CTL Options History — June 2010

In June 2010, CTL traded between $33.31 and $35.02. ATM implied volatility averaged 18.9%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 2.5% (HV 20d: 21.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.56.

Notable Days

  • 2010-06-03: Highest Volume — 11,477 contracts
  • 2010-06-29: Largest IV spike — 25.1% change
  • 2010-06-08: Highest IV Rank — 50.9%
  • 2010-06-04: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.31$33.31$35.02$34.16$33.31
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.9%16.6%21.3%18.4%21.1%
Expected Move5.7%4.8%6.8%5.3%6.1%
HV 20d21.4%17.4%24.3%23.3%17.4%
HV 60d19.5%18.0%19.9%18.0%19.8%
IV Rank36.2%22.4%50.9%25.6%44.6%
IV Percentile25.6%6.3%55.6%14.7%39.3%
Term Structure1.7%-1.1%3.9%2.7%-1.1%
VWIV20.0%16.6%24.8%20.5%21.9%
Skew 25d13.0%-2.0%32.3%-2.0%8.1%
Skew 10d18.7%-3.4%41.0%-3.4%8.8%
Call IV 25d19.2%15.9%22.0%20.5%21.7%
Put IV 25d32.2%18.5%52.4%18.5%29.8%
Bid-Ask Spread %12.446.9216.9916.9612.65
Gamma HHI0.770.580.990.610.60
Net GEX7.0M1.4M42.5M3.1M1.4M
Net DEX-16.3M-43.0M3.1M-9.7M3.1M
Net VEX-204.1K-270.5K-151.5K-270.5K-151.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.017.390.240.09
Total Volume1,204.81824211,477720686
Total OI60,036.45552,09565,64963,52553,616

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$34.16$35.0018.4%5.3%23.3%25.6%20.5%-2.0%2.7%3.1M-9.7M-270.5K0.2416.96N/AN/A58213836,08127,444
2010-06-02$34.97$35.0021.3%6.1%24.3%34.9%21.5%-0.6%1.8%3.8M-20.2M-267.3K0.187.00N/AN/A90916036,03727,438
2010-06-03$34.93$35.0017.4%5.0%23.5%22.4%17.5%32.3%3.9%4.4M-18.0M-247.4K0.0216.11N/AN/A11,20027736,21427,408
2010-06-04$33.76$35.0021.1%6.8%23.6%43.0%24.8%10.4%0.7%3.1M-8.9M-249.8K0.2211.60N/AN/A77216936,38427,403
2010-06-07$33.42$35.0018.4%6.6%23.3%49.8%23.9%10.3%0.3%2.4M-1.2M-224.7K0.4010.45N/AN/A40316136,44027,334
2010-06-08$33.76$35.0017.4%6.7%22.6%50.9%23.5%10.7%-0.3%3.3M-6.1M-220.5K0.4416.93N/AN/A2169536,64127,326
2010-06-09$33.86$35.0018.9%6.6%22.6%49.6%23.8%9.9%0.4%3.6M-9.7M-219.9K0.2613.75N/AN/A45111536,67127,261
2010-06-10$34.29$35.0020.6%5.9%22.2%40.0%20.6%10.8%2.0%6.1M-16.7M-214.3K0.3412.53N/AN/A43414836,64927,201
2010-06-11$34.41$35.0020.4%5.8%22.2%39.2%20.4%10.9%1.9%6.9M-21.0M-214.1K0.1011.99N/AN/A2472536,86927,249
2010-06-14$34.24$35.0019.9%5.7%22.3%37.1%20.0%9.9%2.1%6.5M-19.3M-205.7K0.1416.99N/AN/A6489136,94927,253
2010-06-15$34.71$35.0019.2%5.5%22.8%34.5%19.2%11.3%3.0%10.1M-27.6M-203.5K0.0612.72N/AN/A6583837,02927,269
2010-06-16$34.82$35.0018.6%5.3%22.7%33.3%18.6%18.0%2.9%12.7M-32.6M-197.8K0.1716.93N/AN/A1,10818437,44227,264
2010-06-17$35.02$35.0018.6%5.3%22.7%34.1%18.6%18.6%2.2%23.2M-43.0M-201.2K0.019.34N/AN/A403638,22827,283
2010-06-18$34.97$35.0017.7%5.1%19.9%30.4%17.7%18.2%3.2%42.5M-40.6M-198.2K0.178.05N/AN/A1,14419838,37027,279
2010-06-21$34.95$35.0017.1%4.9%19.8%27.7%17.1%21.3%2.2%3.5M-23.0M-184.3K0.366.92N/AN/A54819925,81926,276
2010-06-22$34.60$35.0017.7%5.1%19.9%30.4%17.7%1.5%2.1%3.3M-18.4M-184.5K0.667.47N/AN/A16210725,99226,282
2010-06-23$34.47$35.0018.6%5.3%20.0%34.3%18.7%23.2%2.1%3.2M-16.2M-177.5K0.1210.36N/AN/A3263826,05026,296
2010-06-24$34.29$35.0019.5%5.6%20.0%37.7%19.5%11.0%0.9%2.8M-12.9M-170.8K0.2916.46N/AN/A2728026,20126,095
2010-06-25$33.94$35.0017.0%4.9%18.7%27.4%17.1%10.8%2.4%2.9M-6.4M-159.6K7.3910.73N/AN/A2271,67826,41926,065
2010-06-28$34.15$35.0016.6%4.8%18.8%25.7%16.6%31.3%2.4%3.2M-7.4M-164.6K0.4811.52N/AN/A1637926,33227,327
2010-06-29$33.73$35.0020.8%6.0%19.2%43.2%20.9%9.7%0.1%2.1M-3.4M-162.4K0.0716.18N/AN/A8976426,33527,281
2010-06-30$33.31$35.0021.1%6.1%17.4%44.6%21.9%8.1%-1.1%1.4M3.1M-151.5K0.0912.65N/AN/A6305626,30627,310