CTL Options History — December 2009

In December 2009, CTL traded between $35.09 and $36.82. ATM implied volatility averaged 21.7%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 3.3% (HV 20d: 18.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.96.

Notable Days

  • 2009-12-03: Highest Volume — 3,440 contracts
  • 2009-12-04: Largest IV spike — 15.7% change
  • 2009-12-07: Highest IV Rank — 16.6%
  • 2009-12-07: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.14$35.09$36.82$35.95$36.21
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.7%18.7%23.8%19.4%21.6%
Expected Move6.3%5.4%7.0%5.6%6.2%
HV 20d18.4%16.2%20.2%18.9%16.2%
HV 60d20.8%19.0%21.8%21.2%19.1%
IV Rank13.6%5.2%16.6%6.4%15.2%
IV Percentile9.0%0.8%15.1%2.0%10.7%
Term Structure1.8%-0.1%3.6%1.5%0.8%
VWIV22.0%18.6%24.6%19.4%21.6%
Skew 25d4.7%-2.4%10.9%4.5%5.0%
Skew 10d14.8%-4.2%34.0%33.8%8.4%
Call IV 25d18.3%14.6%24.1%18.0%16.5%
Put IV 25d23.1%19.0%28.2%22.4%21.5%
Bid-Ask Spread %9.174.0620.806.468.28
Gamma HHI0.720.400.910.890.66
Net GEX405.3K-2.5M895.3K895.3K660.8K
Net DEX-15.1M-19.7M-5.1M-15.7M-17.0M
Net VEX-91.0K-96.3K-82.7K-89.0K-86.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.157.390.220.15
Total Volume833.4551243,4402,220753
Total OI22,555.81819,69924,32120,12623,764

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$35.95$35.0019.4%5.6%18.9%6.4%19.4%4.5%1.5%895.3K-15.7M-89.0K0.226.46N/AN/A1,81540510,9329,194
2009-12-02$36.55$35.0022.1%6.3%19.3%11.7%22.0%5.9%-0.1%786.1K-19.0M-85.4K0.866.67N/AN/A34529710,7169,117
2009-12-03$36.22$35.0018.7%5.4%19.8%5.2%18.6%1.5%3.6%794.9K-17.1M-86.7K7.3912.22N/AN/A4103,03010,7548,945
2009-12-04$36.34$35.0021.6%6.8%16.8%15.0%23.7%5.1%1.6%521.1K-15.9M-96.0K3.4220.80N/AN/A4751,62310,99910,528
2009-12-07$36.70$35.0023.7%7.0%16.9%16.6%24.6%3.8%0.9%500.8K-18.6M-90.3K1.2317.16N/AN/A23929410,96510,820
2009-12-08$36.53$35.0021.0%6.7%16.7%14.2%23.0%4.8%2.4%476.1K-17.1M-93.2K1.8414.98N/AN/A10519310,99611,042
2009-12-09$35.87$35.0022.0%6.7%17.9%14.8%23.5%4.7%1.5%425.4K-12.4M-96.3K3.2713.98N/AN/A13945511,05111,178
2009-12-10$36.24$35.0023.4%6.7%18.0%14.9%23.4%4.7%2.0%406.6K-15.1M-95.7K4.1114.42N/AN/A6125111,09411,569
2009-12-11$36.82$35.0023.8%6.8%17.9%16.4%23.8%4.3%1.6%414.4K-18.9M-91.7K0.346.48N/AN/A2237511,14811,711
2009-12-14$36.43$35.0023.4%6.7%18.2%15.5%23.4%1.8%1.3%442.1K-17.1M-91.9K1.595.93N/AN/A6310011,22411,682
2009-12-15$35.96$35.0023.7%6.8%19.0%16.0%23.7%-1.1%0.9%385.7K-13.4M-94.2K5.095.16N/AN/A2171,10511,27011,738
2009-12-16$35.75$35.0022.8%6.5%19.2%14.8%22.8%-2.4%2.1%93.9K-12.3M-94.0K1.836.01N/AN/A31357311,40712,530
2009-12-17$35.15$35.0022.7%6.5%20.2%16.0%22.7%10.7%1.9%-349.5K-5.1M-95.8K0.744.06N/AN/A21315811,57112,649
2009-12-18$35.09$35.0022.1%6.3%20.2%16.0%22.1%10.9%2.2%-2.5M-6.0M-95.4K0.835.91N/AN/A34428611,60812,713
2009-12-21$35.53$35.0021.1%6.1%18.9%13.6%21.2%3.9%2.4%745.1K-10.2M-91.6K0.336.99N/AN/A66622011,16311,066
2009-12-22$35.91$35.0021.2%6.1%19.3%13.7%21.2%5.6%1.8%747.3K-14.1M-92.2K0.687.61N/AN/A26017611,53311,225
2009-12-23$36.11$35.0019.7%5.7%19.3%10.0%19.7%6.7%2.8%751.7K-15.6M-89.3K3.187.82N/AN/A30797611,51111,310
2009-12-24$36.13$35.0020.4%5.8%18.5%11.9%20.4%7.1%2.3%689.6K-15.2M-92.2K4.347.70N/AN/A7130811,50411,678
2009-12-28$36.49$35.0021.5%6.2%18.9%15.0%21.5%6.1%2.0%638.9K-18.3M-86.8K0.238.99N/AN/A1012311,54211,854
2009-12-29$36.49$35.0021.0%6.0%17.3%13.7%21.1%5.5%1.7%641.6K-18.9M-86.0K0.597.11N/AN/A1368011,53811,857
2009-12-30$36.54$35.0020.8%6.0%17.0%12.9%20.6%5.2%2.6%716.0K-19.7M-82.7K0.776.97N/AN/A25619611,60511,927
2009-12-31$36.21$35.0021.6%6.2%16.2%15.2%21.6%5.0%0.8%660.8K-17.0M-86.9K0.158.28N/AN/A6559811,68012,084