CTL Options History — October 2010

In October 2010, CTL traded between $39.52 and $41.38. ATM implied volatility averaged 15.2%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.8% (HV 20d: 13.4%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2010-10-28: Highest Volume — 3,927 contracts
  • 2010-10-14: Largest IV spike — 18.3% change
  • 2010-10-04: Highest IV Rank — 28.7%
  • 2010-10-04: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.23$39.52$41.38$39.77$41.38
Max Pain$39.24$36.00$40.00$36.00$40.00
ATM IV15.2%13.5%16.4%14.9%16.2%
Expected Move4.5%4.2%4.9%4.3%4.7%
HV 20d13.4%11.0%15.4%14.0%11.0%
HV 60d12.1%11.9%12.4%11.9%12.1%
IV Rank23.3%18.1%28.7%19.6%25.6%
IV Percentile18.7%9.1%27.8%11.1%26.6%
Term Structure0.3%-0.6%1.9%1.3%0.2%
VWIV15.8%14.8%17.8%14.8%15.4%
Skew 25d2.6%-0.1%4.0%-0.1%2.3%
Skew 10d8.0%1.4%11.6%1.4%8.5%
Call IV 25d14.7%13.6%16.0%16.0%14.6%
Put IV 25d17.3%15.6%18.9%16.0%16.9%
Bid-Ask Spread %27.4215.0140.1215.0132.47
Gamma HHI0.300.150.650.300.23
Net GEX4.3M2.5M9.8M4.0M3.6M
Net DEX-65.9M-77.1M-44.7M-70.2M-71.3M
Net VEX-220.0K-232.0K-211.7K-222.3K-232.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.041.290.340.05
Total Volume1,019.6192633,927417657
Total OI38,111.52430,36144,29840,26636,898

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$39.77$36.0014.9%4.3%14.0%19.6%14.8%-0.1%1.3%4.0M-70.2M-222.3K0.3415.01N/AN/A31110629,39610,870
2010-10-04$39.52$39.0015.9%4.9%14.5%28.7%17.8%3.0%-0.2%3.9M-65.8M-211.7K1.2925.86N/AN/A21928329,41510,974
2010-10-05$40.09$39.0014.7%4.7%14.4%26.7%16.0%2.7%0.5%4.1M-75.5M-218.2K0.2928.36N/AN/A78222529,52811,156
2010-10-06$40.26$39.0015.1%4.7%14.3%26.1%16.0%3.2%-0.1%4.1M-77.1M-213.4K0.0819.71N/AN/A9417429,85111,286
2010-10-07$40.06$39.0014.9%4.8%14.8%27.5%16.8%2.9%-0.1%4.4M-75.1M-217.2K0.1523.19N/AN/A6029130,36111,351
2010-10-08$39.76$39.0015.3%4.7%15.4%26.3%16.8%2.9%-0.2%4.4M-70.1M-218.3K0.6426.77N/AN/A50432130,52711,396
2010-10-11$39.76$39.0014.5%4.6%15.4%24.6%15.9%4.0%-0.0%5.0M-69.7M-214.8K0.0623.72N/AN/A1,2498130,71111,484
2010-10-12$39.79$39.0016.4%4.7%14.7%25.7%17.3%2.8%-0.6%5.2M-72.4M-216.4K0.4524.71N/AN/A78735131,86711,524
2010-10-13$39.89$39.0013.5%4.6%14.4%24.6%15.7%2.7%-0.4%6.3M-75.0M-223.1K0.6221.27N/AN/A66641231,90511,673
2010-10-14$40.02$39.0016.0%4.6%14.4%24.4%16.0%2.7%-0.2%7.4M-76.6M-222.7K0.3623.50N/AN/A36713132,06512,055
2010-10-15$39.88$39.0015.9%4.6%13.2%24.3%15.8%2.6%0.0%9.8M-71.9M-223.8K0.1831.26N/AN/A1,20021732,11812,180
2010-10-18$39.91$39.0015.3%4.4%12.5%21.7%15.8%2.6%1.3%2.5M-48.6M-216.3K0.3126.27N/AN/A1,68152123,6526,709
2010-10-19$39.52$39.0015.4%4.4%13.1%21.8%16.0%3.7%0.6%2.7M-44.7M-222.3K0.9524.74N/AN/A38036225,1077,156
2010-10-20$40.21$40.0015.1%4.3%14.4%20.8%15.4%3.0%1.9%2.8M-52.4M-223.5K0.3237.08N/AN/A73123425,2457,451
2010-10-21$40.47$40.0015.5%4.4%12.8%22.2%14.8%2.7%1.3%3.0M-56.6M-225.0K0.3537.03N/AN/A54118925,8297,538
2010-10-22$40.59$40.0014.5%4.2%12.2%18.1%14.8%2.5%-0.1%3.2M-57.8M-228.3K0.1223.99N/AN/A2342926,0597,705
2010-10-25$40.92$40.0014.9%4.3%12.4%19.5%14.9%1.3%0.7%3.2M-62.4M-220.8K0.3430.82N/AN/A82728226,1707,725
2010-10-26$41.04$40.0015.2%4.3%11.4%20.8%15.4%3.1%0.1%3.1M-63.5M-218.1K0.6427.92N/AN/A37724326,3007,855
2010-10-27$40.88$40.0014.9%4.3%11.2%19.5%15.7%2.7%0.2%3.2M-61.1M-217.7K0.9840.12N/AN/A14013726,4308,090
2010-10-28$41.20$40.0015.3%4.4%11.2%21.4%15.0%1.1%0.7%3.1M-66.1M-213.6K0.0432.02N/AN/A3,76516226,5308,200
2010-10-29$41.38$40.0016.2%4.7%11.0%25.6%15.4%2.3%0.2%3.6M-71.3M-232.0K0.0532.47N/AN/A6263128,5988,300