CTL Options History — September 2010

In September 2010, CTL traded between $36.00 and $39.90. ATM implied volatility averaged 14.4%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.1% (HV 20d: 12.3%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.46.

Notable Days

  • 2010-09-01: Highest Volume — 334,360 contracts
  • 2010-09-17: Largest IV spike — 31.6% change
  • 2010-09-17: Highest IV Rank — 30.4%
  • 2010-09-17: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.01$36.00$39.90$36.73$39.46
Max Pain$35.33$35.00$36.00$35.00$36.00
ATM IV14.4%10.8%17.3%14.5%15.8%
Expected Move4.2%3.5%5.0%4.2%4.5%
HV 20d12.3%8.5%15.9%8.5%15.6%
HV 60d12.0%11.5%12.6%11.5%11.8%
IV Rank19.4%8.0%30.4%18.0%23.7%
IV Percentile11.5%0.8%27.4%6.0%18.7%
Term Structure2.0%-0.2%7.0%7.0%1.1%
VWIV15.1%12.4%19.9%19.9%15.0%
Skew 25d2.4%-0.9%11.1%11.1%-0.2%
Skew 10d3.4%-5.2%13.2%3.6%-3.9%
Call IV 25d13.7%6.1%16.8%6.1%16.6%
Put IV 25d16.1%14.2%18.1%17.1%16.4%
Bid-Ask Spread %18.8011.2928.1123.0020.18
Gamma HHI0.250.190.350.350.27
Net GEX3.0M1.3M4.2M3.7M4.1M
Net DEX-51.3M-77.9M-19.5M-47.1M-72.2M
Net VEX-205.9K-227.3K-180.6K-213.2K-225.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.001.830.000.11
Total Volume17,544.571277334,360334,3604,970
Total OI36,327.61929,62640,99838,78140,998

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$36.73$35.0014.5%4.2%8.5%18.0%19.9%11.1%7.0%3.7M-47.1M-213.2K0.0023.00N/AN/A333,0631,29729,1459,636
2010-09-02$36.17$36.0012.2%3.5%10.2%8.0%12.4%6.3%2.4%1.3M-19.5M-180.6K0.5023.59N/AN/A1,94896719,36510,261
2010-09-03$36.21$35.0010.8%4.0%10.1%16.0%13.4%3.7%2.4%1.6M-23.7M-195.8K0.2421.53N/AN/A46411221,00710,648
2010-09-07$36.00$35.0012.5%4.2%10.3%18.5%15.4%4.1%2.5%1.6M-21.4M-193.3K0.6517.27N/AN/A43628521,29810,688
2010-09-08$36.30$35.0011.8%4.2%10.6%19.3%13.4%5.4%2.5%1.7M-25.1M-195.0K0.1617.11N/AN/A2393821,67310,826
2010-09-09$36.47$35.0014.6%4.2%10.5%18.3%15.2%3.4%1.6%1.9M-27.3M-193.2K1.8323.98N/AN/A51794821,73410,847
2010-09-10$36.66$35.0013.0%3.7%10.0%11.1%14.3%4.0%2.7%2.2M-31.4M-190.8K0.4722.36N/AN/A70133122,00210,400
2010-09-13$36.92$35.0012.9%3.7%10.2%11.0%15.0%4.2%2.6%2.9M-35.6M-184.5K0.4619.56N/AN/A60728022,48110,434
2010-09-14$37.54$35.0013.1%3.8%11.5%11.9%13.1%2.6%2.2%2.6M-44.0M-184.9K0.0928.11N/AN/A3,08827322,77310,633
2010-09-15$37.93$35.0013.6%3.9%11.8%13.8%13.6%1.5%2.2%2.9M-52.3M-194.2K0.3216.52N/AN/A72923124,77810,869
2010-09-16$38.08$35.0013.2%3.8%11.8%12.1%12.5%2.2%2.6%3.2M-54.3M-196.2K0.5619.93N/AN/A84847825,24211,069
2010-09-17$38.79$35.0017.3%5.0%12.7%30.4%17.0%0.1%-0.2%2.6M-63.9M-196.5K0.0517.31N/AN/A8,56339325,70411,072
2010-09-20$39.28$35.0016.5%4.7%13.0%26.9%16.5%0.2%0.5%3.7M-69.3M-225.2K0.1816.01N/AN/A1,98836529,3429,329
2010-09-21$39.33$35.0016.2%4.6%12.8%25.5%16.0%0.2%1.3%3.8M-68.7M-227.2K0.6719.17N/AN/A30420329,6039,513
2010-09-22$39.42$35.0016.3%4.7%12.8%25.9%16.7%0.5%1.5%3.8M-71.1M-218.5K0.7611.29N/AN/A31524029,7359,642
2010-09-23$38.75$36.0016.1%4.6%14.8%25.2%16.1%0.5%1.8%3.6M-61.3M-227.3K0.6316.36N/AN/A34221529,7309,739
2010-09-24$39.25$36.0015.8%4.5%15.1%23.6%15.4%0.9%1.3%3.9M-67.2M-221.6K0.6016.90N/AN/A28617329,8039,837
2010-09-27$39.30$36.0016.5%4.7%15.2%26.7%16.3%1.3%0.8%3.9M-69.0M-218.7K0.6112.93N/AN/A50330729,9239,951
2010-09-28$39.90$36.0014.8%4.2%15.3%19.2%15.0%-0.9%1.7%4.2M-77.9M-219.6K0.3717.23N/AN/A63523230,24810,201
2010-09-29$39.62$36.0015.3%4.4%15.9%21.7%15.6%-0.2%1.2%4.0M-74.6M-221.2K0.4614.41N/AN/A35716530,41210,289
2010-09-30$39.46$36.0015.8%4.5%15.6%23.7%15.0%-0.2%1.1%4.1M-72.2M-225.8K0.1120.18N/AN/A4,49647430,59010,408