CTL Options History — February 2010

In February 2010, CTL traded between $33.63 and $35.81. ATM implied volatility averaged 21.8%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.2% (HV 20d: 20.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-02-25: Highest Volume — 6,819 contracts
  • 2010-02-11: Largest IV spike — 23.0% change
  • 2010-02-05: Highest IV Rank — 28.3%
  • 2010-02-05: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.73$33.63$35.81$34.27$34.27
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.8%15.1%24.7%20.2%15.1%
Expected Move6.5%4.3%7.6%5.8%4.3%
HV 20d20.6%18.6%22.3%21.9%20.7%
HV 60d19.6%18.6%20.3%19.8%19.9%
IV Rank18.1%0.0%28.3%11.5%0.0%
IV Percentile21.4%0.0%37.7%4.8%0.0%
Term Structure-0.8%-4.0%5.5%4.4%-0.6%
VWIV23.0%18.7%29.7%20.2%18.7%
Skew 25d3.3%-4.9%23.7%23.7%-4.9%
Skew 10d5.7%-4.4%32.4%32.4%-4.4%
Call IV 25d20.1%17.2%23.6%20.0%20.1%
Put IV 25d23.4%15.2%43.7%43.7%15.2%
Bid-Ask Spread %10.115.4817.605.489.59
Gamma HHI0.580.350.840.350.74
Net GEX-23.0K-2.0M1.3M-160.4K1.1M
Net DEX-249.2K-16.4M11.8M6.3M826.6K
Net VEX-124.9K-137.8K-111.5K-120.8K-137.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.121.150.750.35
Total Volume1,452.5263746,8195611,984
Total OI25,492.47423,16327,88523,78427,264

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$34.27$35.0020.2%5.8%21.9%11.5%20.2%23.7%4.4%-160.4K6.3M-120.8K0.755.48N/AN/A32024113,32410,460
2010-02-02$34.16$35.0019.5%5.6%21.2%9.5%19.5%-1.3%4.6%-164.2K7.0M-119.4K0.365.53N/AN/A27410013,45810,572
2010-02-03$34.47$35.0018.8%5.4%21.6%7.6%18.8%0.0%5.5%-230.1K4.4M-123.8K0.127.31N/AN/A3754413,58910,585
2010-02-04$33.63$35.0020.8%6.0%18.6%13.1%20.8%-1.1%4.5%-25.8K10.6M-112.1K0.8911.70N/AN/A30527113,81610,595
2010-02-05$33.81$35.0021.7%7.6%18.6%28.3%29.7%4.3%-4.0%-38.6K11.8M-111.5K0.8410.06N/AN/A37631713,89310,822
2010-02-08$34.35$35.0022.9%7.3%19.6%26.0%25.7%6.9%-3.2%-254.9K4.2M-123.4K0.5515.36N/AN/A84946313,88811,046
2010-02-09$34.74$35.0021.3%7.0%19.6%22.8%24.4%8.4%-1.6%-299.9K1.5M-123.5K0.3313.81N/AN/A55918514,07411,120
2010-02-10$35.01$35.0019.4%6.9%19.8%22.2%24.2%8.3%-1.6%-401.7K-1.3M-129.4K0.5217.31N/AN/A61531814,33911,220
2010-02-11$35.26$35.0023.9%6.9%19.8%21.5%23.9%8.7%-1.7%-486.6K-4.9M-131.6K0.2317.60N/AN/A55112414,77311,373
2010-02-12$34.57$35.0024.3%7.0%21.0%22.4%24.2%5.5%-1.9%-555.0K5.5M-124.3K1.1516.41N/AN/A59868615,06311,395
2010-02-16$35.14$35.0024.7%7.1%21.6%23.7%24.9%0.3%-2.1%-775.5K-2.7M-126.8K0.338.89N/AN/A1,14738015,22711,608
2010-02-17$35.10$35.0024.1%6.9%21.2%22.1%24.1%0.3%-2.0%-1.3M-3.9M-126.3K1.0211.08N/AN/A54855815,41511,637
2010-02-18$35.81$35.0024.5%7.0%22.3%23.0%24.5%4.7%-2.5%506.8K-16.4M-123.6K0.549.62N/AN/A90348915,69211,585
2010-02-19$35.10$35.0024.0%6.9%21.8%21.7%24.2%0.2%-3.5%-2.0M-4.3M-123.7K0.955.62N/AN/A99194316,21711,668
2010-02-22$35.12$35.0023.7%6.8%21.2%20.8%24.0%0.5%-3.3%1.1M-7.2M-124.1K0.386.03N/AN/A90234414,9708,193
2010-02-23$35.07$35.0023.3%6.7%19.7%19.9%23.3%-0.8%-2.9%1.1M-7.1M-127.8K0.687.73N/AN/A72649615,6348,426
2010-02-24$35.28$35.0022.8%6.5%19.8%18.4%22.8%1.4%-2.7%1.2M-8.6M-133.5K0.476.06N/AN/A1,90489316,0658,772
2010-02-25$34.65$35.0019.2%5.5%20.7%8.7%19.3%-1.5%-0.6%1.3M-319.6K-129.4K0.136.85N/AN/A6,01780217,2339,346
2010-02-26$34.27$35.0015.1%4.3%20.7%0.0%18.7%-4.9%-0.6%1.1M826.6K-137.8K0.359.59N/AN/A1,46651817,7669,498