CTL Options History — March 2010

In March 2010, CTL traded between $33.38 and $35.52. ATM implied volatility averaged 15.6%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.9% (HV 20d: 18.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.54.

Notable Days

  • 2010-03-04: Highest Volume — 12,968 contracts
  • 2010-03-09: Largest IV spike — 66.1% change
  • 2010-03-10: Highest IV Rank — 19.5%
  • 2010-03-01: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.77$33.38$35.52$34.68$35.46
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV15.6%10.2%18.4%18.4%12.5%
Expected Move4.6%3.0%5.3%5.3%3.6%
HV 20d18.4%14.7%21.2%21.1%14.7%
HV 60d19.6%19.2%20.1%20.0%19.2%
IV Rank12.6%0.0%19.5%8.8%5.7%
IV Percentile1.5%0.0%3.6%1.2%0.4%
Term Structure2.5%-1.1%5.5%-0.4%5.5%
VWIV19.1%12.5%74.7%18.6%12.5%
Skew 25d9.1%0.1%31.6%0.4%6.7%
Skew 10d16.5%-1.8%44.7%-1.8%44.7%
Call IV 25d17.0%14.4%30.2%18.7%15.0%
Put IV 25d26.1%15.6%53.0%19.1%21.7%
Bid-Ask Spread %9.214.7017.438.836.54
Gamma HHI0.870.760.950.780.91
Net GEX2.9M1.0M5.9M1.3M4.2M
Net DEX-14.9M-36.3M8.9M-840.2K-36.3M
Net VEX-164.8K-200.6K-120.5K-141.9K-197.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.022.180.290.45
Total Volume1,91230612,9687861,300
Total OI32,273.78327,98435,76328,09335,763

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$34.68$35.0018.4%5.3%21.1%8.8%18.6%0.4%-0.4%1.3M-840.2K-141.9K0.298.83N/AN/A60717918,3079,786
2010-03-02$34.77$35.0016.9%4.8%20.9%4.7%17.0%31.6%0.5%1.3M-1.6M-141.5K0.5010.62N/AN/A96548118,1639,821
2010-03-03$34.58$35.0018.2%5.2%21.0%8.3%18.2%21.4%-1.1%1.3M415.9K-135.5K0.8714.62N/AN/A1,12297118,5109,830
2010-03-04$34.15$35.0010.4%3.0%21.2%0.0%74.7%0.9%5.5%1.0M1.4M-133.1K0.074.70N/AN/A12,11984919,05910,350
2010-03-05$33.38$35.0015.4%4.8%21.0%14.7%18.2%6.3%1.6%1.2M8.9M-120.5K1.1813.93N/AN/A9311,09519,38510,401
2010-03-08$33.57$35.0010.2%5.1%21.0%17.2%17.7%4.9%1.1%1.2M7.0M-124.6K0.3516.86N/AN/A64122519,70910,322
2010-03-09$34.02$35.0017.0%5.1%20.7%17.4%17.9%6.2%1.1%1.6M733.3K-139.9K0.1617.43N/AN/A1,57125019,76410,346
2010-03-10$34.18$35.0013.9%5.3%20.4%19.5%18.5%6.8%1.2%1.8M-2.1M-151.8K0.0216.03N/AN/A2,8556420,64810,368
2010-03-11$34.73$35.0017.5%5.0%21.0%17.2%17.5%7.4%2.5%2.8M-13.8M-171.2K0.215.84N/AN/A1,17225223,00810,354
2010-03-12$34.62$35.0017.0%4.9%20.9%16.0%17.0%23.8%2.9%2.9M-12.9M-172.5K0.429.31N/AN/A2169023,54610,316
2010-03-15$34.79$35.0017.6%5.1%19.7%17.5%17.6%24.3%2.2%3.3M-15.5M-168.4K0.936.67N/AN/A36634223,70310,260
2010-03-16$34.85$35.0017.1%4.9%18.8%16.1%17.1%24.4%2.5%3.6M-16.4M-169.1K1.218.36N/AN/A36744323,81010,365
2010-03-17$35.07$35.0017.1%4.9%18.9%16.2%17.1%1.5%2.5%4.1M-24.8M-170.6K0.498.91N/AN/A1,47271423,82210,434
2010-03-18$35.03$35.0015.9%4.6%17.4%13.3%15.9%0.1%3.8%5.6M-23.6M-170.3K0.117.95N/AN/A1,29913724,41710,217
2010-03-19$34.86$35.0016.5%4.7%16.0%14.7%16.5%0.6%2.9%5.9M-16.7M-170.6K2.189.36N/AN/A34976224,92710,210
2010-03-22$35.18$35.0015.6%4.5%16.3%12.5%15.6%21.1%3.1%2.9M-22.9M-171.1K0.135.98N/AN/A1,59821021,8268,733
2010-03-23$35.34$35.0015.9%4.5%16.4%13.2%15.9%1.9%2.7%3.1M-27.8M-177.9K0.377.19N/AN/A65224222,8848,766
2010-03-24$35.12$35.0015.6%4.5%16.4%12.6%15.6%1.4%3.0%3.2M-24.5M-181.1K0.264.77N/AN/A55314623,2578,942
2010-03-25$34.91$35.0014.9%4.3%15.2%10.9%14.9%1.1%3.5%3.4M-21.7M-181.8K0.646.99N/AN/A2,2151,41423,6739,043
2010-03-26$35.40$35.0014.0%4.0%15.3%8.6%14.0%1.2%4.7%3.7M-31.9M-200.6K0.126.25N/AN/A7018525,0619,586
2010-03-29$35.52$35.0015.2%4.4%14.8%11.6%15.2%15.1%3.7%3.9M-33.7M-197.6K1.176.97N/AN/A35441325,4639,601
2010-03-30$35.41$35.0015.4%4.4%14.9%12.2%15.5%1.3%2.9%3.8M-33.0M-200.6K0.407.78N/AN/A84634125,6349,907
2010-03-31$35.46$35.0012.5%3.6%14.7%5.7%12.5%6.7%5.5%4.2M-36.3M-197.8K0.456.54N/AN/A89740325,8489,915