CTL Options History — March 2011

In March 2011, CTL traded between $39.67 and $41.83. ATM implied volatility averaged 18.6%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 3.1% (HV 20d: 21.7%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.52.

Notable Days

  • 2011-03-01: Highest Volume — 6,652 contracts
  • 2011-03-10: Largest IV spike — 26.6% change
  • 2011-03-16: Highest IV Rank — 74.4%
  • 2011-03-16: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.75$39.67$41.83$40.50$41.55
Max Pain$41.17$41.00$42.00$41.00$41.00
ATM IV18.6%16.0%24.1%21.7%16.0%
Expected Move5.4%4.6%6.9%6.2%4.6%
HV 20d21.7%18.8%23.8%21.6%21.2%
HV 60d20.1%19.0%21.3%19.8%21.2%
IV Rank45.3%28.5%74.4%61.5%28.5%
IV Percentile70.2%31.7%98.8%93.7%31.7%
Term Structure1.3%-2.0%3.0%-1.9%2.9%
VWIV18.4%15.8%22.4%19.4%15.8%
Skew 25d3.1%1.5%5.3%2.2%3.1%
Skew 10d6.9%0.5%16.2%3.7%1.2%
Call IV 25d17.7%15.2%21.6%18.6%15.6%
Put IV 25d20.7%17.5%25.0%20.8%18.8%
Bid-Ask Spread %26.2718.8538.8326.5618.85
Gamma HHI0.220.120.290.140.26
Net GEX3.4M1.4M6.1M2.7M5.2M
Net DEX-6.8M-38.3M10.8M-9.2M-21.1M
Net VEX-338.8K-399.9K-285.3K-318.0K-399.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.072.940.070.14
Total Volume2,514.4783836,6526,6525,101
Total OI57,143.95751,02665,97951,05665,979

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$40.50$41.0021.7%6.2%21.6%61.5%19.4%2.2%-1.9%2.7M-9.2M-318.0K0.0726.56N/AN/A6,23441837,17313,883
2011-03-02$40.93$41.0017.6%5.0%22.0%39.3%17.9%1.8%3.0%3.0M-8.3M-343.5K0.2620.67N/AN/A75519638,96613,974
2011-03-03$40.81$41.0018.1%5.2%21.9%41.9%17.6%2.5%1.4%2.8M-1.7M-319.1K0.4032.04N/AN/A71228337,56914,117
2011-03-04$40.40$42.0018.8%6.0%21.8%55.4%19.5%3.7%0.1%2.4M2.6M-305.4K0.1321.71N/AN/A3,46543537,70414,237
2011-03-07$40.09$42.0018.9%5.6%21.8%48.6%19.1%3.9%1.5%1.4M10.8M-285.3K0.5019.35N/AN/A69434636,53714,489
2011-03-08$40.52$42.0017.0%5.6%21.7%49.1%18.2%3.3%0.8%2.1M3.4M-304.6K0.2123.79N/AN/A1,11824037,07314,605
2011-03-09$40.68$42.0016.3%5.3%21.4%43.3%18.9%2.4%2.0%2.3M2.3M-308.9K0.0728.16N/AN/A2,86419737,71214,685
2011-03-10$40.35$41.0020.6%5.9%21.4%54.4%19.3%3.5%0.3%2.5M2.1M-314.2K0.0719.06N/AN/A8436040,48914,807
2011-03-11$40.45$41.0019.8%5.7%21.3%49.8%19.3%2.5%1.2%2.8M-914.4K-322.0K0.1823.15N/AN/A85615041,08414,825
2011-03-14$40.43$41.0020.6%5.9%20.7%54.7%19.1%2.7%0.8%2.8M239.9K-312.4K0.2022.50N/AN/A3196441,71214,858
2011-03-15$40.07$41.0020.8%6.0%20.6%55.8%21.0%3.1%0.1%2.2M4.7M-304.3K0.8227.49N/AN/A88873141,66614,795
2011-03-16$39.67$41.0024.1%6.9%18.8%74.4%22.4%3.1%-2.0%2.0M6.6M-294.2K0.1429.99N/AN/A3,68252941,87215,117
2011-03-17$40.81$41.0022.0%6.3%20.4%62.5%19.9%5.3%0.8%4.3M-13.4M-347.5K0.3532.18N/AN/A1,56954644,98815,479
2011-03-18$41.83$41.0018.6%5.3%22.1%43.4%19.4%3.6%1.8%6.1M-38.3M-383.6K0.6125.57N/AN/A1,02462845,58415,679
2011-03-21$40.48$41.0019.8%5.7%23.8%50.1%18.9%4.4%2.1%3.1M-6.6M-326.0K0.7723.88N/AN/A2,6202,01139,24713,080
2011-03-22$40.89$41.0016.3%4.7%23.6%30.3%16.6%3.5%2.3%3.8M-10.2M-335.8K0.5328.01N/AN/A3,3111,75940,81014,198
2011-03-23$40.90$41.0017.0%4.9%22.8%33.9%17.1%3.0%1.3%4.2M-12.2M-355.9K2.9427.94N/AN/A6191,81743,05415,453
2011-03-24$40.69$41.0016.6%4.7%22.9%31.6%16.6%3.4%3.0%4.0M-7.2M-364.5K1.2528.68N/AN/A1,6142,02343,32317,177
2011-03-25$40.97$41.0016.8%4.8%22.8%32.9%17.6%3.2%2.3%4.2M-9.1M-381.8K0.3626.19N/AN/A92633344,32518,769
2011-03-28$40.95$41.0016.7%4.8%21.9%32.5%16.7%3.4%2.8%4.3M-7.4M-372.0K0.5629.66N/AN/A59533644,65219,067
2011-03-29$41.45$41.0016.8%4.8%21.4%32.9%16.3%1.5%2.4%4.8M-18.2M-393.3K0.3138.83N/AN/A1,95359645,04419,244
2011-03-30$41.73$41.0017.1%4.9%21.2%34.6%17.2%1.5%0.9%5.1M-24.5M-399.9K1.0629.88N/AN/A1,1501,22345,59719,613
2011-03-31$41.55$41.0016.0%4.6%21.2%28.5%15.8%3.1%2.9%5.2M-21.1M-399.3K0.1418.85N/AN/A4,48761446,13619,843