CTL Options History — February 2012

In February 2012, CTL traded between $37.11 and $40.40. ATM implied volatility averaged 20.4%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.3% (HV 20d: 15.1%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-02-15: Highest Volume — 18,581 contracts
  • 2012-02-08: Largest IV drop — 40.1% change
  • 2012-02-02: Highest IV Rank — 49.1%
  • 2012-02-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.53$37.11$40.40$37.51$40.25
Max Pain$36.65$36.00$37.00$37.00$37.00
ATM IV20.4%14.3%29.8%22.4%15.3%
Expected Move5.7%4.1%7.6%6.4%4.4%
HV 20d15.1%13.2%16.9%15.0%13.4%
HV 60d19.2%17.1%20.7%20.7%17.1%
IV Rank24.4%2.7%49.1%33.9%6.4%
IV Percentile38.6%0.4%81.3%61.9%2.4%
Term Structure-2.3%-5.5%0.6%-2.1%-0.5%
VWIV20.8%12.5%27.9%23.2%17.8%
Skew 25d6.9%4.3%9.8%9.8%7.7%
Skew 10d14.9%7.4%24.7%24.7%8.2%
Call IV 25d16.3%9.2%24.3%20.8%9.7%
Put IV 25d23.3%16.6%32.2%30.7%17.3%
Bid-Ask Spread %17.5911.7423.9719.2522.17
Gamma HHI0.240.200.350.240.22
Net GEX5.9M-2.9M16.9M-813.1K15.5M
Net DEX-147.6M-324.2M12.4M-40.6M-257.0M
Net VEX-1.2M-1.3M-1.1M-1.3M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.162.450.300.19
Total Volume8,008.651,93718,5814,9116,805
Total OI248,140.1183,714298,287252,082199,712

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$37.51$37.0022.4%6.4%15.0%33.9%23.2%9.8%-2.1%-813.1K-40.6M-1.3M0.3019.25N/AN/A3,7881,123118,782133,300
2012-02-02$37.11$37.0026.4%7.6%15.4%49.1%27.9%7.9%-5.5%-1.8M12.4M-1.3M0.9819.43N/AN/A7,5847,440120,597133,825
2012-02-03$37.40$36.0025.0%6.6%15.3%36.0%25.6%7.7%-3.3%-604.2K-29.9M-1.3M1.2014.30N/AN/A4,2475,110125,739139,855
2012-02-06$37.11$36.0027.8%6.7%15.5%37.9%23.7%7.4%-3.5%-2.4M-8.1M-1.3M0.5716.00N/AN/A1,231706128,539143,561
2012-02-07$37.49$36.0029.8%6.7%15.8%37.4%23.9%7.2%-3.8%-664.8K-31.1M-1.3M0.8416.30N/AN/A2,0331,707129,245143,805
2012-02-08$37.89$36.0017.9%6.2%16.1%30.6%24.1%7.5%-3.0%524.7K-103.3M-1.3M2.4518.24N/AN/A2,7816,827130,397144,675
2012-02-09$38.00$36.0021.5%6.2%15.5%30.4%22.6%7.5%-3.4%2.1M-152.3M-1.2M1.4715.89N/AN/A2,3083,395131,846149,344
2012-02-10$38.02$36.0022.7%6.5%15.5%34.8%22.8%7.8%-3.2%-2.5M-92.1M-1.3M0.6016.28N/AN/A3,3041,972133,202150,285
2012-02-13$38.08$36.0021.2%6.1%15.5%29.3%20.4%7.3%-2.7%2.3M-142.7M-1.2M0.6517.02N/AN/A4,9113,194135,525150,698
2012-02-14$37.82$37.0021.9%6.3%15.5%32.0%24.9%7.1%-3.5%-2.9M-113.5M-1.2M1.5221.66N/AN/A2,8344,299137,889151,410
2012-02-15$37.83$37.0025.6%7.3%14.8%46.0%23.7%8.5%-3.8%-1.3M-107.2M-1.2M0.5023.97N/AN/A12,3616,220139,422153,071
2012-02-16$38.41$37.0019.1%5.5%15.7%21.3%19.1%6.3%-1.6%8.7M-219.1M-1.2M0.4413.06N/AN/A9,3124,132145,335152,952
2012-02-17$39.26$37.0017.8%5.1%16.9%15.9%19.2%4.9%-1.2%16.9M-324.2M-1.1M0.8111.74N/AN/A9,2167,510145,587150,747
2012-02-21$39.43$37.0017.1%4.9%16.3%13.4%18.0%4.8%-1.7%12.1M-201.1M-1.1M0.1714.95N/AN/A7,8051,311110,22973,485
2012-02-22$39.29$37.0016.4%4.7%14.8%10.8%16.5%4.3%-1.1%14.2M-189.9M-1.2M0.5218.54N/AN/A1,509788114,28374,312
2012-02-23$39.41$37.0016.5%4.7%14.0%11.1%17.2%5.3%-1.9%14.4M-204.6M-1.1M0.3415.16N/AN/A2,549873114,53574,858
2012-02-24$39.92$37.0014.3%4.1%13.7%2.7%12.5%7.8%0.6%14.3M-234.2M-1.1M0.1617.97N/AN/A5,186833115,04475,172
2012-02-27$40.00$37.0014.6%4.2%13.7%3.7%17.4%6.8%0.2%15.4M-243.5M-1.1M0.3118.85N/AN/A4,5211,421118,91275,393
2012-02-28$40.40$37.0015.3%4.4%13.2%6.4%16.1%5.1%-0.3%14.9M-270.9M-1.1M0.3921.07N/AN/A5,0581,969120,97176,263
2012-02-29$40.25$37.0015.3%4.4%13.4%6.4%17.8%7.7%-0.5%15.5M-257.0M-1.1M0.1922.17N/AN/A5,7001,105122,10977,603