CTL Options History — December 2010

In December 2010, CTL traded between $43.43 and $46.80. ATM implied volatility averaged 16.3%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.7% (HV 20d: 16.9%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2010-12-02: Highest Volume — 331,276 contracts
  • 2010-12-15: Largest IV drop — 21.5% change
  • 2010-12-01: Highest IV Rank — 40.6%
  • 2010-12-01: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.24$43.43$46.80$43.91$46.17
Max Pain$42.59$41.00$44.00$41.00$44.00
ATM IV16.3%13.4%19.6%17.8%14.9%
Expected Move4.4%3.8%5.1%5.1%4.3%
HV 20d16.9%15.5%18.3%18.3%15.7%
HV 60d14.9%14.5%15.2%14.5%14.8%
IV Rank26.9%16.0%40.6%40.6%24.4%
IV Percentile22.0%5.2%51.2%51.2%15.5%
Term Structure1.1%-2.1%2.2%1.0%0.9%
VWIV16.4%14.3%33.4%16.9%16.7%
Skew 25d2.8%0.9%6.7%6.7%3.6%
Skew 10d6.3%-1.3%14.5%14.5%7.9%
Call IV 25d14.0%12.5%16.3%12.5%13.8%
Put IV 25d16.8%15.4%20.2%19.2%17.4%
Bid-Ask Spread %25.5016.8867.8243.1116.88
Gamma HHI0.260.160.440.180.16
Net GEX4.0M2.5M6.2M5.2M2.8M
Net DEX-73.3M-114.7M-42.5M-108.7M-72.7M
Net VEX-268.8K-313.4K-228.9K-249.6K-310.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.002.290.112.29
Total Volume16,789.864125331,2765,740125
Total OI39,856.81833,13948,65246,82443,633

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$43.91$41.0017.8%5.1%18.3%40.6%16.9%6.7%1.0%5.2M-108.7M-249.6K0.1143.11N/AN/A5,19154937,0279,797
2010-12-02$43.98$41.0017.2%4.9%18.1%37.2%33.4%5.8%0.1%6.0M-114.7M-250.3K0.0028.38N/AN/A330,63464238,7959,857
2010-12-03$43.43$43.0017.7%5.1%17.6%40.0%17.7%1.8%-2.1%4.7M-43.0M-241.4K0.6932.44N/AN/A1,5391,05622,95410,185
2010-12-06$43.81$42.0017.9%4.4%17.3%26.2%15.7%1.9%2.0%4.9M-47.6M-240.9K0.7024.27N/AN/A1,01771223,05910,955
2010-12-07$43.74$42.0016.7%4.3%17.2%24.5%14.9%1.7%1.5%5.1M-46.5M-243.6K0.0924.30N/AN/A2,47422423,39011,261
2010-12-08$43.46$42.0017.3%4.4%17.4%27.1%15.5%2.5%1.9%5.5M-42.5M-246.8K0.3723.35N/AN/A1,10440724,71111,356
2010-12-09$44.15$42.0016.2%4.1%17.4%22.0%14.3%1.9%1.9%6.2M-58.6M-236.5K1.1323.71N/AN/A31635825,60711,359
2010-12-10$44.63$42.0018.7%4.0%16.8%19.3%14.8%2.0%2.2%5.6M-67.9M-229.7K0.4024.16N/AN/A64825625,81311,642
2010-12-13$45.22$42.0017.2%4.2%16.8%22.8%15.4%2.1%1.3%4.5M-77.3M-239.3K0.2518.74N/AN/A2,00649725,96711,595
2010-12-14$45.92$42.0019.6%4.2%17.3%22.3%14.7%0.9%1.5%3.3M-89.1M-228.9K0.2421.31N/AN/A2,33756626,98411,920
2010-12-15$45.79$42.0015.4%4.4%16.0%27.0%15.8%1.4%1.3%3.5M-88.7M-277.4K0.4817.78N/AN/A70633628,57412,319
2010-12-16$45.44$42.0015.6%4.5%16.6%28.3%15.2%2.2%1.5%3.4M-82.9M-281.0K0.4818.68N/AN/A58228228,54912,547
2010-12-17$45.13$42.0014.9%4.3%16.4%24.6%14.6%1.8%2.0%3.5M-80.4M-284.9K0.1018.50N/AN/A2682728,63212,757
2010-12-20$45.96$42.0014.2%4.1%17.2%20.8%15.1%3.4%0.9%3.1M-67.5M-269.0K0.6421.57N/AN/A1,6941,08323,96610,265
2010-12-21$46.80$42.0013.4%3.8%17.1%16.0%15.6%2.5%1.6%2.9M-78.7M-263.6K1.2023.60N/AN/A2,5923,10624,99011,157
2010-12-22$46.46$44.0015.2%4.4%16.8%26.2%16.2%4.4%0.8%2.9M-75.1M-301.9K1.3219.80N/AN/A8491,12426,87413,968
2010-12-23$46.28$44.0015.2%4.4%16.7%26.2%15.7%3.9%0.8%2.8M-73.4M-306.5K0.3326.28N/AN/A48816127,19914,745
2010-12-27$46.40$44.0015.4%4.4%16.6%27.1%16.3%2.9%1.0%2.8M-76.8M-296.6K0.1567.82N/AN/A1,11916527,43514,872
2010-12-28$46.09$44.0016.1%4.6%16.9%31.0%15.5%3.1%0.7%2.8M-72.2M-293.8K2.0126.27N/AN/A36673527,96114,960
2010-12-29$46.25$44.0015.8%4.5%16.9%29.1%16.0%2.8%0.5%2.5M-73.0M-313.4K0.1817.69N/AN/A2214028,07915,632
2010-12-30$46.36$44.0015.9%4.6%15.5%30.1%15.8%3.1%0.6%2.8M-75.6M-308.9K0.1822.37N/AN/A65811728,21615,286
2010-12-31$46.17$44.0014.9%4.3%15.7%24.4%16.7%3.6%0.9%2.8M-72.7M-310.6K2.2916.88N/AN/A388728,26715,366