CTL Options History — December 2011

In December 2011, CTL traded between $34.93 and $37.20. ATM implied volatility averaged 20.4%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 5.5% (HV 20d: 25.9%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2011-12-01: Highest Volume — 93,298 contracts
  • 2011-12-09: Largest IV drop — 16.6% change
  • 2011-12-01: Highest IV Rank — 55.4%
  • 2011-12-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.13$34.93$37.20$36.93$37.20
Max Pain$36.00$36.00$36.00$36.00$36.00
ATM IV20.4%15.6%27.9%27.9%17.7%
Expected Move5.9%4.5%8.0%8.0%5.1%
HV 20d25.9%22.3%31.9%31.9%22.3%
HV 60d27.4%25.9%29.3%28.0%26.0%
IV Rank26.7%6.7%55.4%55.4%15.1%
IV Percentile46.3%3.2%86.5%86.5%23.0%
Term Structure1.0%-2.3%2.9%-2.3%-1.5%
VWIV20.8%15.7%36.9%36.9%17.6%
Skew 25d4.5%0.4%6.7%0.4%3.1%
Skew 10d10.4%-1.9%16.2%-1.9%8.6%
Call IV 25d18.9%14.0%29.4%29.4%16.4%
Put IV 25d23.4%17.4%29.8%29.8%19.5%
Bid-Ask Spread %17.548.0929.7728.268.09
Gamma HHI0.220.170.260.180.25
Net GEX8.2M4.3M12.4M9.1M11.6M
Net DEX-48.4M-99.5M-682.6K-76.5M-99.5M
Net VEX-796.7K-919.1K-694.4K-919.1K-798.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.032.350.030.43
Total Volume8,416.95287093,29893,2981,545
Total OI173,230.286147,969182,357178,714173,949

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$36.93$36.0027.9%8.0%31.9%55.4%36.9%0.4%-2.3%9.1M-76.5M-919.1K0.0328.26N/AN/A90,8242,474115,39463,320
2011-12-02$35.48$36.0026.8%7.7%28.5%51.2%30.9%0.5%-1.0%6.3M-29.5M-872.7K0.0619.14N/AN/A12,047765115,21364,963
2011-12-05$36.02$36.0023.9%6.5%28.9%35.9%23.2%6.2%1.7%8.0M-48.6M-845.4K0.3021.88N/AN/A3,5811,085114,06665,183
2011-12-06$36.20$36.0022.1%6.6%28.8%37.3%23.3%6.5%1.6%8.8M-54.1M-873.0K1.2318.67N/AN/A749921112,34165,055
2011-12-07$36.14$36.0022.9%6.7%26.9%38.5%23.0%5.9%1.1%8.4M-50.6M-859.6K0.1419.51N/AN/A2,557366112,41864,993
2011-12-08$35.68$36.0023.8%6.6%26.3%36.9%24.0%5.7%1.4%7.1M-31.6M-832.8K0.7416.64N/AN/A1,8331,360113,66265,099
2011-12-09$35.72$36.0019.9%6.2%25.2%32.0%21.2%6.6%2.4%6.5M-28.1M-805.0K0.4518.99N/AN/A600270114,79365,878
2011-12-12$35.69$36.0020.7%6.2%24.8%31.9%21.0%6.3%2.4%6.1M-21.5M-790.7K0.2213.31N/AN/A2,727596114,98865,833
2011-12-13$35.46$36.0022.8%6.5%24.8%35.9%21.0%6.3%2.1%4.9M-13.7M-775.3K0.1720.11N/AN/A1,552270114,78566,216
2011-12-14$35.35$36.0022.2%6.4%24.8%34.5%21.3%5.8%2.3%4.4M-10.7M-753.2K0.2513.59N/AN/A2,279568115,31666,172
2011-12-15$35.30$36.0022.2%6.4%24.7%33.9%21.1%5.4%2.2%4.3M-8.5M-749.0K0.3820.97N/AN/A1,097414115,67366,234
2011-12-16$35.26$36.0021.2%6.1%24.6%29.8%20.2%5.0%2.8%4.8M-7.4M-736.2K0.3716.26N/AN/A1,517566116,21566,142
2011-12-19$34.93$36.0019.9%5.7%24.4%25.0%18.8%6.7%2.9%4.5M-682.6K-694.4K2.3529.77N/AN/A2,2925,38487,93460,035
2011-12-20$35.91$36.0017.3%5.0%26.6%15.0%16.6%5.2%0.8%8.0M-28.7M-708.0K0.5914.73N/AN/A6,1623,61189,17764,002
2011-12-21$36.54$36.0015.7%4.5%27.0%7.1%15.9%3.5%1.3%9.9M-58.8M-787.6K0.2319.16N/AN/A4,9711,15094,09665,591
2011-12-22$36.89$36.0015.6%4.5%25.4%7.0%16.0%2.9%0.3%11.3M-81.0M-779.1K0.4613.68N/AN/A5,2562,41296,39566,085
2011-12-23$37.10$36.0015.6%4.5%25.4%6.7%15.7%3.8%-0.0%12.0M-92.7M-805.1K0.6614.15N/AN/A2,4791,634100,21867,796
2011-12-27$37.16$36.0016.0%4.6%24.7%8.6%16.4%2.3%0.3%11.9M-99.1M-789.9K0.4717.04N/AN/A1,862867100,95267,915
2011-12-28$36.67$36.0016.9%4.8%25.2%12.0%17.3%3.6%-0.1%11.4M-75.3M-782.5K1.8811.33N/AN/A1,5662,938102,24268,231
2011-12-29$37.19$36.0016.7%4.8%23.0%11.2%16.3%3.1%0.1%12.4M-99.0M-772.9K0.1213.03N/AN/A1,443166102,46870,798
2011-12-30$37.20$36.0017.7%5.1%22.3%15.1%17.6%3.1%-1.5%11.6M-99.5M-798.6K0.438.09N/AN/A1,079466103,10470,845