CTL Options History — July 2010

In July 2010, CTL traded between $33.15 and $35.87. ATM implied volatility averaged 15.8%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.7% (HV 20d: 14.1%). 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 19 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-07-16: Highest Volume — 6,522 contracts
  • 2010-07-19: Largest IV drop — 18.1% change
  • 2010-07-01: Highest IV Rank — 47.2%
  • 2010-07-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.81$33.15$35.87$33.25$35.62
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV15.8%13.1%21.7%21.7%13.6%
Expected Move4.7%3.7%6.2%6.2%3.9%
HV 20d14.1%12.1%17.4%17.4%12.1%
HV 60d19.7%18.4%20.6%19.8%18.4%
IV Rank25.6%10.9%47.2%47.2%13.3%
IV Percentile12.0%0.8%45.2%45.2%2.0%
Term Structure1.3%-2.4%3.6%-2.4%2.3%
VWIV16.9%13.8%22.3%22.3%14.5%
Skew 25d4.6%-3.7%10.4%-2.4%2.0%
Skew 10d9.0%-3.7%16.5%-3.7%2.4%
Call IV 25d15.4%12.4%22.9%22.9%13.4%
Put IV 25d20.0%15.2%26.3%20.5%15.5%
Bid-Ask Spread %18.808.1324.7212.5719.45
Gamma HHI0.750.570.960.610.60
Net GEX4.0M1.2M10.9M1.4M3.6M
Net DEX-17.5M-36.3M5.8M2.8M-34.6M
Net VEX-170.6K-201.2K-143.4K-149.6K-201.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.032.692.320.21
Total Volume1,752.0954096,5221,890540
Total OI44,379.28625,76656,17553,90135,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$33.25$35.0021.7%6.2%17.4%47.2%22.3%-2.4%-2.4%1.4M2.8M-149.6K2.3212.57N/AN/A5691,32126,57427,327
2010-07-02$33.15$35.0018.0%5.2%12.8%31.6%21.3%-3.7%-2.4%1.2M5.8M-143.4K0.258.13N/AN/A3619226,73828,350
2010-07-06$33.40$35.0018.2%5.4%12.6%34.6%18.7%7.6%0.4%1.4M2.3M-152.2K0.6617.14N/AN/A24716226,77928,338
2010-07-07$34.22$35.0017.5%5.2%14.9%32.5%18.8%8.0%1.1%3.6M-6.1M-159.6K0.2719.79N/AN/A1,14230726,69328,353
2010-07-08$34.34$35.0014.9%5.1%14.9%31.3%17.9%7.4%0.8%4.2M-6.7M-156.7K0.3621.01N/AN/A46716826,87728,404
2010-07-09$34.45$35.0014.4%4.9%14.3%28.5%17.3%8.0%1.6%4.9M-7.8M-157.9K1.4422.46N/AN/A46166327,15128,420
2010-07-12$34.43$35.0015.7%5.2%14.3%32.1%18.1%8.1%1.2%4.9M-5.8M-150.3K2.6918.78N/AN/A31183827,25428,396
2010-07-13$34.86$35.0014.8%5.4%14.8%35.1%18.8%10.4%1.7%8.2M-18.7M-163.3K1.9312.26N/AN/A1,4932,88727,38628,789
2010-07-14$35.02$35.0016.6%5.5%14.1%36.2%19.1%9.8%1.3%9.0M-23.4M-164.2K0.6522.68N/AN/A87956727,64928,213
2010-07-15$34.83$35.0018.5%5.3%14.2%33.8%19.0%5.8%1.0%10.9M-18.4M-159.3K0.1622.19N/AN/A1,97831327,75827,949
2010-07-16$34.58$35.0018.5%5.3%14.2%33.6%18.7%4.9%0.8%5.0M-3.7M-149.0K0.1124.72N/AN/A5,89362927,62727,783
2010-07-19$34.95$35.0015.1%4.3%14.8%19.6%15.2%5.0%2.2%1.7M-13.8M-159.1K0.1518.55N/AN/A3,83157917,6158,151
2010-07-20$35.05$35.0015.1%4.3%14.8%19.4%15.2%4.5%3.1%2.4M-19.4M-175.6K0.0321.43N/AN/A1,8686320,8308,555
2010-07-21$35.18$35.0015.2%4.4%14.4%20.0%15.0%3.8%1.8%2.7M-23.1M-185.1K0.0721.41N/AN/A1,53210422,5598,609
2010-07-22$35.54$35.0013.3%3.8%14.6%12.0%13.8%2.9%1.8%3.1M-31.4M-193.1K0.0913.92N/AN/A8297823,6968,660
2010-07-23$35.56$35.0013.1%3.7%14.4%10.9%14.1%2.6%2.1%3.2M-31.8M-189.9K0.4013.85N/AN/A1,11844924,1758,634
2010-07-26$35.87$35.0013.5%3.9%13.8%12.9%13.8%2.7%2.4%3.2M-36.3M-188.5K0.5722.87N/AN/A67438424,3828,842
2010-07-27$35.73$35.0014.0%4.0%14.0%14.9%14.1%2.2%1.4%3.4M-35.3M-196.9K0.4022.50N/AN/A41516724,8449,089
2010-07-28$35.60$35.0014.6%4.2%13.1%17.6%14.8%2.3%1.5%3.4M-32.7M-194.1K1.5523.69N/AN/A21533325,1319,223
2010-07-29$35.40$35.0015.1%4.3%12.2%19.5%15.1%4.5%3.6%3.4M-30.1M-193.9K0.5415.51N/AN/A1,21665125,2539,350
2010-07-30$35.62$35.0013.6%3.9%12.1%13.3%14.5%2.0%2.3%3.6M-34.6M-201.2K0.2119.45N/AN/A4459525,8829,677