CTL Options History — June 2011

In June 2011, CTL traded between $39.16 and $42.68. ATM implied volatility averaged 18.3%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.3% (HV 20d: 16.0%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2011-06-01: Highest Volume — 109,861 contracts
  • 2011-06-20: Largest IV drop — 21.0% change
  • 2011-06-17: Highest IV Rank — 88.5%
  • 2011-06-17: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.24$39.16$42.68$42.68$40.43
Max Pain$41.05$41.00$42.00$41.00$41.00
ATM IV18.3%15.3%22.6%15.3%16.3%
Expected Move5.3%4.4%6.5%4.4%4.7%
HV 20d16.0%12.3%17.8%12.3%16.3%
HV 60d16.1%14.9%17.8%16.5%14.9%
IV Rank56.4%33.0%88.5%33.0%40.6%
IV Percentile66.3%22.2%99.6%22.2%38.9%
Term Structure1.5%0.1%3.1%0.9%1.5%
VWIV19.3%14.3%25.2%25.2%14.6%
Skew 25d5.1%2.8%7.5%4.9%5.3%
Skew 10d9.9%4.1%15.7%10.2%7.1%
Call IV 25d16.7%12.8%20.4%13.4%12.8%
Put IV 25d21.8%18.1%25.8%18.3%18.1%
Bid-Ask Spread %23.4216.1133.3726.4616.11
Gamma HHI0.140.120.180.170.18
Net GEX2.0M-1.0M6.6M6.6M4.4M
Net DEX3.6M-70.2M35.0M-70.2M-16.2M
Net VEX-608.7K-689.4K-527.2K-681.8K-646.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.055.670.080.25
Total Volume7,277.045835109,861109,861835
Total OI101,556.04594,692106,56195,073106,363

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$42.68$41.0015.3%4.4%12.3%33.0%25.2%4.9%0.9%6.6M-70.2M-681.8K0.0826.46N/AN/A102,0147,84762,36332,710
2011-06-02$41.71$42.0016.1%4.6%15.1%39.2%16.3%4.5%0.8%4.3M-33.4M-689.4K1.4430.10N/AN/A2,9604,27257,21039,634
2011-06-03$41.26$41.0017.1%5.3%15.7%57.2%19.1%4.5%1.4%3.7M-23.0M-683.8K0.6432.50N/AN/A69744858,79041,884
2011-06-06$40.74$41.0018.3%5.4%15.8%60.2%20.0%5.7%1.6%2.6M-5.8M-652.6K1.4826.68N/AN/A57385058,78941,904
2011-06-07$40.34$41.0018.8%5.5%16.1%62.7%18.9%5.1%2.1%1.8M4.9M-628.4K0.8818.84N/AN/A78068558,98542,309
2011-06-08$40.58$41.0017.4%5.1%15.5%52.0%23.1%5.4%2.2%2.0M2.1M-639.4K5.6721.57N/AN/A5993,39659,23142,561
2011-06-09$40.89$41.0018.5%5.3%15.8%56.9%18.9%5.3%1.7%2.6M-8.2M-659.1K4.6519.23N/AN/A6903,21059,45844,012
2011-06-10$40.09$41.0019.6%5.6%16.2%65.4%18.1%5.0%2.0%614.9K17.2M-634.5K0.7419.78N/AN/A51137659,90546,161
2011-06-13$39.85$41.0021.1%6.0%15.5%76.6%22.2%7.3%0.5%5.1K22.0M-614.5K1.0120.90N/AN/A56357159,85946,040
2011-06-14$40.11$41.0019.5%5.6%15.9%64.9%19.3%4.5%1.1%388.4K16.9M-612.4K0.4621.79N/AN/A78436259,89645,910
2011-06-15$39.33$41.0020.6%5.9%16.2%73.5%21.1%5.1%1.2%-554.5K35.0M-577.0K2.7517.25N/AN/A6791,86760,28445,891
2011-06-16$39.52$41.0020.1%5.8%16.1%69.4%23.6%4.4%1.7%-1.0M31.3M-581.7K3.9020.00N/AN/A2661,03859,99546,157
2011-06-17$39.45$41.0022.6%6.5%15.4%88.5%23.0%7.5%0.1%-544.4K31.4M-574.7K1.0621.45N/AN/A58962360,12546,436
2011-06-20$39.60$41.0017.9%5.1%15.7%52.5%18.0%5.4%3.1%1.1M17.4M-565.0K0.0524.10N/AN/A4,63021954,88039,812
2011-06-21$40.06$41.0017.6%5.0%16.7%50.5%17.3%5.5%1.7%2.8M4.0M-575.4K0.1820.68N/AN/A91916956,73839,913
2011-06-22$39.99$41.0017.4%5.0%16.7%48.6%17.6%3.8%1.9%2.8M4.0M-569.3K0.7722.39N/AN/A63048357,18440,049
2011-06-23$39.71$41.0017.8%5.1%16.6%52.2%17.8%4.6%1.6%1.7M14.9M-548.8K1.6724.45N/AN/A7801,30557,50640,376
2011-06-24$39.16$41.0019.0%5.4%16.3%61.0%19.3%3.4%0.8%1.2M19.6M-541.4K0.8333.37N/AN/A1,4351,19757,59640,882
2011-06-27$39.63$41.0017.9%5.1%17.2%52.7%20.1%4.8%2.1%1.9M17.2M-527.2K0.3328.36N/AN/A1,58052258,40041,179
2011-06-28$39.80$41.0016.8%4.8%17.2%44.5%14.3%6.6%1.7%2.4M10.6M-547.0K0.0525.68N/AN/A5,51029159,53241,286
2011-06-29$40.26$41.0016.0%4.6%17.8%38.2%16.0%2.8%2.1%4.2M-13.2M-642.4K0.1423.60N/AN/A2,04829264,57941,459
2011-06-30$40.43$41.0016.3%4.7%16.3%40.6%14.6%5.3%1.5%4.4M-16.2M-646.7K0.2516.11N/AN/A66816764,74241,621