0.700.470.930.610.60
Net GEX417.4K108.7K1.4M390.7K139.1K
Net DEX-13.9M-22.5M-7.1M-12.5M-9.1M
Net VEX-67.4K-69.7K-63.6K-65.7K-69.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.075.640.970.10
Total Volume377.05451,36859168
Total OI15,431.9513,35717,86215,76214,354

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$28.11$25.0028.6%8.2%32.4%18.6%25.1%-3.2%0.5%390.7K-12.5M-65.7K0.9716.28N/AN/A302910,7315,031
2009-05-04$28.51$30.0025.3%7.3%32.8%12.6%0.0%15.5%0.3%433.7K-13.4M-65.0K1.2819.82N/AN/A11014110,7455,041
2009-05-05$28.78$30.0024.7%7.6%32.5%14.8%26.5%16.7%1.8%459.8K-14.6M-65.7K0.1218.08N/AN/A3384210,7705,165
2009-05-06$29.15$30.0021.8%7.2%32.3%12.1%23.3%18.4%2.8%596.7K-15.3M-63.6K1.3721.05N/AN/A496710,9025,195
2009-05-07$30.20$30.0027.5%8.7%30.9%22.0%30.4%13.7%0.9%660.6K-18.8M-66.2K0.2410.58N/AN/A54013110,9315,250
2009-05-08$30.52$30.0026.2%8.6%29.9%21.1%33.8%9.5%-4.1%661.0K-20.5M-65.5K0.1810.91N/AN/A65912111,0775,351
2009-05-11$30.98$30.0030.4%9.5%28.2%27.0%34.6%11.8%-2.6%627.7K-22.5M-65.2K5.6416.51N/AN/A12067711,3785,425
2009-05-12$30.71$30.0028.9%9.5%25.9%26.7%32.5%6.1%-3.1%671.0K-21.2M-65.9K0.8813.98N/AN/A17915711,3916,054
2009-05-13$30.87$30.0029.9%9.8%25.9%29.1%39.0%0.9%-3.0%572.1K-21.5M-69.4K1.7913.44N/AN/A8214711,5066,168
2009-05-14$30.79$30.0033.7%9.7%26.0%28.0%33.1%-0.3%-3.8%632.3K-21.3M-69.6K5.2013.44N/AN/A105211,5256,278
2009-05-15$30.19$30.0031.1%8.9%27.1%23.3%27.6%13.2%2.5%1.4M-19.2M-69.3K0.4311.11N/AN/A71830611,5356,327
2009-05-18$30.97$30.0032.5%9.3%22.1%25.8%29.7%10.8%-3.7%116.9K-9.6M-68.9K0.179.03N/AN/A245417,5615,796
2009-05-19$30.63$30.0031.0%8.9%23.2%23.1%29.8%-4.2%-11.2%122.5K-9.3M-67.6K1.689.56N/AN/A25427,7045,832
2009-05-20$30.59$30.0030.6%8.8%23.2%22.4%26.1%9.7%-2.6%122.8K-9.2M-68.5K5.6313.11N/AN/A16907,7195,859
2009-05-21$29.66$30.0029.1%8.4%26.9%19.6%29.3%17.8%2.9%108.7K-7.1M-69.4K0.0713.60N/AN/A1,277917,7205,934
2009-05-22$29.40$30.0027.1%7.8%26.5%15.8%29.7%14.7%3.4%126.1K-7.6M-67.5K0.2217.65N/AN/A74167,9165,972
2009-05-26$30.46$30.0028.9%8.3%28.3%19.1%28.9%14.2%3.9%168.1K-9.1M-67.6K0.7713.16N/AN/A2361827,9275,977
2009-05-27$29.97$30.0026.5%7.6%29.5%14.7%26.5%1.3%5.4%165.4K-8.1M-67.6K2.069.09N/AN/A941948,0986,159
2009-05-28$30.63$30.0031.0%8.9%30.0%23.0%24.1%-14.5%-11.3%134.0K-8.3M-69.5K0.966.29N/AN/A23228,0486,287
2009-05-29$30.85$30.0031.8%9.1%30.0%24.5%36.8%-0.9%-5.1%139.1K-9.1M-69.7K0.106.27N/AN/A153158,0656,289