CTL Options History — February 2011

In February 2011, CTL traded between $40.05 and $45.14. ATM implied volatility averaged 19.4%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.8% (HV 20d: 21.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.45.

Notable Days

2011-02-15: Highest Volume — 64,977 contracts
2011-02-10: Largest IV drop — 30.3% change
2011-02-23: Highest IV Rank — 66.0%
2011-02-23: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.89	$40.05	$45.14	$43.44	$41.18
Max Pain	$42.11	$41.00	$43.00	$43.00	$41.00
ATM IV	19.4%	15.6%	23.2%	22.0%	17.6%
Expected Move	5.3%	4.5%	6.4%	6.3%	5.0%
HV 20d	21.2%	19.3%	24.6%	20.9%	21.2%
HV 60d	18.6%	17.5%	19.7%	18.2%	19.6%
IV Rank	43.8%	28.1%	66.0%	63.6%	39.3%
IV Percentile	66.1%	28.2%	96.0%	91.3%	62.7%
Term Structure	-0.3%	-4.4%	1.9%	-4.4%	0.6%
VWIV	18.5%	15.0%	24.4%	20.1%	17.5%
Skew 25d	3.6%	2.3%	6.2%	4.1%	2.4%
Skew 10d	6.8%	-5.5%	13.8%	9.2%	4.2%
Call IV 25d	16.8%	14.0%	20.5%	18.7%	17.4%
Put IV 25d	20.4%	18.3%	23.4%	22.8%	19.8%
Bid-Ask Spread %	28.31	17.92	39.11	23.24	24.53
Gamma HHI	0.17	0.12	0.19	0.18	0.13
Net GEX	2.8M	1.2M	4.2M	2.9M	2.2M
Net DEX	-17.6M	-47.5M	10.3M	-21.9M	-3.9M
Net VEX	-335.1K	-373.9K	-275.0K	-327.0K	-318.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.02	2.01	1.06	0.14
Total Volume	5,594.947	536	64,977	1,172	4,756
Total OI	45,900	42,195	53,395	42,195	47,865

Daily Data (19 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
2011-02-01	$43.44	$43.00	22.0%	6.3%	20.9%	63.6%	20.1%	4.1%	-4.4%	2.9M	-21.9M	-327.0K	1.06	23.24	N/A	N/A	569	603	31,070	11,125
2011-02-02	$43.58	$43.00	19.6%	5.6%	20.9%	50.0%	21.2%	4.7%	-0.9%	3.1M	-24.1M	-339.7K	0.43	24.06	N/A	N/A	376	160	31,531	11,486
2011-02-03	$43.84	$43.00	19.6%	5.6%	21.1%	50.4%	19.1%	6.2%	-1.5%	3.5M	-29.0M	-347.4K	0.12	27.34	N/A	N/A	936	113	31,788	11,228
2011-02-04	$43.64	$42.00	20.0%	4.9%	20.0%	36.5%	16.2%	3.9%	-0.2%	3.4M	-26.7M	-343.8K	2.01	29.53	N/A	N/A	569	1,143	32,227	11,229
2011-02-07	$44.17	$42.00	22.2%	4.9%	20.1%	36.6%	17.5%	4.8%	-0.4%	3.6M	-30.5M	-366.7K	0.56	28.12	N/A	N/A	390	218	31,907	12,320
2011-02-08	$44.50	$42.00	21.8%	4.9%	20.2%	36.6%	15.0%	4.3%	-0.5%	3.8M	-36.1M	-365.4K	0.25	27.62	N/A	N/A	894	226	31,638	12,353
2011-02-09	$44.50	$42.00	23.2%	4.8%	19.7%	35.4%	16.8%	3.4%	-0.9%	3.9M	-37.8M	-368.9K	0.33	26.81	N/A	N/A	849	284	31,888	12,520
2011-02-10	$44.70	$42.00	16.2%	4.6%	19.7%	31.4%	17.0%	3.4%	1.0%	3.8M	-39.3M	-373.8K	0.43	36.12	N/A	N/A	412	177	32,175	12,728
2011-02-11	$45.10	$42.00	16.9%	4.8%	19.9%	35.2%	16.0%	4.0%	-0.6%	4.0M	-45.5M	-373.9K	0.25	27.85	N/A	N/A	753	188	32,268	12,781
2011-02-14	$45.14	$43.00	15.6%	4.5%	19.3%	28.1%	15.4%	3.5%	-0.2%	4.2M	-47.5M	-371.6K	0.35	30.04	N/A	N/A	3,387	1,172	32,479	12,921
2011-02-15	$43.83	$43.00	16.6%	4.8%	21.9%	33.7%	24.4%	3.2%	0.1%	3.5M	-21.8M	-351.5K	0.02	35.45	N/A	N/A	63,508	1,469	33,904	13,732
2011-02-16	$42.66	$43.00	18.0%	5.2%	23.5%	41.5%	17.8%	3.2%	0.0%	2.5M	-6.7M	-338.4K	0.50	39.11	N/A	N/A	4,175	2,080	35,536	14,348
2011-02-17	$42.17	$42.00	17.3%	4.9%	22.6%	37.4%	16.8%	2.6%	0.3%	1.8M	-1.7M	-335.2K	0.21	32.59	N/A	N/A	2,480	525	36,930	15,281
2011-02-18	$41.23	$42.00	19.6%	5.6%	23.9%	50.5%	19.6%	2.9%	0.9%	1.2M	10.3M	-315.1K	0.31	24.78	N/A	N/A	3,856	1,195	38,059	15,336
2011-02-22	$40.70	$42.00	19.9%	5.7%	24.2%	51.6%	20.6%	2.6%	0.5%	1.4M	5.1M	-279.7K	0.30	24.67	N/A	N/A	1,875	565	31,108	12,496
2011-02-23	$40.05	$41.00	22.5%	6.4%	24.6%	66.0%	20.1%	3.5%	-1.4%	1.2M	8.8M	-275.2K	0.46	32.11	N/A	N/A	1,439	659	32,131	12,700
2011-02-24	$40.07	$41.00	22.1%	6.3%	19.5%	63.8%	21.2%	2.8%	0.7%	1.2M	9.6M	-275.0K	0.23	26.05	N/A	N/A	2,433	566	32,696	13,054
2011-02-25	$40.44	$41.00	18.6%	5.3%	20.1%	44.5%	18.4%	2.3%	1.9%	1.5M	4.2M	-299.0K	0.62	17.92	N/A	N/A	805	499	33,935	13,327
2011-02-28	$41.18	$41.00	17.6%	5.0%	21.2%	39.3%	17.5%	2.4%	0.6%	2.2M	-3.9M	-318.8K	0.14	24.53	N/A	N/A	4,159	597	34,369	13,496