CTL Options History — July 2011

In July 2011, CTL traded between $37.11 and $41.03. ATM implied volatility averaged 18.7%, placing in the 57.5% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.5% (HV 20d: 16.2%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.68.

Notable Days

  • 2011-07-13: Highest Volume — 18,097 contracts
  • 2011-07-11: Largest IV spike — 23.6% change
  • 2011-07-29: Highest IV Rank — 96.3%
  • 2011-07-29: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.86$37.11$41.03$41.03$37.11
Max Pain$39.40$38.00$41.00$41.00$38.00
ATM IV18.7%15.4%23.6%15.4%23.6%
Expected Move5.3%4.4%6.8%4.4%6.8%
HV 20d16.2%15.0%17.5%16.9%16.5%
HV 60d15.5%15.0%16.2%15.0%16.2%
IV Rank57.5%33.8%96.3%33.8%96.3%
IV Percentile69.1%25.4%99.6%25.4%99.6%
Term Structure0.9%-0.2%2.1%1.5%0.4%
VWIV18.3%15.5%24.5%15.7%24.5%
Skew 25d4.7%2.9%6.7%2.9%4.7%
Skew 10d12.0%5.2%16.3%8.7%16.3%
Call IV 25d16.6%13.1%21.1%13.1%21.1%
Put IV 25d21.3%16.0%25.8%16.0%25.8%
Bid-Ask Spread %25.2417.1239.2221.5617.12
Gamma HHI0.180.120.210.210.19
Net GEX2.9M-260.8K7.1M6.8M2.2M
Net DEX-928.2K-39.0M34.2M-36.7M11.1M
Net VEX-710.4K-854.0K-618.2K-654.8K-780.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.062.990.350.99
Total Volume4,94479318,0972,9329,808
Total OI111,369.188,419135,121106,912116,619

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$41.03$41.0015.4%4.4%16.9%33.8%15.7%2.9%1.5%6.8M-36.7M-654.8K0.3521.56N/AN/A2,16676665,20441,708
2011-07-05$41.00$40.0016.6%4.9%16.3%47.2%16.7%4.3%0.5%7.1M-37.0M-653.7K0.3939.22N/AN/A56922466,97942,023
2011-07-06$40.91$40.0016.6%4.9%15.8%47.2%17.8%4.5%0.9%6.9M-39.0M-654.5K0.3933.97N/AN/A1,19346767,27642,000
2011-07-07$40.71$40.0015.5%4.8%15.8%44.9%15.5%3.9%0.2%6.7M-31.7M-647.9K0.2432.49N/AN/A3,08674167,62842,284
2011-07-08$40.31$40.0017.5%5.0%16.0%49.8%15.9%4.6%0.5%5.1M-15.1M-634.7K0.6024.27N/AN/A3,8032,28669,21242,804
2011-07-11$39.46$40.0021.6%5.3%16.2%57.7%18.5%4.7%1.7%2.2M9.9M-661.1K0.9834.08N/AN/A1,1951,16872,39044,748
2011-07-12$39.31$40.0019.9%5.4%16.1%59.2%17.4%5.7%-0.2%1.5M12.9M-655.6K0.4428.23N/AN/A56724972,54744,596
2011-07-13$38.78$40.0018.1%4.8%16.5%45.0%17.1%4.8%0.9%20.7K27.4M-618.2K1.0124.35N/AN/A9,0219,07672,67244,413
2011-07-14$38.54$40.0018.4%5.3%15.2%56.5%18.1%4.8%0.4%-260.8K26.6M-708.7K1.5722.87N/AN/A1,6762,62880,56551,859
2011-07-15$38.42$40.0019.3%5.5%15.1%63.0%19.4%5.7%0.5%88.8K34.2M-699.0K2.9925.08N/AN/A5921,77081,54053,581
2011-07-18$37.83$40.0019.7%5.7%15.9%66.5%19.7%4.8%1.7%785.5K18.6M-655.0K0.6020.60N/AN/A7,6224,58454,59933,820
2011-07-19$37.94$39.0018.9%5.4%15.8%60.2%18.7%4.5%1.9%1.4M14.8M-708.6K0.4321.66N/AN/A2,04488160,06537,634
2011-07-20$37.76$39.0018.6%5.3%15.0%58.0%18.6%4.6%0.7%1.3M15.3M-713.8K0.0822.39N/AN/A6,94854060,83338,552
2011-07-21$38.27$39.0018.7%5.4%16.1%58.5%18.1%5.3%1.2%2.4M-3.1M-762.8K0.0623.31N/AN/A6,91938364,87938,818
2011-07-22$38.66$39.0017.7%5.1%16.6%51.4%18.5%4.2%0.8%3.4M-25.8M-854.0K0.5822.78N/AN/A1,47885170,37039,071
2011-07-25$37.95$39.0018.2%5.2%17.1%54.9%20.8%4.0%2.1%2.3M-534.5K-789.5K0.1429.02N/AN/A3,27946368,40339,601
2011-07-26$38.27$38.0019.3%5.5%16.8%63.0%18.4%4.3%0.9%3.1M-14.3M-801.5K0.3623.73N/AN/A88332171,02339,898
2011-07-27$37.62$38.0018.4%5.3%17.5%56.3%16.3%4.7%1.6%2.5M3.3M-782.3K0.4018.10N/AN/A4,6941,88971,60640,079
2011-07-28$37.24$38.0021.6%6.2%16.8%80.8%21.3%6.7%0.1%2.3M10.4M-771.9K1.0219.92N/AN/A1,0141,03675,04540,438
2011-07-29$37.11$38.0023.6%6.8%16.5%96.3%24.5%4.7%0.4%2.2M11.1M-780.8K0.9917.12N/AN/A4,9284,88075,68540,934