CTL Options History — January 2011

In January 2011, CTL traded between $41.99 and $46.73. ATM implied volatility averaged 17.8%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.2% (HV 20d: 16.6%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2011-01-06: Highest Volume — 4,714 contracts
  • 2011-01-06: Largest IV spike — 15.8% change
  • 2011-01-31: Highest IV Rank — 59.2%
  • 2011-01-31: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.14$41.99$46.73$46.58$43.24
Max Pain$45.10$43.00$47.00$44.00$43.00
ATM IV17.8%13.8%21.2%13.8%21.2%
Expected Move5.1%4.0%6.1%4.0%6.1%
HV 20d16.6%14.2%21.1%14.8%21.1%
HV 60d16.5%14.6%18.7%14.8%18.6%
IV Rank40.6%18.5%59.2%18.5%59.2%
IV Percentile57.3%7.1%88.5%7.1%88.5%
Term Structure-0.3%-3.1%1.9%1.9%-2.8%
VWIV17.6%15.3%21.2%15.3%20.8%
Skew 25d3.1%1.8%4.8%4.1%3.4%
Skew 10d7.9%-0.3%13.7%8.1%11.0%
Call IV 25d16.0%12.8%18.6%12.8%18.6%
Put IV 25d19.1%16.4%22.0%16.9%22.0%
Bid-Ask Spread %27.6720.7447.1425.2523.37
Gamma HHI0.190.150.360.170.17
Net GEX3.0M1.4M3.9M2.7M2.7M
Net DEX-34.2M-80.0M10.1M-78.9M-20.8M
Net VEX-308.0K-347.4K-251.7K-305.8K-316.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.031.880.510.03
Total Volume1,981.954194,7145133,210
Total OI46,267.835,53954,55043,66341,255

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$46.58$44.0013.8%4.0%14.8%18.5%15.3%4.1%1.9%2.7M-78.9M-305.8K0.5125.25N/AN/A34017328,28115,382
2011-01-04$46.73$44.0014.1%4.1%14.7%20.3%17.1%3.2%1.4%2.9M-80.0M-302.0K0.0930.66N/AN/A2,93925228,51015,425
2011-01-05$46.39$44.0015.8%4.5%15.1%29.2%15.8%2.7%0.3%3.5M-80.0M-308.5K0.5726.50N/AN/A31617931,31215,449
2011-01-06$45.44$44.0018.3%5.2%17.0%42.9%17.9%3.8%-0.3%3.5M-62.6M-332.9K1.7729.05N/AN/A1,7023,01231,35915,585
2011-01-07$44.81$47.0016.4%5.1%17.1%40.5%17.5%2.7%0.7%3.4M-49.2M-347.4K1.8820.75N/AN/A31058431,77817,253
2011-01-10$44.96$47.0018.4%5.0%16.7%38.3%16.5%3.1%0.7%3.3M-52.3M-343.1K0.0920.74N/AN/A6135831,87217,571
2011-01-11$44.41$47.0017.4%4.9%16.6%36.1%16.2%2.5%1.5%3.4M-40.6M-327.9K1.8825.19N/AN/A9161,72532,12617,583
2011-01-12$44.63$47.0015.3%4.7%15.6%32.0%15.4%3.5%1.1%2.9M-43.0M-335.0K0.2024.52N/AN/A4599132,23418,658
2011-01-13$44.86$47.0015.7%4.5%15.8%28.9%16.1%2.4%1.5%2.7M-47.3M-330.5K0.6324.07N/AN/A38324332,21818,654
2011-01-14$44.27$47.0016.1%4.6%16.2%31.0%15.7%1.8%1.2%3.3M-35.1M-320.9K0.7830.24N/AN/A23618332,27018,582
2011-01-18$43.94$47.0016.6%4.8%16.2%33.6%16.1%2.0%0.5%3.7M-24.8M-300.4K0.8330.73N/AN/A1,15395932,35418,729
2011-01-19$43.35$46.0018.7%5.4%15.0%45.3%18.3%2.2%0.3%3.7M-7.9M-289.4K0.1923.30N/AN/A3,84973832,66119,181
2011-01-20$42.44$45.0020.1%5.8%14.2%53.0%18.5%2.5%-2.6%3.3M6.4M-276.9K0.2729.90N/AN/A2,07255934,19719,462
2011-01-21$42.16$45.0018.4%5.3%14.2%43.6%18.4%3.0%-0.6%3.9M10.1M-268.4K0.3328.41N/AN/A1,95364134,74119,809
2011-01-24$41.99$45.0018.1%5.2%14.2%42.3%17.2%3.7%-0.1%1.4M-4.3M-251.7K0.4631.02N/AN/A50423125,8929,647
2011-01-25$42.20$44.0019.0%5.4%14.4%46.9%17.3%4.8%-2.1%1.4M-4.4M-252.7K0.1947.14N/AN/A3,11057626,2219,669
2011-01-26$43.83$43.0020.4%5.9%20.8%54.9%20.2%4.2%-2.0%2.8M-25.7M-315.8K0.3727.59N/AN/A2,29784028,79210,057
2011-01-27$43.54$43.0020.9%6.0%20.8%57.2%21.0%3.6%-2.6%2.8M-23.4M-318.8K0.3728.32N/AN/A78128629,40210,584
2011-01-28$43.02$43.0021.0%6.0%20.9%57.8%21.2%3.5%-3.1%2.6M-19.4M-316.0K0.5326.62N/AN/A76040629,81710,784
2011-01-31$43.24$43.0021.2%6.1%21.1%59.2%20.8%3.4%-2.8%2.7M-20.8M-316.0K0.0323.37N/AN/A3,10910130,19511,060