CTL Options History — April 2010

In April 2010, CTL traded between $33.67 and $36.51. ATM implied volatility averaged 16.8%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.0% (HV 20d: 12.7%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2010-04-22: Highest Volume — 26,035 contracts
  • 2010-04-06: Largest IV spike — 36.0% change
  • 2010-04-20: Highest IV Rank — 29.8%
  • 2010-04-20: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.44$33.67$36.51$35.88$34.11
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV16.8%12.2%19.7%14.3%18.9%
Expected Move5.2%4.1%5.7%4.1%5.4%
HV 20d12.7%9.8%17.5%14.2%16.8%
HV 60d17.4%15.8%19.3%19.3%17.7%
IV Rank23.4%10.8%29.8%10.8%27.0%
IV Percentile12.0%1.2%19.8%1.2%17.1%
Term Structure1.2%0.3%3.8%3.8%0.3%
VWIV18.0%14.3%19.7%14.3%19.0%
Skew 25d6.1%-2.2%22.6%-0.4%-0.0%
Skew 10d13.1%-2.1%36.7%36.7%0.4%
Call IV 25d14.4%11.4%19.5%15.2%18.8%
Put IV 25d20.5%14.8%38.9%14.8%18.7%
Bid-Ask Spread %6.284.0510.577.959.20
Gamma HHI0.820.640.910.890.91
Net GEX3.2M1.5M5.7M3.5M5.7M
Net DEX-34.5M-52.9M-12.3M-42.7M-23.1M
Net VEX-207.5K-285.9K-171.2K-192.1K-280.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.131.780.150.15
Total Volume2,809.61937226,0352,006372
Total OI40,213.71426,11956,49135,60756,399

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$35.88$35.0014.3%4.1%14.2%10.8%14.3%-0.4%3.8%3.5M-42.7M-192.1K0.157.95N/AN/A1,74126525,8539,754
2010-04-05$36.20$35.0013.0%5.2%10.8%21.6%18.2%6.3%1.2%2.9M-46.9M-184.5K1.784.70N/AN/A49888425,8999,817
2010-04-06$35.96$35.0017.7%5.1%11.4%20.5%17.8%5.0%1.4%3.4M-42.8M-188.5K1.314.81N/AN/A27035325,9209,894
2010-04-07$35.83$35.0014.9%5.2%11.0%21.0%18.0%4.5%1.1%4.0M-42.5M-185.9K0.824.67N/AN/A28023025,98010,168
2010-04-08$35.75$35.0015.9%5.5%11.1%24.4%19.2%4.5%0.4%3.7M-40.9M-186.7K0.514.85N/AN/A54727825,98010,168
2010-04-09$36.02$35.0014.9%5.3%10.1%22.6%18.4%11.1%0.7%3.1M-44.4M-186.9K0.235.18N/AN/A47811126,11210,422
2010-04-12$36.11$35.0013.4%5.3%9.9%22.6%18.4%5.8%0.4%2.3M-50.2M-171.2K0.274.31N/AN/A1,16531626,17710,509
2010-04-13$36.10$35.0012.2%5.1%9.9%20.9%15.7%8.1%0.8%2.0M-49.8M-172.3K0.315.59N/AN/A1,23338826,34110,573
2010-04-14$36.21$35.0014.6%5.2%9.9%21.8%18.1%8.7%0.8%1.8M-51.1M-172.5K0.224.05N/AN/A49910826,69110,842
2010-04-15$36.34$35.0018.3%5.3%9.8%23.3%18.2%6.5%0.4%1.9M-52.9M-173.0K0.284.39N/AN/A62817526,74010,855
2010-04-16$36.06$35.0018.2%5.2%10.3%24.4%18.2%10.3%1.0%1.8M-49.5M-173.4K0.137.13N/AN/A1,28916526,82810,916
2010-04-19$36.20$35.0018.8%5.4%10.1%26.8%18.8%7.9%0.8%1.6M-24.5M-175.4K0.905.85N/AN/A60354318,5187,601
2010-04-20$36.51$35.0019.7%5.7%10.0%29.8%19.7%7.3%0.5%1.5M-28.0M-177.7K0.196.07N/AN/A2,88054518,7717,925
2010-04-21$36.20$35.0019.1%5.5%10.6%27.7%19.1%6.0%0.8%1.7M-25.8M-183.4K0.194.28N/AN/A83815920,4398,022
2010-04-22$35.01$35.0016.2%4.7%16.1%18.6%16.2%19.4%2.2%1.6M-12.3M-177.5K0.186.16N/AN/A21,9804,05520,7348,105
2010-04-23$34.33$35.0016.5%4.7%17.4%19.4%16.5%22.6%3.5%5.3M-23.4M-273.3K0.276.98N/AN/A7,6332,09041,37510,439
2010-04-26$33.96$35.0019.1%5.5%16.9%27.9%19.1%-1.6%1.9%4.9M-21.9M-285.9K0.358.51N/AN/A1,37047843,97211,545
2010-04-27$33.67$35.0019.5%5.6%16.9%29.0%19.5%-2.2%0.7%4.6M-15.5M-266.2K0.718.94N/AN/A43931243,99311,773
2010-04-28$33.76$35.0017.7%5.1%17.0%23.3%17.7%-1.1%1.6%4.8M-14.9M-268.1K0.1410.57N/AN/A1,34818544,10211,845
2010-04-29$34.10$35.0018.9%5.4%17.5%27.1%18.9%-0.4%1.0%5.4M-21.5M-281.9K0.397.68N/AN/A91635544,55111,940
2010-04-30$34.11$35.0018.9%5.4%16.8%27.0%19.0%-0.0%0.3%5.7M-23.1M-280.7K0.159.20N/AN/A3234944,44311,956