CTL Options History — June 2009

In June 2009, CTL traded between $30.70 and $33.21. ATM implied volatility averaged 34.2%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 4.4% (HV 20d: 29.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.17.

Notable Days

  • 2009-06-11: Highest Volume — 93,655 contracts
  • 2009-06-10: Largest IV drop — 53.0% change
  • 2009-06-04: Highest IV Rank — 42.8%
  • 2009-06-04: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.75$30.70$33.21$31.29$30.70
Max Pain$28.86$25.00$30.00$30.00$30.00
ATM IV34.2%23.8%50.5%33.0%27.8%
Expected Move9.3%6.9%11.9%9.5%8.0%
HV 20d29.8%27.2%32.7%28.2%30.3%
HV 60d31.3%29.3%36.4%36.4%30.4%
IV Rank25.9%10.0%42.8%26.8%17.2%
IV Percentile24.7%1.2%54.4%28.6%8.3%
Term Structure-0.8%-22.8%5.6%1.1%2.1%
VWIV35.2%26.8%56.3%36.8%27.8%
Skew 25d4.2%-6.7%9.6%4.1%7.1%
Skew 10d10.6%-0.8%40.9%8.7%10.5%
Call IV 25d27.1%19.1%32.3%24.9%21.3%
Put IV 25d31.3%25.6%36.5%29.0%28.4%
Bid-Ask Spread %13.395.7225.476.5211.82
Gamma HHI0.500.310.810.600.46
Net GEX61.3K-183.8K357.5K123.1K-183.8K
Net DEX-6.4M-19.2M1.0M-10.5M1.0M
Net VEX-56.0K-71.7K-46.6K-65.4K-47.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.0010.080.071.19
Total Volume4,602.2734693,655474405
Total OI12,83910,26216,37814,29011,112

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$31.29$30.0033.0%9.5%28.2%26.8%36.8%4.1%1.1%123.1K-10.5M-65.4K0.076.52N/AN/A442327,9876,303
2009-06-02$31.87$30.0040.1%11.5%28.4%40.0%56.3%-4.1%-22.8%155.6K-12.0M-67.7K0.087.97N/AN/A1,2981008,2856,313
2009-06-03$31.15$30.0034.8%10.0%30.1%30.0%46.4%-6.7%-2.9%357.5K-11.7M-71.7K0.395.72N/AN/A33139,4956,276
2009-06-04$32.05$30.0041.6%11.9%31.2%42.8%45.3%1.6%-21.4%308.5K-15.5M-68.7K0.029.81N/AN/A28869,5086,289
2009-06-05$31.69$25.0041.6%9.5%29.5%27.0%30.2%6.3%3.1%335.9K-14.0M-68.4K0.7122.13N/AN/A73529,6556,295
2009-06-08$31.89$25.0044.9%9.9%29.4%30.0%36.4%7.4%-1.0%333.4K-15.0M-67.2K0.0125.47N/AN/A32449,6726,319
2009-06-09$32.10$25.0050.5%9.4%29.1%26.6%34.1%6.5%1.2%340.9K-15.5M-66.7K0.5124.00N/AN/A108559,8036,321
2009-06-10$32.76$25.0023.8%6.9%29.5%10.0%35.5%6.9%1.4%303.8K-17.6M-64.5K0.1412.23N/AN/A426609,8076,364
2009-06-11$33.21$25.0028.0%8.0%29.7%17.4%50.9%8.0%-0.9%290.4K-19.2M-65.6K0.0011.69N/AN/A93,5441119,9676,411
2009-06-12$32.06$30.0033.6%9.6%32.7%28.0%33.6%6.9%1.2%-24.8K-1.4M-47.2K10.0813.71N/AN/A1041,0484,0476,467
2009-06-15$32.15$30.0035.8%10.3%31.7%32.0%31.9%8.0%0.0%-78.8K-1.2M-49.0K2.4112.54N/AN/A461114,1316,983
2009-06-16$31.57$30.0035.1%10.1%31.4%30.6%35.0%5.0%0.7%-91.4K-622.7K-48.9K0.0713.08N/AN/A542404,1516,962
2009-06-17$31.52$30.0034.2%9.8%31.1%28.9%29.4%4.4%0.9%-102.5K-186.5K-48.5K0.0917.56N/AN/A169164,1386,962
2009-06-18$31.87$30.0033.4%9.6%31.3%27.5%30.3%5.3%1.4%-65.8K-1.3M-49.2K1.0013.37N/AN/A50504,2746,970
2009-06-19$31.03$30.0031.7%9.1%30.7%24.3%31.7%0.7%2.8%-120.4K8.3K-49.1K1.9514.23N/AN/A551074,2696,967
2009-06-22$31.23$30.0032.8%9.4%30.5%26.3%32.7%1.6%1.7%-99.6K27.9K-47.7K0.6615.31N/AN/A87573,9226,340
2009-06-23$31.49$30.0030.9%8.9%28.1%23.0%30.0%2.0%4.3%-83.3K-719.2K-47.4K0.4015.58N/AN/A111443,9856,355
2009-06-24$31.51$30.0030.8%8.8%27.3%22.8%30.8%2.3%2.0%-85.4K-648.2K-47.4K0.787.90N/AN/A3402644,0586,369
2009-06-25$32.16$30.0030.9%8.9%27.2%22.9%27.6%2.8%2.0%-45.6K-2.1M-48.0K1.1318.15N/AN/A1952214,2616,573
2009-06-26$31.39$30.0026.8%7.7%28.7%15.3%26.8%7.5%5.6%-125.6K-635.9K-49.0K2.878.16N/AN/A23664,2846,743
2009-06-29$31.77$30.0029.9%8.6%28.6%21.1%0.0%9.6%0.2%-93.0K-1.3M-46.6K1.177.61N/AN/A60704,2996,766
2009-06-30$30.70$30.0027.8%8.0%30.3%17.2%27.8%7.1%2.1%-183.8K1.0M-47.7K1.1911.82N/AN/A1852204,2986,814