CTL Options History — September 2011 In September 2011, CTL traded between $32.89 and $34.97. ATM implied volatility averaged 27.4%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded below realized volatility by 8.2% (HV 20d: 35.6%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.82.
Notable Days 2011-09-26 : Highest Volume — 7,339 contracts2011-09-21 : Largest IV spike — 26.1% change2011-09-30 : Highest IV Rank — 75.3%2011-09-30 : Largest Expected Move — 9.5%Monthly Statistics Metric Avg Min Max Open Close Price $33.89 $32.89 $34.97 $34.31 $33.12 Max Pain $35.10 $35.00 $36.00 $36.00 $35.00 ATM IV 27.4% 21.1% 33.1% 25.8% 33.1% Expected Move 7.9% 6.4% 9.5% 7.4% 9.5% HV 20d 35.6% 28.6% 45.8% 45.8% 28.6% HV 60d 34.2% 32.7% 35.4% 32.8% 35.4% IV Rank 53.9% 33.6% 75.3% 49.7% 75.3% IV Percentile 93.1% 85.3% 98.0% 93.7% 98.0% Term Structure 1.0% -1.5% 3.2% -0.9% 0.9% VWIV 26.9% 21.9% 32.2% 24.8% 29.5% Skew 25d 8.5% 6.3% 10.0% 6.3% 10.0% Skew 10d 18.5% 8.9% 26.7% 8.9% 18.0% Call IV 25d 24.0% 19.7% 28.7% 21.8% 28.7% Put IV 25d 32.5% 27.2% 38.7% 28.1% 38.7% Bid-Ask Spread % 21.83 15.74 30.56 23.41 22.68 Gamma HHI 0.17 0.14 0.20 0.16 0.16 Net GEX 543.9K -939.3K 1.9M 795.0K 543.1K Net DEX 50.2M 22.5M 77.2M 41.8M 67.7M Net VEX -727.6K -789.7K -640.7K -775.7K -703.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.14 2.62 0.60 0.44 Total Volume 3,542.095 1,039 7,339 4,306 2,688 Total OI 164,941.19 156,636 178,306 156,636 178,306
Daily Data (21 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 2011-09-01 $34.31 $36.00 25.8% 7.4% 45.8% 49.7% 24.8% 6.3% -0.9% 795.0K 41.8M -775.7K 0.60 23.41 N/A N/A 2,694 1,612 98,637 57,999 2011-09-02 $34.15 $36.00 24.8% 7.1% 45.6% 44.5% 24.5% 7.1% 0.0% 580.3K 46.7M -773.2K 1.22 19.82 N/A N/A 634 771 100,010 58,147 2011-09-06 $33.23 $35.00 30.3% 8.1% 41.5% 57.1% 25.6% 9.7% -0.6% -365.2K 73.0M -673.5K 0.56 22.54 N/A N/A 1,003 560 100,281 58,233 2011-09-07 $33.85 $35.00 26.5% 7.4% 35.4% 48.9% 28.3% 8.1% 0.1% -277.2K 60.7M -702.8K 2.37 17.68 N/A N/A 792 1,878 100,681 58,218 2011-09-08 $33.68 $35.00 26.2% 7.4% 35.0% 48.8% 26.1% 8.1% 0.3% -689.2K 65.2M -688.6K 0.63 18.65 N/A N/A 801 508 100,916 59,137 2011-09-09 $33.07 $35.00 30.6% 8.5% 33.6% 63.4% 30.2% 9.6% -0.5% -853.9K 77.2M -665.8K 1.09 18.33 N/A N/A 1,505 1,634 101,204 59,441 2011-09-12 $33.35 $35.00 31.6% 8.9% 33.7% 67.6% 28.3% 8.8% -1.5% -939.3K 72.7M -674.2K 0.48 24.06 N/A N/A 701 338 102,222 60,557 2011-09-13 $34.64 $35.00 25.8% 7.4% 36.3% 48.3% 26.5% 7.6% 1.4% 625.8K 29.5M -788.4K 0.37 15.74 N/A N/A 2,950 1,105 102,296 60,585 2011-09-14 $34.66 $35.00 21.1% 7.1% 35.8% 44.4% 25.9% 7.5% 2.0% 667.5K 27.5M -783.3K 0.64 27.33 N/A N/A 1,188 756 104,279 61,089 2011-09-15 $34.25 $35.00 26.1% 7.5% 34.6% 48.9% 25.3% 7.3% 1.4% -151.9K 43.1M -750.5K 0.72 16.16 N/A N/A 1,426 1,033 105,074 61,386 2011-09-16 $34.97 $35.00 22.2% 6.4% 33.0% 33.6% 21.9% 6.7% 3.2% 950.6K 22.5M -767.2K 0.80 17.30 N/A N/A 3,214 2,559 105,859 61,969 2011-09-19 $34.64 $35.00 23.0% 6.6% 32.9% 36.9% 23.4% 8.3% 2.3% 1.1M 28.6M -772.2K 0.27 27.43 N/A N/A 4,781 1,302 100,725 57,959 2011-09-20 $34.64 $35.00 22.2% 6.4% 32.8% 33.8% 22.4% 7.8% 3.0% 1.6M 25.3M -789.7K 0.89 26.41 N/A N/A 3,453 3,082 104,778 58,683 2011-09-21 $33.45 $35.00 28.0% 8.0% 34.8% 55.9% 25.7% 9.4% 1.0% 779.9K 59.7M -695.0K 0.27 24.95 N/A N/A 2,365 646 106,506 56,841 2011-09-22 $32.89 $35.00 29.5% 8.4% 34.8% 61.4% 29.0% 9.6% 1.6% 356.2K 74.5M -640.7K 0.72 20.88 N/A N/A 1,798 1,287 107,419 57,108 2011-09-23 $33.37 $35.00 31.6% 9.1% 35.2% 69.5% 32.2% 8.8% 1.0% 820.1K 59.1M -704.4K 2.62 21.73 N/A N/A 1,796 4,706 107,693 57,486 2011-09-26 $33.99 $35.00 29.3% 8.4% 35.9% 61.0% 28.2% 9.0% 2.1% 1.3M 41.3M -742.8K 0.14 19.15 N/A N/A 6,453 886 108,184 61,295 2011-09-27 $34.04 $35.00 29.2% 8.4% 34.2% 60.3% 27.5% 9.3% 2.0% 1.9M 35.8M -755.9K 0.43 20.28 N/A N/A 1,142 495 112,000 61,351 2011-09-28 $33.59 $35.00 29.2% 8.4% 34.5% 60.4% 29.1% 8.6% 2.2% 1.3M 53.4M -714.7K 0.41 23.37 N/A N/A 2,005 819 112,444 61,526 2011-09-29 $33.72 $35.00 29.9% 8.6% 33.3% 63.2% 30.0% 9.8% 0.9% 1.4M 49.0M -717.4K 1.60 30.56 N/A N/A 1,929 3,089 113,137 62,104 2011-09-30 $33.12 $35.00 33.1% 9.5% 28.6% 75.3% 29.5% 10.0% 0.9% 543.1K 67.7M -703.2K 0.44 22.68 N/A N/A 1,872 816 113,609 64,697
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