CTL Options History — November 2011

In November 2011, CTL traded between $34.54 and $37.83. ATM implied volatility averaged 24.7%, placing in the 45.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 6.2% (HV 20d: 30.9%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2011-11-09: Highest Volume — 42,220 contracts
  • 2011-11-09: Largest IV spike — 33.6% change
  • 2011-11-30: Highest IV Rank — 66.7%
  • 2011-11-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.64$34.54$37.83$34.54$37.52
Max Pain$35.29$34.00$36.00$34.00$36.00
ATM IV24.7%16.2%30.9%26.1%30.9%
Expected Move7.3%5.3%8.8%7.5%8.8%
HV 20d30.9%23.9%33.1%23.9%31.1%
HV 60d30.1%27.9%32.0%32.0%28.0%
IV Rank45.8%19.1%66.7%48.5%66.7%
IV Percentile80.4%40.9%94.8%85.3%94.8%
Term Structure-0.5%-3.7%3.0%-1.7%-3.7%
VWIV25.5%20.7%31.1%28.4%30.5%
Skew 25d7.6%0.6%9.7%9.7%0.6%
Skew 10d17.2%-2.8%27.1%22.0%-2.8%
Call IV 25d22.4%17.5%30.1%23.2%30.1%
Put IV 25d30.1%23.2%33.4%32.9%30.7%
Bid-Ask Spread %26.3221.6338.2021.6332.68
Gamma HHI0.210.170.280.280.17
Net GEX8.2M4.0M11.0M6.7M9.7M
Net DEX-100.6M-191.0M-13.1M-20.7M-110.9M
Net VEX-829.4K-944.6K-650.2K-650.2K-944.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.032.700.240.23
Total Volume8,521.95289342,2205,71014,266
Total OI163,449.143138,395186,700138,395174,019

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$34.54$34.0026.1%7.5%23.9%48.5%28.4%9.7%-1.7%6.7M-20.7M-650.2K0.2421.63N/AN/A4,6071,10386,75051,645
2011-11-02$34.55$34.0025.8%7.4%23.9%47.4%28.2%7.1%-0.2%6.8M-26.0M-650.4K0.1822.06N/AN/A5,7271,01188,71952,197
2011-11-03$36.60$34.0018.4%5.3%30.6%19.1%20.7%5.7%3.0%9.4M-122.0M-692.6K0.1931.97N/AN/A6,6991,25592,34951,934
2011-11-04$36.23$34.0020.7%6.7%31.0%38.2%21.2%9.4%-0.2%10.7M-108.2M-724.0K0.4424.99N/AN/A4,4681,95695,48452,613
2011-11-07$36.55$34.0018.4%6.4%30.3%34.8%22.8%8.5%0.8%10.7M-122.3M-740.7K0.7427.92N/AN/A2,8632,10798,00654,066
2011-11-08$37.54$35.0016.2%5.7%31.2%25.4%20.9%7.8%0.4%8.6M-171.2M-751.4K0.1024.79N/AN/A9,20888599,19655,607
2011-11-09$36.76$35.0021.7%7.0%31.7%42.3%31.1%9.4%-0.8%11.0M-140.4M-776.7K0.5222.50N/AN/A27,82814,392102,77155,988
2011-11-10$37.46$35.0024.6%7.1%32.1%42.9%25.0%8.8%-0.6%10.2M-191.0M-878.3K0.3823.85N/AN/A2,579978114,01669,653
2011-11-11$37.83$35.0021.8%6.3%32.1%32.2%22.7%8.8%-0.3%8.9M-162.2M-869.0K0.2227.78N/AN/A3,692814101,92270,255
2011-11-14$37.57$35.0022.7%6.5%32.1%35.8%25.6%7.6%-0.4%9.5M-151.5M-861.9K0.4525.46N/AN/A2,033912103,31870,673
2011-11-15$37.58$36.0023.4%6.7%32.0%38.3%22.2%8.6%0.3%9.1M-154.2M-869.6K2.7024.83N/AN/A2,1345,771104,24271,320
2011-11-16$37.25$36.0026.0%7.5%32.3%48.3%23.0%9.3%-0.7%9.4M-132.6M-900.1K0.2624.82N/AN/A4,5821,212104,85076,002
2011-11-17$36.95$36.0026.4%7.6%32.6%49.7%25.3%9.5%-0.1%10.6M-121.3M-899.9K0.3123.91N/AN/A4,5481,404107,78776,409
2011-11-18$37.25$36.0028.7%8.2%32.4%58.7%26.1%6.2%-2.1%7.7M-139.8M-917.9K0.0822.02N/AN/A13,1451,098109,39877,302
2011-11-21$36.90$36.0026.7%7.6%32.5%50.7%26.5%8.1%0.1%6.4M-66.6M-886.0K0.5028.60N/AN/A2,8221,41098,27156,620
2011-11-22$36.44$36.0027.0%7.7%31.7%52.0%25.2%8.4%-0.6%5.6M-44.0M-899.1K0.3727.48N/AN/A2,8061,02699,50957,301
2011-11-23$35.50$36.0029.4%8.4%33.1%61.2%27.5%7.5%-1.3%4.0M-13.1M-860.3K0.7324.60N/AN/A5,4143,951100,70057,732
2011-11-25$35.70$36.0027.9%8.0%30.8%55.4%28.0%7.5%0.0%4.3M-20.7M-877.7K0.2122.73N/AN/A741152102,88961,147
2011-11-28$36.33$36.0026.4%7.6%31.4%49.6%23.8%9.6%0.4%5.8M-44.1M-852.7K0.1629.99N/AN/A2,744451103,13961,226
2011-11-29$36.35$36.0030.3%8.7%30.5%64.6%30.2%2.1%-2.0%6.0M-48.8M-913.4K0.0338.20N/AN/A13,716451104,09661,311
2011-11-30$37.52$36.0030.9%8.8%31.1%66.7%30.5%0.6%-3.7%9.7M-110.9M-944.6K0.2332.68N/AN/A11,6112,655112,44261,577