CTL Options History — August 2009

In August 2009, CTL traded between $30.82 and $32.48. ATM implied volatility averaged 30.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 13.1% (HV 20d: 16.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2009-08-13: Highest Volume — 1,785 contracts
  • 2009-08-12: Largest IV spike — 41.1% change
  • 2009-08-03: Highest IV Rank — 29.3%
  • 2009-08-03: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.75$30.82$32.48$31.47$32.23
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV30.0%22.7%34.4%34.4%31.2%
Expected Move8.6%6.5%9.9%9.9%9.0%
HV 20d16.8%15.4%18.8%18.4%15.5%
HV 60d25.4%22.7%26.9%26.9%22.7%
IV Rank21.3%7.6%29.3%29.3%23.5%
IV Percentile20.5%0.8%40.5%40.5%27.4%
Term Structure-0.7%-9.2%16.7%-2.7%-3.1%
VWIV29.2%19.0%37.6%34.4%30.9%
Skew 25d10.6%0.8%17.4%0.8%11.7%
Skew 10d14.1%0.8%38.5%1.4%15.1%
Call IV 25d19.5%14.6%33.6%33.6%18.0%
Put IV 25d30.1%26.0%34.9%34.4%29.7%
Bid-Ask Spread %9.575.5916.3716.3710.15
Gamma HHI0.380.330.460.370.41
Net GEX228.5K134.3K315.3K139.8K315.3K
Net DEX-4.9M-6.7M-3.1M-3.6M-5.8M
Net VEX-55.0K-64.4K-45.1K-50.3K-64.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.024.250.040.39
Total Volume503.191561,7859031,078
Total OI13,864.90511,96915,26811,96914,938

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$31.47$30.0034.4%9.9%18.4%29.3%34.4%0.8%-2.7%139.8K-3.6M-50.3K0.0416.37N/AN/A865385,9106,059
2009-08-04$31.51$30.0033.4%9.6%18.4%27.4%33.4%11.8%-1.1%165.0K-3.8M-51.5K1.906.74N/AN/A611166,2486,068
2009-08-05$31.60$30.0033.5%9.6%16.5%27.7%33.6%11.8%-1.6%170.0K-4.3M-51.2K3.018.27N/AN/A1925776,2666,064
2009-08-06$32.20$30.0022.7%6.5%17.4%7.6%29.2%17.4%16.7%176.8K-5.6M-51.6K0.4410.43N/AN/A2401056,4406,215
2009-08-07$31.92$30.0031.4%8.6%16.0%21.4%29.3%3.5%-0.8%182.6K-5.3M-51.9K1.6510.62N/AN/A781296,5336,273
2009-08-10$32.00$30.0030.6%8.6%16.0%21.0%22.1%6.5%0.6%178.1K-5.4M-50.1K0.5214.46N/AN/A106556,5606,336
2009-08-11$31.65$30.0022.8%8.3%16.7%19.5%28.5%1.8%-0.5%178.5K-4.4M-49.4K0.2813.50N/AN/A125356,6006,374
2009-08-12$31.81$30.0032.2%8.3%16.2%19.4%28.9%13.2%1.1%185.4K-5.2M-49.5K1.746.27N/AN/A1662896,6496,401
2009-08-13$31.80$30.0030.3%8.7%16.3%21.7%19.0%13.3%-0.7%134.3K-5.3M-47.7K0.035.87N/AN/A1,739466,6746,608
2009-08-14$31.53$30.0029.1%8.3%16.8%19.6%29.0%10.7%0.3%250.0K-5.2M-59.1K0.855.59N/AN/A88758,2866,616
2009-08-17$30.82$30.0029.5%8.5%18.8%20.4%29.6%13.5%-0.7%235.1K-3.1M-56.9K0.9113.55N/AN/A3202908,3156,622
2009-08-18$31.05$30.0029.6%8.5%18.5%20.5%28.0%15.6%-0.6%278.3K-4.2M-57.4K0.6614.56N/AN/A3082028,4676,530
2009-08-19$31.01$30.0029.0%8.3%18.2%19.4%28.8%15.7%-0.4%237.8K-4.8M-57.1K2.1714.82N/AN/A651418,4886,570
2009-08-20$31.18$30.0028.3%8.1%16.0%18.0%27.9%9.1%0.1%221.3K-5.3M-56.4K0.066.14N/AN/A614348,4606,629
2009-08-21$31.73$30.0028.6%8.2%17.0%18.6%28.5%11.9%-0.9%251.3K-6.7M-57.9K0.236.45N/AN/A127298,6296,639
2009-08-24$31.80$30.0031.8%9.1%16.1%24.6%27.5%4.4%-8.7%315.1K-4.8M-45.1K4.255.90N/AN/A1144847,6345,943
2009-08-25$32.20$30.0029.0%8.3%16.6%19.4%28.3%11.7%-0.8%270.9K-4.9M-58.8K0.297.14N/AN/A5821697,6896,367
2009-08-26$32.48$30.0029.2%8.4%16.5%19.7%29.1%13.4%0.0%300.9K-5.8M-61.2K0.468.62N/AN/A3751738,0266,446
2009-08-27$32.38$30.0030.3%8.7%16.3%21.8%30.4%13.3%-2.4%299.0K-5.2M-63.9K0.026.49N/AN/A17038,1976,545
2009-08-28$32.40$30.0033.0%9.5%15.4%26.8%37.6%10.8%-9.2%312.6K-5.4M-64.2K0.049.03N/AN/A15778,3046,545
2009-08-31$32.23$30.0031.2%9.0%15.5%23.5%30.9%11.7%-3.1%315.3K-5.8M-64.4K0.3910.15N/AN/A7773018,3876,551