CTL Options History — January 2010

In January 2010, CTL traded between $33.99 and $36.72. ATM implied volatility averaged 20.9%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.7% (HV 20d: 20.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 2.06.

Notable Days

  • 2010-01-05: Highest Volume — 5,841 contracts
  • 2010-01-06: Largest IV spike — 65.3% change
  • 2010-01-05: Highest IV Rank — 22.9%
  • 2010-01-05: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.05$33.99$36.72$36.66$34.01
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV20.9%14.4%24.0%24.0%21.8%
Expected Move6.4%5.5%7.0%6.6%6.2%
HV 20d20.2%16.5%21.9%16.5%21.7%
HV 60d19.9%18.8%20.6%18.8%19.7%
IV Rank17.0%8.9%22.9%19.3%15.6%
IV Percentile13.6%2.4%21.4%16.3%13.5%
Term Structure0.9%-1.8%4.8%1.2%3.3%
VWIV22.3%19.3%24.3%23.0%21.8%
Skew 25d2.5%-2.3%9.8%3.3%-1.8%
Skew 10d5.2%-1.3%15.6%11.4%-1.0%
Call IV 25d20.5%15.9%24.7%21.9%21.2%
Put IV 25d23.0%16.6%28.4%25.1%19.4%
Bid-Ask Spread %11.543.8022.5117.488.73
Gamma HHI0.540.330.960.630.42
Net GEX780.6K-235.2K8.5M607.6K-84.6K
Net DEX-2.6M-24.5M8.5M-20.5M8.5M
Net VEX-106.1K-121.2K-76.1K-79.8K-115.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.0526.952.470.27
Total Volume1,7463495,8411,8591,771
Total OI24,681.26317,95229,88824,01123,253

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$36.66$35.0024.0%6.6%16.5%19.3%23.0%3.3%1.2%607.6K-20.5M-79.8K2.4717.48N/AN/A5361,32311,86612,145
2010-01-05$36.72$35.0014.4%7.0%16.5%22.9%24.3%5.0%-0.2%389.5K-24.5M-76.1K26.9520.29N/AN/A2095,63212,00112,586
2010-01-06$35.28$35.0023.8%6.8%21.5%21.0%23.8%4.6%-1.0%-169.6K-275.1K-107.2K0.4519.57N/AN/A1,36861211,97716,827
2010-01-07$34.94$35.0022.8%6.8%21.6%20.9%23.7%2.1%-1.5%208.8K2.5M-108.4K0.5422.51N/AN/A55630112,83016,307
2010-01-08$34.84$35.0019.7%6.9%20.8%21.6%23.9%8.3%-1.3%265.1K5.1M-107.6K0.3915.04N/AN/A1,29150413,00216,395
2010-01-11$35.20$35.0020.1%6.7%20.8%20.1%23.4%3.3%-1.0%1.2M-4.3M-102.4K0.8514.27N/AN/A69058812,98714,852
2010-01-12$35.11$35.0022.0%6.8%19.8%21.0%23.7%3.0%-1.2%1.3M-3.1M-103.2K0.6714.24N/AN/A25617113,28714,888
2010-01-13$35.40$35.0017.3%6.7%19.9%20.3%23.5%3.7%-1.8%2.0M-11.1M-99.3K0.3614.76N/AN/A27710113,36914,982
2010-01-14$35.43$35.0022.9%6.6%19.4%18.7%22.9%3.5%-1.5%1.4M-11.1M-97.7K0.0514.28N/AN/A3,84317913,47114,953
2010-01-15$35.07$35.0023.3%6.7%19.6%19.8%23.3%9.8%-1.8%8.5M-11.1M-106.2K0.453.80N/AN/A1,83782114,82515,063
2010-01-19$35.44$35.0021.8%6.2%19.0%15.7%21.8%3.6%0.5%17.0K-2.5M-104.0K0.895.73N/AN/A1,1019849,7828,170
2010-01-20$35.25$35.0022.5%6.5%19.1%17.7%22.5%3.8%-0.1%56.7K-2.2M-109.6K1.275.39N/AN/A50964610,5158,497
2010-01-21$34.43$35.0020.0%5.7%20.3%10.8%20.0%-1.4%3.3%-91.7K4.1M-107.4K0.656.44N/AN/A1,5761,01810,8358,882
2010-01-22$33.99$35.0020.7%5.9%20.2%12.6%20.6%-2.3%3.3%-114.0K7.1M-111.2K0.748.15N/AN/A56041711,6889,529
2010-01-25$34.77$35.0019.3%5.5%21.9%8.9%19.3%0.2%4.4%-235.2K2.2M-120.2K0.237.45N/AN/A60713811,8989,904
2010-01-26$34.77$35.0020.4%5.9%21.9%12.0%20.4%0.4%4.1%-151.1K1.4M-121.2K0.286.89N/AN/A2727712,2279,904
2010-01-27$34.50$35.0019.6%5.6%21.6%9.7%19.6%0.7%4.8%-191.5K3.6M-120.4K0.837.66N/AN/A92476412,3679,943
2010-01-28$34.11$35.0021.3%6.1%21.7%14.5%21.3%-1.4%3.5%-94.1K7.5M-117.3K0.816.63N/AN/A39631912,69010,247
2010-01-29$34.01$35.0021.8%6.2%21.7%15.6%21.8%-1.8%3.3%-84.6K8.5M-115.6K0.278.73N/AN/A1,39637512,85610,397