CTL Options History — August 2010

In August 2010, CTL traded between $35.87 and $36.49. ATM implied volatility averaged 14.4%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.7% (HV 20d: 9.7%). 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 19 of 22 days. Put/call ratio averaged 0.44.

Notable Days

  • 2010-08-30: Highest Volume — 7,969 contracts
  • 2010-08-24: Largest IV spike — 39.0% change
  • 2010-08-12: Highest IV Rank — 30.0%
  • 2010-08-12: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.13$35.87$36.49$35.98$36.16
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV14.4%11.0%17.2%14.5%15.8%
Expected Move4.4%3.1%4.9%4.1%4.5%
HV 20d9.7%7.7%12.3%12.1%7.8%
HV 60d15.1%11.2%17.1%17.1%11.2%
IV Rank21.3%2.3%30.0%16.8%23.5%
IV Percentile9.1%0.4%17.1%3.6%12.7%
Term Structure1.6%-0.5%4.6%1.5%2.0%
VWIV16.1%10.0%18.9%15.0%16.7%
Skew 25d5.3%-0.3%9.0%-0.3%7.2%
Skew 10d9.8%-0.7%14.4%6.2%10.1%
Call IV 25d12.1%9.4%15.2%15.2%9.7%
Put IV 25d17.4%13.8%19.4%14.9%16.8%
Bid-Ask Spread %23.5615.4732.7215.6626.81
Gamma HHI0.400.330.580.580.36
Net GEX3.6M2.9M6.1M3.5M3.4M
Net DEX-40.7M-52.2M-28.2M-40.4M-35.6M
Net VEX-192.1K-205.6K-182.7K-192.1K-205.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.021.630.220.77
Total Volume1,255.6361937,9691,5191,037
Total OI37,455.63633,81440,41635,60237,875

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$35.98$35.0014.5%4.1%12.1%16.8%15.0%-0.3%1.5%3.5M-40.4M-192.1K0.2215.66N/AN/A1,24727226,0219,581
2010-08-03$35.87$35.0013.6%3.9%12.3%13.4%14.1%0.8%2.9%3.8M-39.9M-189.2K0.1218.83N/AN/A93311126,6439,685
2010-08-04$36.33$35.0012.5%3.6%10.2%9.1%10.0%1.2%4.6%3.6M-47.5M-192.4K0.1815.47N/AN/A2,72649427,3339,787
2010-08-05$36.26$35.0013.3%3.8%10.4%12.3%12.7%2.9%3.6%3.7M-45.7M-196.1K0.7023.71N/AN/A60342528,0219,985
2010-08-06$36.39$35.0011.8%4.8%10.4%28.3%16.5%5.9%0.2%3.8M-49.3M-191.0K0.1416.04N/AN/A3945428,3249,888
2010-08-09$36.35$35.0011.7%4.7%10.4%26.1%17.1%3.9%0.0%3.7M-50.2M-182.7K0.4525.62N/AN/A40518328,5139,919
2010-08-10$36.49$35.0011.1%4.7%9.7%27.0%17.1%6.5%-0.5%3.6M-52.2M-188.7K0.6728.02N/AN/A24416328,78610,068
2010-08-11$36.24$35.0013.3%4.8%10.2%27.7%17.1%4.8%0.4%3.8M-46.6M-201.9K0.9428.40N/AN/A13512728,91010,197
2010-08-12$35.92$35.0017.2%4.9%10.6%30.0%18.9%4.1%0.3%4.1M-40.7M-195.4K0.4628.09N/AN/A1326128,90910,296
2010-08-13$36.05$35.0017.2%4.9%10.1%29.9%18.1%5.0%0.9%3.8M-43.0M-198.4K0.1927.01N/AN/A1983728,89310,353
2010-08-16$36.26$35.0017.1%4.9%9.7%29.5%16.8%5.9%-0.3%3.5M-47.3M-190.3K0.1432.72N/AN/A4686429,06410,381
2010-08-17$36.19$35.0016.4%4.7%9.8%26.1%17.6%5.5%0.7%3.4M-48.6M-188.0K0.0425.15N/AN/A1,2645129,32110,419
2010-08-18$36.23$35.0016.1%4.6%9.8%25.0%17.8%6.4%2.3%3.8M-49.1M-184.8K0.1026.42N/AN/A8468529,91610,467
2010-08-19$36.05$35.0015.7%4.5%9.4%23.2%17.6%4.9%2.1%4.0M-44.0M-192.1K0.0727.93N/AN/A1,0857429,75010,539
2010-08-20$35.99$35.0015.1%4.3%9.5%20.6%17.6%8.6%2.2%6.1M-42.6M-197.1K0.1521.68N/AN/A1,10617029,82510,591
2010-08-23$35.91$35.0011.0%3.1%9.0%2.3%16.7%9.0%3.0%2.9M-28.6M-193.8K0.8023.52N/AN/A32325924,8948,920
2010-08-24$36.01$35.0015.2%4.4%8.9%21.2%16.7%8.9%2.3%2.9M-28.8M-188.7K1.0525.34N/AN/A15215924,9859,056
2010-08-25$35.97$35.0015.4%4.4%8.8%21.8%15.8%6.3%1.7%2.9M-28.2M-187.3K1.6317.16N/AN/A15625525,0699,145
2010-08-26$36.00$35.0015.4%4.4%8.5%22.1%14.6%7.3%0.6%3.0M-29.6M-189.0K0.1218.69N/AN/A3233925,1699,213
2010-08-27$36.12$35.0015.2%4.4%8.4%21.0%17.1%6.8%1.6%3.1M-29.3M-191.2K0.8124.62N/AN/A1,5401,25525,2339,227
2010-08-30$35.98$35.0013.1%3.8%7.7%11.9%13.3%6.0%2.0%3.2M-28.5M-190.2K0.0221.38N/AN/A7,83813125,3249,529
2010-08-31$36.16$35.0015.8%4.5%7.8%23.5%16.7%7.2%2.0%3.4M-35.6M-205.6K0.7726.81N/AN/A58745028,3929,483