CTL Options History — July 2009

In July 2009, CTL traded between $29.20 and $31.83. ATM implied volatility averaged 29.4%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.4% (HV 20d: 28.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2009-07-08: Highest Volume — 2,129 contracts
  • 2009-07-06: Largest IV spike — 16.1% change
  • 2009-07-09: Highest IV Rank — 29.2%
  • 2009-07-09: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.22$29.20$31.83$30.94$31.39
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV29.4%25.7%33.5%26.3%30.7%
Expected Move8.7%7.4%9.8%7.5%8.8%
HV 20d28.1%18.8%31.8%29.4%18.8%
HV 60d29.0%27.7%31.5%30.3%27.8%
IV Rank21.7%13.2%29.2%14.3%22.5%
IV Percentile18.7%3.2%33.7%3.6%21.8%
Term Structure1.5%-0.6%5.3%4.0%0.6%
VWIV30.2%25.6%34.7%26.3%30.7%
Skew 25d7.4%-0.3%18.7%12.7%-0.3%
Skew 10d13.2%-0.9%43.2%43.2%0.7%
Call IV 25d25.8%20.4%33.9%20.4%31.0%
Put IV 25d33.3%25.9%39.2%33.1%30.8%
Bid-Ask Spread %13.425.2024.279.6615.11
Gamma HHI0.470.370.780.490.37
Net GEX-149.8K-1.1M153.5K-201.5K139.4K
Net DEX1.1M-4.7M6.0M600.9K-3.6M
Net VEX-51.2K-54.5K-47.0K-48.2K-51.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.062.751.132.60
Total Volume411.182522,129207108
Total OI12,228.81810,37914,34911,39711,970

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$30.94$30.0026.3%7.5%29.4%14.3%26.3%12.7%4.0%-201.5K600.9K-48.2K1.139.66N/AN/A971104,3837,014
2009-07-02$29.65$30.0025.7%7.4%31.0%13.2%25.6%2.3%5.3%-267.4K2.9M-48.5K0.879.65N/AN/A92804,3797,062
2009-07-06$30.06$30.0029.8%9.0%31.5%23.8%31.3%5.7%0.2%-267.8K2.8M-47.0K0.2617.65N/AN/A368944,4287,109
2009-07-07$30.23$30.0031.4%9.4%31.4%26.3%32.7%4.5%0.2%-242.3K1.9M-49.9K0.5821.12N/AN/A2041184,7357,144
2009-07-08$29.65$30.0033.5%9.7%31.8%28.6%34.0%5.3%0.8%-240.1K3.6M-48.9K0.9724.27N/AN/A1,0831,0464,7927,184
2009-07-09$29.75$30.0031.3%9.8%30.6%29.2%34.7%5.6%0.8%-266.4K3.4M-54.5K1.4816.40N/AN/A2643915,5417,997
2009-07-10$29.20$30.0029.0%9.7%30.2%28.4%33.9%4.4%0.9%-272.5K5.4M-54.2K0.7522.27N/AN/A2421825,5278,153
2009-07-13$29.34$30.0028.5%9.1%28.4%24.7%31.9%11.4%1.4%-327.7K5.4M-53.4K0.4814.34N/AN/A141685,5988,278
2009-07-14$29.25$30.0028.5%8.8%28.3%22.6%30.8%9.7%1.0%-315.9K6.0M-52.1K0.2210.22N/AN/A228505,6468,308
2009-07-15$29.69$30.0030.3%8.9%28.6%23.2%31.1%12.7%0.5%-417.9K3.9M-53.7K0.3410.05N/AN/A188635,8488,333
2009-07-16$29.83$30.0030.2%8.6%28.7%21.5%30.0%10.9%1.4%-589.9K3.6M-53.1K0.8913.16N/AN/A87775,9778,372
2009-07-17$29.80$30.0029.3%8.4%28.3%19.9%29.3%10.9%1.8%-1.1M4.8M-50.7K0.3813.47N/AN/A73285,9408,207
2009-07-20$29.60$30.0028.2%8.1%26.9%17.9%28.3%11.0%3.1%6.2K1.4M-48.9K0.2613.58N/AN/A261684,7465,633
2009-07-21$29.97$30.0028.2%8.1%27.3%17.8%28.2%12.8%2.0%39.3K710.2K-49.8K0.1314.22N/AN/A1,3351744,9405,658
2009-07-22$29.72$30.0027.1%7.8%27.1%15.9%27.1%11.0%3.2%114.4K131.9K-52.3K0.1314.44N/AN/A4665,6995,680
2009-07-23$30.49$30.0028.0%8.0%28.9%17.5%28.0%5.0%2.2%139.0K-1.6M-52.3K0.065.20N/AN/A319205,5995,589
2009-07-24$30.58$30.0028.5%8.2%27.8%18.4%28.5%5.9%2.2%148.0K-2.0M-52.1K1.886.23N/AN/A50945,6805,600
2009-07-27$31.10$30.0031.6%9.1%27.3%24.3%31.6%18.7%-0.6%149.1K-3.0M-52.1K0.875.42N/AN/A1221065,7115,685
2009-07-28$31.24$30.0029.6%8.5%27.0%20.4%29.6%0.2%1.1%153.5K-3.6M-50.4K2.756.13N/AN/A922535,6855,697
2009-07-29$31.52$30.0031.1%8.9%24.1%23.2%31.1%1.3%0.9%138.2K-3.8M-52.1K0.2815.10N/AN/A169475,7435,934
2009-07-30$31.83$30.0030.9%8.9%24.2%23.0%30.3%1.8%0.7%148.8K-4.7M-51.2K0.3517.51N/AN/A2981045,8595,971
2009-07-31$31.39$30.0030.7%8.8%18.8%22.5%30.7%-0.3%0.6%139.4K-3.6M-51.8K2.6015.11N/AN/A30785,9096,061