CTL Options History — May 2010

In May 2010, CTL traded between $32.93 and $34.67. ATM implied volatility averaged 21.1%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.3% (HV 20d: 22.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 3.94.

Notable Days

  • 2010-05-25: Highest Volume — 11,199 contracts
  • 2010-05-06: Largest IV spike — 40.7% change
  • 2010-05-21: Highest IV Rank — 58.5%
  • 2010-05-21: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.89$32.93$34.67$34.50$34.33
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV21.1%16.8%28.7%17.5%20.2%
Expected Move6.2%4.8%8.2%5.0%5.8%
HV 20d22.4%17.0%24.3%17.0%23.6%
HV 60d18.2%17.1%19.0%17.1%18.6%
IV Rank35.7%20.5%58.5%22.7%31.2%
IV Percentile34.4%6.7%76.2%8.7%25.8%
Term Structure0.7%-4.0%3.7%2.7%1.8%
VWIV22.7%16.8%36.0%17.5%21.1%
Skew 25d7.0%-6.0%25.8%1.9%7.2%
Skew 10d10.4%-5.1%35.9%2.4%9.1%
Call IV 25d21.7%17.7%25.3%17.8%20.8%
Put IV 25d28.7%16.0%45.2%19.7%28.0%
Bid-Ask Spread %21.128.1893.838.2010.17
Gamma HHI0.830.560.930.910.58
Net GEX4.5M1.9M7.6M6.6M2.7M
Net DEX-13.4M-34.8M3.0M-30.9M-10.2M
Net VEX-248.5K-291.8K-208.1K-286.8K-278.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.940.2058.570.390.46
Total Volume1,856.7514911,199741646
Total OI56,876.745,73263,19656,55763,196

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$34.50$35.0017.5%5.0%17.0%22.7%17.5%1.9%2.7%6.6M-30.9M-286.8K0.398.20N/AN/A53420744,58411,973
2010-05-04$34.07$35.0019.3%5.5%17.3%28.4%19.3%25.8%2.3%5.4M-19.7M-275.7K0.338.18N/AN/A71723744,88912,092
2010-05-05$34.67$35.0016.8%4.8%18.7%20.5%16.8%25.5%3.7%7.2M-34.8M-291.8K0.2112.58N/AN/A1,16724844,94312,191
2010-05-06$33.52$35.0023.7%6.8%21.9%42.4%24.9%-3.7%-4.0%4.2M-9.0M-246.7K0.4493.83N/AN/A1,06946745,46312,129
2010-05-07$33.03$35.0021.8%7.1%21.9%45.7%22.8%7.6%0.4%3.8M-9.7M-252.1K0.2915.74N/AN/A73621745,03812,079
2010-05-10$33.66$35.0021.7%6.2%23.3%36.3%22.3%2.9%-1.2%4.4M-10.8M-245.8K0.4818.14N/AN/A65431445,21112,125
2010-05-11$33.70$35.0019.1%6.2%23.3%35.6%21.8%4.5%-1.3%4.8M-12.0M-247.8K0.3122.24N/AN/A38312045,40112,361
2010-05-12$34.27$35.0016.9%5.9%24.3%32.8%20.9%3.6%-1.2%6.6M-18.7M-256.0K0.2321.14N/AN/A79018245,44212,360
2010-05-13$34.25$35.0020.5%5.9%24.2%32.2%20.6%-3.6%-0.9%7.6M-20.0M-252.7K0.209.73N/AN/A2585245,51012,258
2010-05-14$34.13$35.0020.8%6.0%24.2%33.4%20.8%-3.8%0.3%6.3M-15.8M-249.8K0.4628.00N/AN/A36716845,52712,271
2010-05-17$34.17$35.0020.7%5.9%24.1%32.9%21.1%-6.0%0.2%6.6M-12.2M-235.4K0.9913.31N/AN/A757445,64812,319
2010-05-18$34.03$35.0021.8%6.3%23.7%36.5%21.9%-4.3%-0.1%6.3M-13.2M-233.9K0.3132.35N/AN/A66620845,65212,348
2010-05-19$33.85$35.0023.2%6.7%23.7%41.0%23.3%6.9%-0.5%3.9M-7.3M-222.1K1.3713.44N/AN/A1,1421,56545,93812,337
2010-05-20$32.93$35.0022.0%6.3%22.7%37.0%25.3%12.8%1.1%2.9M-4.7M-219.3K0.8319.44N/AN/A94778546,46412,936
2010-05-21$33.25$35.0028.7%8.2%22.3%58.5%36.0%15.0%2.3%2.1M3.0M-208.1K1.1020.95N/AN/A39943746,36313,536
2010-05-24$33.66$35.0021.3%6.1%22.5%34.9%25.8%8.0%-0.5%2.2M-10.8M-220.0K0.5519.72N/AN/A1,63189734,06611,666
2010-05-25$33.58$35.0027.2%7.8%22.3%53.8%29.1%11.1%1.3%2.4M-7.5M-221.0K58.5720.52N/AN/A18811,01135,17212,083
2010-05-26$33.74$35.0019.2%5.5%22.4%28.0%22.7%8.5%3.3%1.9M-10.1M-265.6K0.5116.41N/AN/A77239535,28121,384
2010-05-27$34.50$35.0019.6%5.6%23.5%29.4%19.7%21.1%3.5%3.1M-13.3M-261.4K10.7618.31N/AN/A5455,86535,69121,607
2010-05-28$34.33$35.0020.2%5.8%23.6%31.2%21.1%7.2%1.8%2.7M-10.2M-278.6K0.4610.17N/AN/A44320335,79527,401