CTL Options History — November 2009

In November 2009, CTL traded between $32.74 and $36.31. ATM implied volatility averaged 21.6%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.6% (HV 20d: 21.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2009-11-27: Highest Volume — 37,004 contracts
  • 2009-11-05: Largest IV drop — 24.1% change
  • 2009-11-03: Highest IV Rank — 24.8%
  • 2009-11-03: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.73$32.74$36.31$32.74$35.59
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.6%18.6%30.0%27.9%19.8%
Expected Move6.3%5.4%8.6%8.0%5.7%
HV 20d21.1%18.2%23.1%20.8%18.9%
HV 60d21.3%20.7%21.8%20.7%21.1%
IV Rank11.0%5.4%24.8%21.0%7.1%
IV Percentile5.7%1.2%30.2%19.4%2.0%
Term Structure0.1%-4.7%2.0%-3.7%2.0%
VWIV22.2%18.9%30.5%27.5%19.8%
Skew 25d7.8%-4.0%40.3%7.4%16.8%
Skew 10d12.4%-3.6%52.9%9.4%39.8%
Call IV 25d20.8%17.0%27.7%27.7%18.6%
Put IV 25d28.5%19.2%61.7%35.1%35.4%
Bid-Ask Spread %13.874.9232.1517.927.29
Gamma HHI0.900.700.970.710.83
Net GEX1.4M574.3K3.0M587.1K778.9K
Net DEX-13.3M-23.9M-2.9M-2.9M-12.7M
Net VEX-85.5K-97.1K-73.1K-73.1K-89.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.025.270.100.75
Total Volume2,697.3512837,0041691,000
Total OI21,003.0519,25023,25119,45219,616

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$32.74$35.0027.9%8.0%20.8%21.0%27.5%7.4%-3.7%587.1K-2.9M-73.1K0.1017.92N/AN/A1541511,4627,990
2009-11-03$32.77$35.0030.0%8.6%20.7%24.8%30.5%7.2%-4.7%574.3K-2.9M-75.8K5.2718.86N/AN/A8444311,4918,004
2009-11-04$33.18$35.0027.3%7.8%20.2%20.0%27.5%5.4%-3.8%715.7K-5.3M-76.2K0.1732.15N/AN/A89615311,5157,735
2009-11-05$34.27$35.0020.7%5.9%23.1%8.3%20.8%40.3%2.0%1.1M-10.9M-82.3K0.059.83N/AN/A7393911,7927,709
2009-11-06$34.54$35.0019.1%6.4%22.8%11.4%22.4%5.9%0.6%1.3M-12.2M-83.0K0.1412.46N/AN/A1121612,0877,721
2009-11-09$34.99$35.0020.2%6.4%23.1%11.0%22.2%6.4%0.6%1.4M-15.3M-80.9K0.4617.10N/AN/A1,15553412,0787,747
2009-11-10$34.74$35.0019.6%6.1%22.8%9.5%21.5%5.8%0.9%1.5M-13.8M-83.0K0.8517.35N/AN/A82170012,2528,000
2009-11-11$34.59$35.0018.6%6.2%22.9%9.8%21.7%5.3%0.9%1.5M-11.7M-86.5K0.2216.90N/AN/A54811812,4968,514
2009-11-12$34.21$35.0021.0%6.0%22.7%8.8%21.0%6.0%1.2%1.3M-8.8M-84.2K0.2315.84N/AN/A57213012,5648,558
2009-11-13$34.65$35.0021.5%6.2%22.7%9.6%21.5%6.6%1.0%1.7M-12.1M-87.1K0.1016.38N/AN/A8808912,9308,676
2009-11-16$34.78$35.0021.9%6.3%21.5%10.4%21.9%7.7%0.4%2.0M-13.8M-89.7K0.3817.53N/AN/A30211513,3528,750
2009-11-17$34.78$35.0020.6%5.9%21.0%8.1%20.7%7.2%1.2%2.2M-13.6M-88.0K1.8615.73N/AN/A18935213,4398,779
2009-11-18$34.65$35.0021.2%6.1%20.6%9.2%21.2%6.5%0.2%2.0M-11.5M-85.0K0.5815.05N/AN/A1086313,4678,963
2009-11-19$34.79$35.0020.5%5.9%20.5%8.0%20.5%7.6%1.1%3.0M-11.6M-86.2K0.0714.48N/AN/A8956113,5239,026
2009-11-20$35.61$35.0021.3%6.1%20.5%9.2%21.3%10.6%0.6%1.6M-23.9M-89.3K0.154.92N/AN/A2,19332314,2479,004
2009-11-23$35.54$35.0019.3%5.5%19.7%6.1%19.3%1.2%1.6%1.3M-18.0M-90.9K0.655.86N/AN/A67643913,0408,114
2009-11-24$35.67$35.0018.9%5.4%19.5%5.4%18.9%1.7%1.3%1.4M-18.5M-91.6K0.195.94N/AN/A3246113,2108,362
2009-11-25$36.22$35.0020.8%6.0%19.1%9.0%21.6%3.5%-1.6%1.4M-23.8M-90.7K0.136.28N/AN/A1,45718713,4098,388
2009-11-27$36.31$35.0022.6%6.5%18.2%12.5%23.1%-4.0%-1.0%1.2M-22.8M-97.1K0.029.58N/AN/A36,39660813,5558,496
2009-11-30$35.59$35.0019.8%5.7%18.9%7.1%19.8%16.8%2.0%778.9K-12.7M-89.3K0.757.29N/AN/A57043010,6228,994