CTL Options History — November 2010

In November 2010, CTL traded between $41.44 and $43.05. ATM implied volatility averaged 16.3%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.1% (HV 20d: 14.1%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2010-11-30: Highest Volume — 4,554 contracts
2010-11-11: Largest IV spike — 21.3% change
2010-11-29: Highest IV Rank — 42.1%
2010-11-29: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.42	$41.44	$43.05	$41.44	$42.99
Max Pain	$40.81	$40.00	$41.00	$40.00	$41.00
ATM IV	16.3%	13.9%	18.1%	17.0%	17.6%
Expected Move	4.8%	4.0%	5.2%	4.9%	5.0%
HV 20d	14.1%	9.9%	17.1%	10.6%	17.1%
HV 60d	13.5%	12.1%	14.8%	12.1%	14.2%
IV Rank	33.5%	17.5%	42.1%	29.2%	39.3%
IV Percentile	34.0%	6.7%	52.4%	36.1%	47.6%
Term Structure	-0.4%	-1.6%	1.9%	0.3%	-1.2%
VWIV	16.7%	13.7%	20.1%	16.6%	20.1%
Skew 25d	3.7%	1.7%	8.3%	2.6%	2.0%
Skew 10d	9.1%	2.4%	13.1%	6.4%	6.6%
Call IV 25d	14.3%	7.5%	19.2%	15.5%	19.2%
Put IV 25d	18.0%	15.4%	21.2%	18.1%	21.2%
Bid-Ask Spread %	35.82	23.31	74.04	27.70	27.98
Gamma HHI	0.20	0.17	0.23	0.23	0.17
Net GEX	3.9M	3.2M	4.8M	3.7M	4.3M
Net DEX	-84.3M	-95.5M	-72.5M	-72.5M	-90.3M
Net VEX	-218.7K	-235.8K	-154.4K	-227.6K	-235.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.07	2.73	0.30	0.08
Total Volume	1,471.048	286	4,554	1,670	4,554
Total OI	40,445.238	37,409	43,193	37,409	43,193

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-11-01	$41.44	$40.00	17.0%	4.9%	10.6%	29.2%	16.6%	2.6%	0.3%	3.7M	-72.5M	-227.6K	0.30	27.70	N/A	N/A	1,285	385	29,105	8,304
2010-11-02	$41.83	$40.00	16.6%	4.7%	9.9%	31.3%	16.8%	1.7%	-0.3%	3.9M	-76.0M	-233.2K	0.22	23.31	N/A	N/A	485	109	29,857	8,554
2010-11-03	$42.24	$40.00	13.9%	4.0%	10.3%	17.5%	13.7%	2.4%	1.9%	3.9M	-84.3M	-215.4K	0.17	28.80	N/A	N/A	1,503	253	29,959	8,572
2010-11-04	$43.05	$40.00	15.6%	4.5%	11.5%	28.2%	15.7%	8.3%	0.5%	3.6M	-95.5M	-209.7K	0.38	25.71	N/A	N/A	1,542	587	30,558	8,624
2010-11-05	$42.57	$41.00	14.5%	4.6%	12.0%	31.5%	17.5%	3.2%	-0.5%	3.8M	-88.2M	-224.6K	0.31	29.38	N/A	N/A	1,077	337	30,680	8,932
2010-11-08	$42.43	$41.00	14.6%	4.8%	12.2%	34.0%	18.4%	4.2%	-1.0%	3.8M	-84.8M	-217.3K	1.43	37.11	N/A	N/A	767	1,095	30,270	9,066
2010-11-09	$42.28	$41.00	15.4%	4.9%	12.4%	35.9%	15.8%	2.6%	-1.0%	3.4M	-84.0M	-219.0K	0.23	28.09	N/A	N/A	751	170	30,558	10,078
2010-11-10	$42.93	$41.00	14.0%	4.7%	13.1%	32.6%	16.9%	4.5%	-0.6%	3.2M	-91.1M	-214.7K	0.08	40.65	N/A	N/A	532	45	30,385	10,037
2010-11-11	$42.37	$41.00	17.0%	4.9%	14.4%	35.8%	16.7%	2.9%	-1.6%	3.4M	-83.3M	-219.1K	0.66	29.76	N/A	N/A	322	213	30,330	10,037
2010-11-12	$42.08	$41.00	17.5%	5.0%	14.7%	38.7%	14.8%	3.5%	-0.9%	3.4M	-78.1M	-223.4K	0.10	33.27	N/A	N/A	1,065	102	30,347	10,185
2010-11-15	$42.33	$41.00	16.9%	4.9%	14.7%	35.6%	16.3%	6.2%	-1.4%	3.7M	-84.6M	-214.6K	2.73	66.83	N/A	N/A	350	955	31,239	10,208
2010-11-16	$41.69	$41.00	18.0%	5.2%	15.4%	41.4%	18.5%	4.1%	-0.9%	4.3M	-73.3M	-223.7K	1.02	36.75	N/A	N/A	758	771	31,281	9,615
2010-11-17	$41.90	$41.00	17.5%	5.0%	14.5%	38.6%	17.5%	3.5%	-1.3%	4.3M	-76.9M	-220.4K	0.66	31.11	N/A	N/A	172	114	31,366	9,934
2010-11-18	$42.57	$41.00	16.2%	4.6%	15.2%	31.5%	17.2%	3.7%	-0.4%	4.0M	-88.4M	-210.7K	0.46	35.77	N/A	N/A	1,816	844	31,449	9,998
2010-11-19	$42.97	$41.00	16.1%	4.6%	15.4%	31.2%	17.8%	3.5%	-0.2%	4.0M	-92.6M	-202.6K	0.07	33.53	N/A	N/A	744	51	31,918	10,497
2010-11-22	$42.53	$41.00	15.0%	4.3%	15.9%	24.8%	15.0%	4.7%	0.8%	4.8M	-88.7M	-154.4K	0.15	74.04	N/A	N/A	2,006	307	29,925	8,386
2010-11-23	$42.08	$41.00	17.3%	5.0%	16.5%	37.5%	15.7%	3.8%	-0.6%	4.0M	-74.1M	-224.8K	0.24	37.18	N/A	N/A	1,070	260	31,684	8,632
2010-11-24	$42.66	$41.00	15.7%	4.5%	17.0%	28.7%	15.1%	4.3%	0.0%	4.3M	-85.2M	-235.8K	0.87	34.98	N/A	N/A	825	714	32,466	8,825
2010-11-26	$43.04	$41.00	17.2%	4.9%	17.0%	37.3%	17.6%	2.9%	-0.2%	4.4M	-90.0M	-233.8K	0.11	38.72	N/A	N/A	380	41	32,666	9,348
2010-11-29	$42.90	$41.00	18.1%	5.2%	17.1%	42.1%	17.7%	3.4%	0.4%	4.3M	-88.0M	-232.0K	0.17	31.65	N/A	N/A	1,312	223	32,906	9,376
2010-11-30	$42.99	$41.00	17.6%	5.0%	17.1%	39.3%	20.1%	2.0%	-1.2%	4.3M	-90.3M	-235.4K	0.08	27.98	N/A	N/A	4,228	326	33,674	9,519