CTL Options History — April 2011

In April 2011, CTL traded between $39.33 and $41.03. ATM implied volatility averaged 18.1%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 0.4% (HV 20d: 18.5%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2011-04-27: Highest Volume — 11,717 contracts
  • 2011-04-14: Largest IV spike — 39.0% change
  • 2011-04-04: Highest IV Rank — 60.5%
  • 2011-04-04: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.12$39.33$41.03$41.03$40.78
Max Pain$41.00$40.00$42.00$41.00$40.00
ATM IV18.1%14.0%20.9%16.8%19.2%
Expected Move5.6%4.8%6.2%4.8%5.5%
HV 20d18.5%13.4%22.6%21.4%15.9%
HV 60d20.6%19.1%21.3%21.3%19.7%
IV Rank48.6%33.1%60.5%33.1%46.3%
IV Percentile76.9%46.0%92.9%46.0%73.0%
Term Structure0.2%-1.3%2.1%2.1%-0.5%
VWIV19.8%16.7%23.0%16.7%20.9%
Skew 25d3.4%2.1%5.2%2.2%2.6%
Skew 10d6.3%-4.6%15.9%-4.6%15.5%
Call IV 25d18.1%15.8%19.6%15.8%18.8%
Put IV 25d21.5%18.0%23.6%18.0%21.4%
Bid-Ask Spread %24.2019.5933.7533.1524.24
Gamma HHI0.250.170.360.290.20
Net GEX4.3M997.1K6.5M5.3M6.5M
Net DEX-5.0M-46.1M11.2M-14.0M-46.1M
Net VEX-459.2K-639.8K-373.3K-402.0K-639.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.081.220.710.52
Total Volume3,81879211,7173,0863,376
Total OI80,081.9565,45894,52468,54094,524

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$41.03$41.0016.8%4.8%21.4%33.1%16.7%2.2%2.1%5.3M-14.0M-402.0K0.7133.15N/AN/A1,8081,27848,38920,151
2011-04-04$40.23$42.0019.0%6.2%22.5%60.5%20.4%4.0%-1.3%4.1M7.1M-373.3K0.9620.13N/AN/A2,2372,14050,09320,881
2011-04-05$40.14$42.0019.3%6.1%22.1%58.5%20.8%3.2%-0.2%3.8M10.8M-373.9K0.0822.45N/AN/A8,27263251,26922,033
2011-04-06$40.64$42.0017.2%5.8%22.5%52.5%19.5%2.8%-0.9%6.0M-13.3M-482.9K0.5629.13N/AN/A2,7801,56658,66222,244
2011-04-07$40.60$42.0015.0%5.7%22.3%49.7%20.1%2.6%0.0%6.0M-9.9M-483.5K0.6622.29N/AN/A1,05869759,17323,058
2011-04-08$40.46$42.0015.5%5.6%22.4%49.1%20.9%3.4%0.2%6.0M-7.9M-480.3K1.0925.11N/AN/A9801,06959,85523,340
2011-04-11$40.28$42.0018.5%5.9%22.4%54.7%21.4%4.0%-0.1%5.0M-1.3M-466.1K0.1719.59N/AN/A1,32922260,39123,877
2011-04-12$39.83$42.0016.0%5.8%22.6%51.7%19.3%5.2%1.1%2.3M11.2M-430.3K0.7933.75N/AN/A1,4461,14261,26523,924
2011-04-13$40.22$42.0014.0%5.5%22.5%47.0%19.2%2.9%-0.4%3.7M1.2M-453.6K1.2023.45N/AN/A1,6671,99461,62824,577
2011-04-14$40.00$41.0019.4%5.6%20.1%47.8%19.5%3.5%0.7%997.1K8.2M-446.8K0.4723.81N/AN/A53725562,46225,966
2011-04-15$40.03$41.0020.4%5.8%17.7%53.3%20.7%4.1%-1.3%4.5M5.8M-445.9K1.2221.65N/AN/A55567962,56626,032
2011-04-18$39.51$41.0018.8%5.4%14.2%44.1%18.8%3.4%1.5%2.2M8.1M-411.9K0.3321.57N/AN/A4,4631,47344,93820,520
2011-04-19$39.33$40.0019.8%5.7%13.6%49.8%18.8%4.0%0.6%2.9M7.5M-428.8K0.4421.40N/AN/A1,70274248,65321,762
2011-04-20$39.55$40.0018.0%5.2%13.8%39.8%16.9%4.1%-0.0%3.2M4.6M-429.5K0.1523.48N/AN/A2,32936049,72522,224
2011-04-21$39.51$40.0017.5%5.0%13.8%37.0%17.5%3.8%0.7%3.6M3.7M-432.7K0.2720.38N/AN/A1,79547751,57322,493
2011-04-25$39.39$40.0020.1%5.8%13.4%51.4%23.0%3.9%-0.6%3.6M7.5M-419.7K0.3019.87N/AN/A4,9601,51253,11222,857
2011-04-26$40.32$40.0020.9%6.0%16.1%56.4%21.3%4.1%0.2%5.4M-26.4M-478.9K0.3828.50N/AN/A2,8091,05557,18623,855
2011-04-27$40.14$40.0019.4%5.6%15.4%47.9%21.1%3.3%0.4%5.4M-26.3M-494.7K0.9924.41N/AN/A5,8915,82658,86124,510
2011-04-28$40.42$40.0018.2%5.2%15.5%41.1%18.3%2.1%1.1%6.1M-31.0M-609.7K0.1825.69N/AN/A2,76048763,01529,995
2011-04-29$40.78$40.0019.2%5.5%15.9%46.3%20.9%2.6%-0.5%6.5M-46.1M-639.8K0.5224.24N/AN/A2,2211,15564,24330,281