CTL Options History — August 2011 In August 2011, CTL traded between $31.82 and $37.00. ATM implied volatility averaged 30.3%, placing in the 70.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 10.4% (HV 20d: 40.7%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.55.
Notable Days 2011-08-31 : Highest Volume — 46,699 contracts2011-08-08 : Largest IV spike — 51.3% change2011-08-02 : Highest IV Rank — 100.0%2011-08-08 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $34.58 $31.82 $37.00 $37.00 $36.15 Max Pain $35.17 $34.00 $38.00 $38.00 $34.00 ATM IV 30.3% 21.3% 48.6% 22.6% 21.3% Expected Move 8.4% 6.1% 11.3% 6.5% 6.1% HV 20d 40.7% 14.9% 49.2% 14.9% 44.2% HV 60d 27.2% 15.9% 31.2% 16.2% 31.2% IV Rank 70.0% 33.2% 100.0% 88.6% 33.2% IV Percentile 96.8% 86.9% 100.0% 99.2% 86.9% Term Structure -1.5% -5.7% 3.5% -0.2% 3.5% VWIV 29.9% 22.5% 39.6% 23.5% 38.7% Skew 25d 8.4% 3.8% 12.7% 5.4% 9.8% Skew 10d 17.1% -10.0% 27.1% 8.5% 17.5% Call IV 25d 25.3% 17.5% 35.1% 21.0% 17.5% Put IV 25d 33.7% 26.4% 43.5% 26.4% 27.3% Bid-Ask Spread % 22.86 14.15 36.35 21.68 22.06 Gamma HHI 0.16 0.13 0.23 0.17 0.18 Net GEX 575.5K -762.0K 3.5M 2.2M 3.5M Net DEX 56.2M -6.9M 98.8M 10.9M -6.9M Net VEX -742.8K -859.1K -567.5K -795.2K -859.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.06 1.44 1.44 0.06 Total Volume 7,442.435 1,540 46,699 1,540 46,699 Total OI 148,183.304 124,305 163,366 124,305 156,214
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2011-08-01 $37.00 $38.00 22.6% 6.5% 14.9% 88.6% 23.5% 5.4% -0.2% 2.2M 10.9M -795.2K 1.44 21.68 N/A N/A 631 909 79,250 45,055 2011-08-02 $36.93 $38.00 25.9% 7.4% 14.9% 100.0% 26.5% 5.4% -1.1% 2.2M 10.5M -801.6K 1.07 36.35 N/A N/A 8,026 8,601 79,397 45,499 2011-08-03 $34.66 $38.00 25.7% 7.4% 25.4% 98.4% 26.5% 3.8% 1.0% -753.0K 80.5M -656.1K 0.47 16.13 N/A N/A 10,536 4,935 84,304 51,951 2011-08-04 $33.25 $38.00 37.5% 10.8% 27.9% 100.0% 35.5% 3.9% -3.8% -762.0K 93.2M -619.5K 0.71 32.13 N/A N/A 3,877 2,740 86,354 54,467 2011-08-05 $33.72 $36.00 32.1% 9.0% 29.2% 76.8% 32.9% 7.4% -2.4% -512.6K 83.4M -691.3K 0.18 19.84 N/A N/A 9,780 1,797 87,750 54,328 2011-08-08 $31.82 $35.00 48.6% 11.3% 33.8% 100.0% 39.6% 8.3% -5.5% -221.8K 98.8M -567.5K 1.25 21.01 N/A N/A 2,406 3,019 90,973 54,513 2011-08-09 $33.88 $35.00 40.6% 10.0% 42.7% 83.2% 35.2% 7.3% -2.1% -74.8K 75.6M -718.5K 0.96 25.65 N/A N/A 2,665 2,551 90,870 56,071 2011-08-10 $33.38 $35.00 44.8% 10.7% 42.7% 92.7% 35.3% 10.2% -5.7% -172.9K 81.3M -678.7K 1.11 23.49 N/A N/A 4,572 5,098 92,128 57,223 2011-08-11 $34.46 $35.00 34.9% 10.0% 45.0% 83.5% 33.4% 7.9% -4.0% -112.2K 66.6M -785.8K 0.32 20.45 N/A N/A 3,258 1,056 92,770 61,184 2011-08-12 $34.61 $35.00 30.4% 8.7% 45.1% 67.8% 29.7% 7.9% -2.6% -130.3K 66.7M -777.5K 0.61 19.62 N/A N/A 1,147 703 94,031 61,383 2011-08-15 $34.98 $35.00 25.7% 7.4% 45.3% 51.6% 23.2% 8.3% -1.2% -195.4K 62.3M -774.0K 0.14 23.91 N/A N/A 3,345 471 94,519 61,305 2011-08-16 $34.38 $35.00 28.9% 8.3% 45.4% 62.5% 26.5% 9.2% -2.8% -218.8K 74.3M -730.4K 0.17 20.79 N/A N/A 2,237 376 96,340 61,114 2011-08-17 $35.31 $35.00 25.7% 7.4% 46.8% 51.5% 23.2% 7.3% -1.5% 490.6K 51.2M -791.7K 0.39 20.99 N/A N/A 2,727 1,074 97,507 61,202 2011-08-18 $34.07 $35.00 32.2% 9.2% 47.7% 74.3% 32.6% 10.5% -3.4% -107.2K 78.6M -726.6K 0.25 22.79 N/A N/A 3,174 779 99,250 61,559 2011-08-19 $33.70 $34.00 31.9% 9.1% 47.4% 73.0% 31.0% 12.7% -1.4% -164.4K 84.8M -715.7K 0.23 22.86 N/A N/A 5,365 1,229 101,404 61,962 2011-08-22 $33.99 $34.00 30.3% 8.7% 47.5% 67.5% 29.5% 10.8% -0.9% 392.8K 57.1M -724.1K 0.19 18.35 N/A N/A 3,718 710 90,146 53,011 2011-08-23 $34.47 $34.00 28.6% 8.2% 47.7% 59.9% 28.9% 10.2% -1.7% 941.2K 45.1M -763.1K 0.53 24.40 N/A N/A 1,511 808 92,263 53,336 2011-08-24 $34.87 $34.00 26.2% 7.5% 47.9% 51.2% 27.0% 9.9% 1.1% 1.2M 37.3M -776.3K 0.35 27.46 N/A N/A 1,769 612 93,038 53,478 2011-08-25 $34.43 $34.00 28.7% 8.2% 47.9% 60.3% 30.8% 10.6% -1.2% 996.6K 45.7M -769.7K 0.35 21.67 N/A N/A 3,439 1,206 94,060 53,598 2011-08-26 $34.44 $34.00 26.4% 7.6% 47.9% 51.8% 26.9% 8.1% -0.5% 914.5K 49.4M -754.9K 0.91 29.58 N/A N/A 1,128 1,026 95,437 54,588 2011-08-29 $35.42 $34.00 24.5% 7.0% 49.2% 44.7% 29.8% 10.3% 0.3% 2.1M 20.8M -798.5K 0.73 20.43 N/A N/A 2,780 2,030 96,110 54,674 2011-08-30 $35.36 $34.00 22.6% 6.5% 49.2% 38.0% 22.5% 9.0% 1.9% 1.7M 24.9M -809.6K 0.20 14.15 N/A N/A 3,883 773 96,590 56,010 2011-08-31 $36.15 $34.00 21.3% 6.1% 44.2% 33.2% 38.7% 9.8% 3.5% 3.5M -6.9M -859.1K 0.06 22.06 N/A N/A 44,165 2,534 99,870 56,344
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