CTL Options History — January 2012

In January 2012, CTL traded between $36.59 and $37.95. ATM implied volatility averaged 21.4%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.1% (HV 20d: 15.4%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2012-01-17: Highest Volume — 66,744 contracts
  • 2012-01-26: Largest IV spike — 61.8% change
  • 2012-01-27: Highest IV Rank — 49.9%
  • 2012-01-27: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.11$36.59$37.95$37.33$37.03
Max Pain$37.10$36.00$38.00$36.00$37.00
ATM IV21.4%13.6%26.6%20.5%25.4%
Expected Move6.3%3.9%7.6%5.9%7.3%
HV 20d15.4%13.1%16.5%16.4%14.3%
HV 60d25.0%23.7%26.0%26.0%23.7%
IV Rank30.7%0.0%49.9%25.9%45.3%
IV Percentile59.0%0.0%82.9%52.4%75.4%
Term Structure-0.5%-7.7%2.8%1.4%-1.7%
VWIV23.5%20.1%30.5%20.7%25.5%
Skew 25d7.4%4.0%10.4%4.5%10.1%
Skew 10d15.9%9.5%26.0%13.1%22.9%
Call IV 25d19.9%17.0%23.6%19.0%22.2%
Put IV 25d27.3%23.0%33.8%23.5%32.3%
Bid-Ask Spread %18.9613.8924.1417.7818.37
Gamma HHI0.310.240.720.240.26
Net GEX7.1M-3.7M32.5M10.9M-2.8M
Net DEX-41.1M-120.3M27.4M-103.6M11.4M
Net VEX-1.0M-1.3M-792.0K-792.0K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.095.403.370.25
Total Volume14,3493,53366,74410,2545,852
Total OI216,596.8174,289276,670174,289248,176

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$37.33$36.0020.5%5.9%16.4%25.9%20.7%4.5%1.4%10.9M-103.6M-792.0K3.3717.78N/AN/A2,3497,905103,34070,949
2012-01-04$37.09$36.0021.5%6.2%15.9%28.9%25.2%5.0%2.3%10.4M-85.2M-826.0K1.6118.40N/AN/A6,31010,187104,63176,203
2012-01-05$36.81$36.0020.1%5.8%16.2%21.8%20.8%4.0%2.8%10.2M-62.7M-864.3K1.8817.29N/AN/A3,4546,503107,57583,069
2012-01-06$37.02$38.0020.4%6.9%16.3%38.2%24.0%6.9%-1.0%9.9M-72.8M-909.1K1.1323.91N/AN/A7,7118,698108,27287,335
2012-01-09$36.83$38.0020.4%6.7%15.6%34.8%22.7%6.9%-0.5%9.4M-49.9M-916.9K0.2324.14N/AN/A4,4101,015111,93294,943
2012-01-10$36.98$38.0019.0%6.2%15.6%28.4%20.9%8.3%1.3%10.5M-64.2M-939.3K0.6723.28N/AN/A2,3961,609113,70795,473
2012-01-11$36.61$38.0019.4%6.3%16.2%29.1%22.7%6.7%-0.8%10.4M-34.8M-926.2K1.8721.09N/AN/A1,2312,302114,57596,041
2012-01-12$36.64$38.0019.9%5.7%15.9%20.8%20.1%6.5%0.7%11.4M-30.1M-917.0K0.0919.10N/AN/A3,947371115,13397,691
2012-01-13$36.59$37.0022.4%6.4%15.8%30.8%22.5%5.5%-1.2%12.2M-29.0M-918.5K3.1521.85N/AN/A2,3567,430117,58997,878
2012-01-17$36.96$37.0023.1%6.6%16.1%33.6%23.4%8.7%0.4%12.5M-54.2M-929.8K0.7419.63N/AN/A38,45028,294118,835104,105
2012-01-18$37.46$37.0023.5%6.7%16.5%35.2%23.8%7.0%-1.5%13.6M-120.3M-1.1M0.1916.32N/AN/A5,269995137,442128,682
2012-01-19$37.47$37.0025.8%7.4%15.8%44.8%25.7%8.6%-3.5%7.6M-67.1M-1.1M5.4020.84N/AN/A5,08327,425122,626129,108
2012-01-20$37.95$37.0022.0%6.3%13.5%29.4%24.8%8.8%-1.9%32.5M-79.2M-1.2M0.5913.89N/AN/A7,3614,376124,398152,272
2012-01-23$37.58$37.0013.6%3.9%13.1%0.0%21.1%8.6%1.8%-2.9M-31.1M-1.1M0.6415.95N/AN/A7,8394,98887,213104,628
2012-01-24$36.94$37.0021.6%6.2%14.3%30.5%23.1%7.3%-0.6%-3.1M27.4M-1.2M0.9715.66N/AN/A2,8622,76593,160106,643
2012-01-25$37.53$37.0014.4%4.1%15.2%2.8%21.5%9.1%1.0%-1.6M-25.2M-1.2M0.7516.20N/AN/A6,0654,53394,510107,463
2012-01-26$37.15$37.0023.2%6.7%15.7%37.0%23.9%9.5%1.0%-2.1M1.2M-1.2M1.0215.24N/AN/A8,8208,99698,250111,019
2012-01-27$37.26$37.0026.6%7.6%14.9%49.9%30.5%5.0%-7.7%-2.9M24.2M-1.2M1.5519.16N/AN/A12,01518,640103,561118,787
2012-01-30$36.97$37.0025.9%7.4%14.3%47.4%26.1%10.4%-1.9%-3.7M22.4M-1.3M0.3321.07N/AN/A4,6481,520112,317132,405
2012-01-31$37.03$37.0025.4%7.3%14.3%45.3%25.5%10.1%-1.7%-2.8M11.4M-1.3M0.2518.37N/AN/A4,6751,177115,449132,727