CTL Options History — May 2011

In May 2011, CTL traded between $40.37 and $43.36. ATM implied volatility averaged 18.0%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.1% (HV 20d: 13.0%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2011-05-12: Highest Volume — 8,054 contracts
  • 2011-05-11: Largest IV spike — 15.0% change
  • 2011-05-02: Highest IV Rank — 54.3%
  • 2011-05-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.07$40.37$43.36$40.68$43.19
Max Pain$39.90$39.00$41.00$40.00$41.00
ATM IV18.0%14.7%20.6%20.6%14.7%
Expected Move5.3%4.2%5.9%5.9%4.2%
HV 20d13.0%10.9%15.3%15.3%11.2%
HV 60d18.2%16.4%19.7%19.7%16.4%
IV Rank44.6%28.2%54.3%54.3%28.2%
IV Percentile63.8%12.7%84.5%84.5%12.7%
Term Structure0.3%-2.3%2.7%-2.3%1.3%
VWIV20.1%15.1%25.5%21.4%21.2%
Skew 25d4.3%1.9%7.0%3.0%4.8%
Skew 10d10.4%3.9%14.8%8.2%9.8%
Call IV 25d16.4%12.2%20.2%19.9%12.6%
Put IV 25d20.7%17.4%23.0%22.9%17.5%
Bid-Ask Spread %25.7719.0740.1229.5722.12
Gamma HHI0.200.160.270.200.17
Net GEX7.1M5.7M9.6M6.5M7.2M
Net DEX-86.5M-152.3M-31.3M-45.5M-90.1M
Net VEX-672.2K-711.8K-620.2K-629.3K-676.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.051.570.700.35
Total Volume4,109.6671,6918,0543,8005,057
Total OI100,718.90586,919111,87995,45494,766

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$40.68$40.0020.6%5.9%15.3%54.3%21.4%3.0%-2.3%6.5M-45.5M-629.3K0.7029.57N/AN/A2,2401,56064,90530,549
2011-05-03$40.59$40.0020.5%5.9%13.5%54.1%25.5%2.7%-2.1%6.3M-41.6M-631.0K0.3519.10N/AN/A2,54289965,79531,474
2011-05-04$40.37$40.0020.6%5.9%13.6%54.3%21.2%1.9%0.1%6.3M-31.4M-620.6K0.3226.19N/AN/A2,85592466,12231,950
2011-05-05$40.48$40.0018.5%5.3%12.9%42.3%17.2%5.1%1.7%6.8M-31.3M-620.2K0.3939.72N/AN/A5,0861,99367,68332,117
2011-05-06$40.98$39.0017.3%5.8%13.6%51.6%21.5%5.5%0.0%7.7M-57.1M-641.8K0.3022.63N/AN/A3,7701,14768,42232,042
2011-05-09$40.82$39.0017.0%5.9%13.7%54.2%20.0%3.3%-0.6%7.8M-49.6M-628.9K0.8720.64N/AN/A3,0102,62069,18632,381
2011-05-10$41.36$39.0016.9%5.5%14.2%47.0%18.8%4.2%-1.2%9.1M-77.3M-674.1K0.3823.01N/AN/A1,36752171,33434,217
2011-05-11$41.41$39.0019.4%5.7%13.4%50.0%20.5%4.3%-0.8%8.8M-78.6M-687.0K0.3419.12N/AN/A2,33379571,74434,314
2011-05-12$41.99$39.0018.5%5.3%13.8%42.8%20.4%3.4%0.5%9.6M-103.9M-687.2K0.6232.82N/AN/A4,9793,07572,07034,729
2011-05-13$42.42$40.0019.1%5.5%13.8%46.2%20.6%4.0%-0.7%9.0M-123.2M-703.4K0.1940.12N/AN/A2,65950172,89136,930
2011-05-16$42.27$40.0018.9%5.4%14.0%44.6%19.4%4.7%-0.9%8.2M-119.3M-683.8K0.5329.96N/AN/A1,27767472,15136,977
2011-05-17$42.70$40.0019.2%5.5%12.9%46.4%20.9%4.3%1.2%7.2M-132.8M-687.6K0.7126.56N/AN/A2,7711,97072,17937,339
2011-05-18$43.00$40.0019.1%5.5%12.5%45.7%19.5%4.9%0.8%6.8M-143.8M-683.0K0.1919.07N/AN/A5,4761,06372,04338,150
2011-05-19$43.36$40.0017.2%4.9%12.6%35.5%22.6%4.2%0.8%6.2M-152.3M-692.4K0.0524.26N/AN/A7,04131872,55738,655
2011-05-20$43.20$40.0017.1%4.9%12.8%34.4%20.8%5.3%1.7%6.1M-151.7M-702.6K0.1722.43N/AN/A2,78548473,18338,696
2011-05-23$43.05$40.0018.6%5.3%12.8%47.1%20.7%3.7%-0.6%5.7M-81.8M-692.6K1.5727.70N/AN/A6881,07757,76529,154
2011-05-24$42.98$40.0017.2%4.9%10.9%38.3%20.2%4.5%0.1%5.9M-79.8M-694.1K0.6823.01N/AN/A1,23683757,99629,798
2011-05-25$42.57$40.0017.6%5.0%11.5%50.3%19.5%5.4%1.7%5.8M-67.4M-679.2K1.3022.54N/AN/A1,2581,63458,46430,318
2011-05-26$42.95$41.0016.0%4.6%11.6%38.5%15.5%7.0%2.1%6.0M-75.3M-689.7K0.2229.66N/AN/A3,36073058,92831,708
2011-05-27$43.03$41.0015.0%4.3%11.4%30.8%15.1%5.1%2.7%6.5M-83.0M-711.8K0.2320.93N/AN/A1,37132061,49331,922
2011-05-31$43.19$41.0014.7%4.2%11.2%28.2%21.2%4.8%1.3%7.2M-90.1M-676.6K0.3522.12N/AN/A3,7461,31162,66732,099