CTL Options History — October 2011

In October 2011, CTL traded between $32.11 and $35.96. ATM implied volatility averaged 25.4%, placing in the 48.4% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 0.1% (HV 20d: 25.5%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2011-10-19: Highest Volume — 57,011 contracts
  • 2011-10-31: Largest IV spike — 21.0% change
  • 2011-10-03: Highest IV Rank — 90.8%
  • 2011-10-03: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.10$32.11$35.96$32.11$35.26
Max Pain$33.67$33.00$35.00$35.00$34.00
ATM IV25.4%18.8%37.2%37.2%22.7%
Expected Move7.5%5.4%10.7%10.7%6.5%
HV 20d25.5%21.1%30.4%30.4%22.1%
HV 60d35.8%33.7%36.5%35.8%33.9%
IV Rank48.4%20.6%90.8%90.8%35.7%
IV Percentile82.1%48.8%98.8%98.8%77.4%
Term Structure0.9%-0.6%2.8%-0.4%0.3%
VWIV26.7%18.9%35.0%35.0%22.4%
Skew 25d8.3%6.2%10.0%8.9%6.2%
Skew 10d19.7%12.7%24.4%15.0%13.3%
Call IV 25d22.9%16.5%34.0%34.0%18.6%
Put IV 25d31.2%23.0%42.9%42.9%24.8%
Bid-Ask Spread %22.3315.4235.8816.8122.64
Gamma HHI0.230.120.480.130.29
Net GEX2.7M-932.7K10.6M-250.9K8.7M
Net DEX24.1M-72.7M102.8M92.3M-48.6M
Net VEX-641.2K-707.4K-570.2K-616.3K-661.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.143.680.790.41
Total Volume6,441.76273757,0111,734737
Total OI171,451.667125,199217,626179,389137,787

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$32.11$35.0037.2%10.7%30.4%90.8%35.0%8.9%-0.4%-250.9K92.3M-616.3K0.7916.81N/AN/A971763114,22665,163
2011-10-04$32.17$35.0034.2%9.8%29.0%79.5%34.1%8.5%1.9%-739.5K101.5M-578.2K0.4527.81N/AN/A3,1261,414114,06865,354
2011-10-05$32.24$35.0030.6%8.8%28.1%65.5%29.2%7.1%2.5%-932.7K102.8M-570.2K0.6624.97N/AN/A2,7101,778115,35365,374
2011-10-06$32.28$35.0030.4%8.7%28.1%65.1%27.5%6.2%2.8%-745.5K100.4M-574.4K1.3415.56N/AN/A8531,142116,55565,497
2011-10-07$32.79$33.0026.1%8.6%28.1%63.1%28.6%8.7%0.6%-816.7K93.3M-584.7K0.5115.62N/AN/A2,3151,171116,41365,802
2011-10-10$33.54$33.0023.8%8.0%29.1%55.7%28.0%9.2%0.3%154.4K69.3M-630.8K0.6119.58N/AN/A1,221748117,11566,230
2011-10-11$33.52$33.0023.3%7.8%25.5%52.6%26.0%8.7%0.3%184.8K69.2M-621.5K0.2815.42N/AN/A3,303941117,72466,321
2011-10-12$34.38$33.0025.1%7.7%27.3%52.0%24.6%8.6%0.2%2.5M26.6M-699.8K0.1621.76N/AN/A10,4821,667119,30066,569
2011-10-13$34.31$33.0027.2%7.8%26.9%52.8%27.7%8.9%-0.2%1.5M34.6M-669.2K0.4526.51N/AN/A1,328593120,08066,898
2011-10-14$34.60$33.0023.1%6.6%26.0%37.2%28.0%8.9%1.5%1.6M23.8M-681.2K3.5724.17N/AN/A5231,866120,71167,283
2011-10-17$34.33$33.0026.7%7.6%25.9%50.7%26.8%8.1%-0.5%126.8K46.0M-632.0K0.5118.88N/AN/A1,239626120,93568,617
2011-10-18$34.70$33.0024.1%6.9%26.2%40.9%30.7%8.4%0.6%796.1K18.7M-650.0K3.3825.74N/AN/A4581,550121,46267,737
2011-10-19$34.64$33.0025.1%7.2%22.8%44.6%29.4%9.2%-0.6%37.9K27.0M-634.8K0.9922.24N/AN/A28,71928,292121,54268,349
2011-10-20$34.77$33.0024.3%7.0%21.7%41.7%26.4%9.9%1.1%1.7M1.3M-707.4K3.6835.88N/AN/A9473,489135,05882,568
2011-10-21$35.19$33.0023.4%6.7%21.5%38.1%24.1%8.0%0.9%10.6M-66.8M-693.1K0.3818.37N/AN/A6,2862,382121,95472,340
2011-10-24$34.88$34.0021.8%6.2%21.1%32.1%22.2%7.4%2.1%5.6M-25.4M-664.4K0.3219.11N/AN/A3,3841,08875,74549,454
2011-10-25$34.12$34.0025.2%7.2%22.6%45.2%25.4%9.5%0.9%4.8M-8.2M-603.7K0.9719.62N/AN/A2,2412,16778,41550,024
2011-10-26$34.59$34.0021.6%6.2%22.5%31.3%23.9%10.0%1.9%5.7M-18.6M-645.1K0.5619.01N/AN/A62835179,73451,095
2011-10-27$35.78$34.0018.8%5.4%25.3%20.9%18.9%7.7%2.1%7.5M-59.3M-676.8K0.1432.54N/AN/A4,92066480,09851,276
2011-10-28$35.96$34.0018.8%5.4%24.1%20.6%21.2%6.5%0.8%8.4M-72.7M-669.6K0.1826.77N/AN/A5,24694882,89151,368
2011-10-31$35.26$34.0022.7%6.5%22.1%35.7%22.4%6.2%0.3%8.7M-48.6M-661.3K0.4122.64N/AN/A52121686,18551,602