CTL Options History — September 2009

In September 2009, CTL traded between $31.01 and $33.78. ATM implied volatility averaged 24.6%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 5.7% (HV 20d: 18.9%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2009-09-02: Highest Volume — 5,632 contracts
  • 2009-09-09: Largest IV spike — 58.0% change
  • 2009-09-02: Highest IV Rank — 16.9%
  • 2009-09-02: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.03$31.01$33.78$31.78$33.60
Max Pain$30.24$30.00$35.00$30.00$30.00
ATM IV24.6%15.4%31.1%29.2%21.3%
Expected Move7.3%5.2%8.9%8.4%6.1%
HV 20d18.9%15.6%23.1%16.5%22.4%
HV 60d21.3%18.9%23.1%22.9%19.0%
IV Rank7.8%0.0%16.9%13.1%5.7%
IV Percentile5.4%0.0%25.8%15.1%1.2%
Term Structure1.7%-3.9%4.0%-1.7%3.7%
VWIV26.3%20.9%32.8%28.9%25.6%
Skew 25d6.9%-1.6%40.7%10.0%-0.4%
Skew 10d11.7%-3.1%54.6%15.5%-2.2%
Call IV 25d21.8%15.4%25.9%18.5%21.7%
Put IV 25d28.7%20.4%64.9%28.5%21.2%
Bid-Ask Spread %12.916.6121.358.6213.68
Gamma HHI0.590.390.790.390.79
Net GEX289.5K59.0K703.8K299.0K703.8K
Net DEX-5.5M-12.3M-1.2M-4.9M-11.9M
Net VEX-69.3K-78.5K-56.9K-65.5K-78.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.0612.560.140.14
Total Volume822.8571185,632874480
Total OI17,770.52415,66520,95015,66520,950

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$31.78$30.0029.2%8.4%16.5%13.1%28.9%10.0%-1.7%299.0K-4.9M-65.5K0.148.62N/AN/A7651098,8686,797
2009-09-02$31.87$30.0031.1%8.9%16.5%16.9%32.8%9.6%-3.9%370.3K-6.6M-56.9K0.299.17N/AN/A4,3511,2819,2506,883
2009-09-03$31.01$35.0024.9%7.1%17.7%4.5%24.9%6.6%3.0%74.8K-1.2M-68.0K3.4610.17N/AN/A1455028,4657,675
2009-09-04$31.18$30.0024.0%8.0%17.7%10.9%28.1%6.1%2.3%59.0K-1.7M-68.5K1.0221.35N/AN/A2702758,5127,916
2009-09-08$31.54$30.0015.4%8.0%18.2%10.8%27.2%3.4%2.3%173.5K-3.4M-68.3K0.2215.92N/AN/A133298,6108,115
2009-09-09$31.37$30.0024.3%7.9%17.9%10.1%27.0%1.8%2.1%110.2K-2.6M-68.0K0.4514.49N/AN/A103468,6988,120
2009-09-10$31.53$30.0027.6%7.9%17.9%9.9%27.6%5.4%1.5%204.3K-3.6M-68.1K0.2515.01N/AN/A330838,7758,156
2009-09-11$31.51$30.0026.9%7.7%17.9%8.6%26.7%2.1%2.4%207.3K-3.7M-67.7K0.4514.76N/AN/A132599,0538,226
2009-09-14$31.48$30.0027.7%7.9%17.7%10.1%27.6%1.8%1.3%232.7K-3.3M-64.6K0.0615.16N/AN/A411259,0958,244
2009-09-15$31.68$30.0026.9%7.7%15.6%8.4%26.2%1.7%1.6%279.3K-4.9M-68.7K0.2715.67N/AN/A100279,3428,251
2009-09-16$32.32$30.0027.5%7.9%16.9%9.7%27.4%4.2%1.6%369.4K-6.4M-66.7K12.5616.81N/AN/A821,0309,3658,259
2009-09-17$31.75$30.0026.5%7.6%18.2%7.6%22.8%10.4%2.3%237.0K-4.6M-70.9K0.227.47N/AN/A97219,3819,026
2009-09-18$31.61$30.0027.8%8.0%18.3%10.3%27.4%11.2%0.6%224.2K-3.8M-67.2K3.437.05N/AN/A913129,3888,972
2009-09-21$31.46$30.0027.5%7.9%17.2%9.8%27.5%9.7%0.9%188.7K-3.3M-68.0K3.107.60N/AN/A1063299,2238,252
2009-09-22$31.29$30.0025.9%7.4%17.3%6.6%26.0%7.7%2.5%143.0K-2.6M-66.6K1.156.61N/AN/A1111289,3138,545
2009-09-23$32.57$30.0022.3%6.4%22.2%0.0%23.6%4.5%2.8%333.4K-7.5M-69.0K1.0420.65N/AN/A5916129,4028,588
2009-09-24$32.69$30.0018.8%5.4%22.0%0.0%27.1%4.7%3.0%336.9K-7.4M-75.3K0.6719.76N/AN/A4112779,6819,107
2009-09-25$32.95$30.0018.1%5.2%22.1%0.0%24.2%5.2%1.5%375.6K-8.3M-76.8K0.5011.53N/AN/A5582789,8019,359
2009-09-28$33.60$30.0021.8%6.2%23.1%6.7%22.0%-1.6%2.3%539.5K-11.1M-76.3K0.329.92N/AN/A41113310,1639,515
2009-09-29$33.78$30.0020.8%6.0%23.0%4.9%20.9%40.7%4.0%616.9K-12.3M-76.7K0.789.63N/AN/A1,15089610,3799,461
2009-09-30$33.60$30.0021.3%6.1%22.4%5.7%25.6%-0.4%3.7%703.8K-11.9M-78.5K0.1413.68N/AN/A4206010,9869,964