CTL Options History — October 2009

In October 2009, CTL traded between $32.29 and $34.34. ATM implied volatility averaged 23.0%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.4% (HV 20d: 23.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2009-10-19: Highest Volume — 2,606 contracts
  • 2009-10-30: Largest IV spike — 37.1% change
  • 2009-10-30: Highest IV Rank — 30.2%
  • 2009-10-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.20$32.29$34.34$33.48$32.46
Max Pain$32.73$30.00$35.00$30.00$35.00
ATM IV23.0%16.0%33.1%23.0%33.1%
Expected Move7.1%4.6%9.5%6.6%9.5%
HV 20d23.4%21.8%25.2%22.5%22.4%
HV 60d19.9%18.5%20.8%18.5%20.7%
IV Rank15.5%0.0%30.2%8.9%30.2%
IV Percentile8.4%0.0%44.0%2.8%44.0%
Term Structure-0.4%-3.9%10.9%2.2%-0.5%
VWIV25.4%18.8%32.7%23.2%32.7%
Skew 25d4.6%-1.8%14.4%-1.8%4.3%
Skew 10d8.0%-3.4%17.7%-3.4%6.6%
Call IV 25d23.9%14.8%29.2%23.6%27.7%
Put IV 25d28.5%21.8%32.1%21.8%32.1%
Bid-Ask Spread %13.456.4020.9015.6120.90
Gamma HHI0.710.610.830.730.65
Net GEX529.3K333.3K731.3K539.8K509.6K
Net DEX-7.8M-12.2M-1.4M-11.3M-1.8M
Net VEX-77.0K-86.5K-70.5K-78.0K-78.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.140.651.13
Total Volume533.364942,60694523
Total OI19,498.18216,11320,82519,76519,618

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$33.48$30.0023.0%6.6%22.5%8.9%23.2%-1.8%2.2%539.8K-11.3M-78.0K0.6515.61N/AN/A573710,5089,257
2009-10-02$32.62$30.0016.0%4.6%22.2%0.0%18.8%14.4%10.9%359.1K-7.7M-78.0K0.9416.60N/AN/A666210,5399,275
2009-10-05$33.40$35.0018.2%7.2%23.5%16.0%25.2%7.1%-0.3%502.6K-10.4M-77.4K0.0311.75N/AN/A3161010,5479,329
2009-10-06$33.58$35.0018.8%6.9%23.3%14.5%24.9%8.2%-0.3%588.9K-11.8M-76.5K0.249.58N/AN/A1393410,7169,339
2009-10-07$32.96$35.0016.6%7.2%24.4%16.1%26.1%5.2%-1.8%430.2K-9.5M-71.9K0.339.19N/AN/A2126910,7899,360
2009-10-08$32.86$35.0019.9%7.2%24.4%15.8%25.1%4.7%-1.4%398.8K-9.0M-71.4K0.829.46N/AN/A1048510,8629,424
2009-10-09$32.58$30.0020.2%7.1%24.7%15.5%25.3%3.6%-1.0%333.3K-7.6M-71.8K0.818.91N/AN/A625010,6729,494
2009-10-12$32.80$30.0021.0%7.1%24.8%15.2%24.7%2.6%-0.8%371.4K-8.3M-70.5K0.0011.58N/AN/A127010,6689,508
2009-10-13$33.34$30.0018.7%7.0%25.2%15.1%25.4%5.7%-0.9%478.2K-9.4M-73.1K0.1712.10N/AN/A4497810,7499,508
2009-10-14$33.44$30.0024.4%7.2%24.4%16.0%25.1%4.8%-1.0%500.9K-10.6M-74.9K0.0811.82N/AN/A1691410,8569,506
2009-10-15$33.98$30.0025.0%7.2%23.7%15.9%25.1%6.0%-1.4%715.6K-12.2M-70.8K0.4213.35N/AN/A48020310,8699,499
2009-10-16$33.62$30.0024.8%7.1%24.1%15.5%24.8%4.6%-1.4%567.8K-11.1M-72.2K0.1413.51N/AN/A1,13116011,1779,648
2009-10-19$34.34$30.0024.5%7.0%24.7%15.1%24.5%5.1%0.3%694.0K-9.9M-74.8K0.226.40N/AN/A2,1384689,2926,821
2009-10-20$33.93$30.0022.9%6.6%25.2%12.1%23.2%4.7%1.1%731.3K-9.2M-78.3K1.1414.99N/AN/A87199410,0757,129
2009-10-21$33.56$35.0025.2%7.2%21.8%16.2%25.2%2.5%-2.2%627.0K-7.0M-83.8K0.2716.72N/AN/A57815710,5937,934
2009-10-22$33.75$35.0023.5%6.7%21.8%13.3%23.5%4.6%-0.4%696.4K-7.9M-86.5K0.5715.32N/AN/A22612910,8098,005
2009-10-23$33.12$35.0023.2%6.6%22.8%12.6%23.2%2.6%-0.5%585.8K-5.2M-82.6K0.2718.29N/AN/A2847810,9498,019
2009-10-26$32.70$35.0025.6%7.3%22.1%16.9%25.8%3.7%-3.4%492.4K-3.7M-82.8K0.7814.46N/AN/A1279911,1428,084
2009-10-27$32.62$35.0026.5%7.6%22.0%18.6%26.9%3.0%-3.9%478.1K-3.5M-80.4K0.2015.99N/AN/A2234511,1648,147
2009-10-28$32.29$35.0030.9%8.9%22.1%26.4%28.5%-0.5%-0.6%447.1K-1.4M-77.8K0.3418.67N/AN/A2137211,3158,152
2009-10-29$32.98$35.0024.1%6.9%23.6%14.3%32.1%6.3%-1.9%596.1K-4.3M-81.7K0.1210.78N/AN/A3524311,4098,204
2009-10-30$32.46$35.0033.1%9.5%22.4%30.2%32.7%4.3%-0.5%509.6K-1.8M-78.1K1.1320.90N/AN/A24527811,4438,175