CTL Options History — March 2012

In March 2012, CTL traded between $38.61 and $39.90. ATM implied volatility averaged 13.5%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.6% (HV 20d: 14.1%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2012-03-01: Highest Volume — 904,731 contracts
  • 2012-03-22: Largest IV spike — 12.6% change
  • 2012-03-06: Highest IV Rank — 8.7%
  • 2012-03-06: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.04$38.61$39.90$39.90$38.65
Max Pain$38.95$37.00$40.00$37.00$39.00
ATM IV13.5%11.4%16.2%15.4%11.5%
Expected Move3.9%3.3%4.6%4.4%3.3%
HV 20d14.1%9.9%16.1%13.8%9.9%
HV 60d14.8%13.7%15.6%15.0%13.9%
IV Rank3.1%0.0%8.7%6.7%0.4%
IV Percentile1.6%0.0%6.3%3.6%0.4%
Term Structure2.9%0.4%3.8%1.7%3.6%
VWIV14.6%11.6%32.9%32.9%12.9%
Skew 25d4.3%2.0%9.2%9.2%4.9%
Skew 10d9.4%2.5%14.6%14.4%8.0%
Call IV 25d11.8%8.8%14.5%10.7%8.8%
Put IV 25d16.2%13.5%19.9%19.9%13.7%
Bid-Ask Spread %13.8410.8218.1111.4214.28
Gamma HHI0.300.220.340.220.33
Net GEX11.3M6.5M15.3M15.3M11.4M
Net DEX-93.3M-221.7M-53.4M-221.7M-54.7M
Net VEX-1.2M-1.2M-1.1M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.014.720.010.54
Total Volume44,518.773836904,731904,731836
Total OI189,383.273174,299199,532199,532194,628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$39.90$37.0015.4%4.4%13.8%6.7%32.9%9.2%1.7%15.3M-221.7M-1.1M0.0111.42N/AN/A894,03910,692121,40678,126
2012-03-02$39.03$40.0014.6%4.2%15.7%3.7%14.9%2.0%0.4%8.5M-74.7M-1.1M0.8514.22N/AN/A4,6133,90588,42485,875
2012-03-05$38.67$39.0015.8%4.4%16.1%6.5%16.5%5.2%1.6%6.5M-63.5M-1.2M1.2317.45N/AN/A1,3441,65691,57788,598
2012-03-06$38.61$39.0016.2%4.6%15.8%8.7%15.9%5.5%1.9%6.5M-56.3M-1.1M0.2512.20N/AN/A8,6702,19892,29488,515
2012-03-07$38.69$39.0015.2%4.5%15.5%7.8%16.8%5.1%2.6%8.2M-72.5M-1.2M0.7013.86N/AN/A3,8442,70799,55590,109
2012-03-08$38.72$39.0015.3%4.4%15.1%6.9%15.9%5.1%2.4%8.8M-71.2M-1.2M0.6911.79N/AN/A752522101,89892,287
2012-03-09$39.02$39.0014.1%4.2%15.3%3.4%14.0%5.3%3.3%10.7M-84.9M-1.2M0.1211.64N/AN/A968117102,08392,344
2012-03-12$38.98$39.0014.4%4.2%15.3%4.5%15.3%4.8%2.5%10.1M-87.7M-1.2M0.3910.82N/AN/A2,399943102,56592,318
2012-03-13$39.36$39.0014.1%4.0%15.6%1.9%14.2%4.7%3.0%13.5M-110.7M-1.2M0.1718.11N/AN/A1,500259103,30792,837
2012-03-14$39.20$39.0012.8%4.1%15.4%2.6%12.9%4.9%3.0%11.8M-101.9M-1.2M1.2014.18N/AN/A588708103,74492,637
2012-03-15$39.21$39.0014.0%4.0%15.4%1.3%14.6%3.9%3.3%10.9M-101.8M-1.2M1.4114.43N/AN/A376532103,90692,909
2012-03-16$39.08$39.0013.5%3.9%14.7%0.0%13.2%3.8%3.6%9.9M-99.2M-1.2M0.6814.89N/AN/A2,2501,538104,01393,011
2012-03-19$39.37$39.0013.2%3.8%12.7%0.0%12.8%3.5%3.2%12.4M-111.5M-1.2M0.8113.19N/AN/A1,11890996,08880,063
2012-03-20$39.15$39.0012.9%3.7%12.7%0.0%12.8%3.4%3.2%12.9M-102.7M-1.1M0.1616.42N/AN/A3,61857296,73080,560
2012-03-21$39.52$39.0011.4%3.3%13.1%0.0%12.3%2.3%2.7%14.8M-136.4M-1.2M0.6814.66N/AN/A3,5442,41399,05780,995
2012-03-22$39.10$39.0012.8%3.7%13.7%5.1%13.3%3.8%3.2%14.0M-105.1M-1.2M0.4313.93N/AN/A1,363584101,48083,015
2012-03-23$38.96$39.0012.0%3.4%12.8%2.0%12.0%3.6%3.8%14.2M-92.1M-1.2M4.7214.92N/AN/A1,3316,287102,19583,412
2012-03-26$39.16$39.0011.6%3.3%12.9%0.6%11.6%3.1%3.5%13.6M-96.7M-1.2M0.8813.39N/AN/A2,7522,426102,15788,551
2012-03-27$39.12$39.0011.9%3.4%12.2%1.7%12.4%3.3%3.7%13.6M-96.2M-1.2M2.1616.01N/AN/A391844104,25090,258
2012-03-28$38.65$39.0012.1%3.5%12.8%2.5%12.5%2.5%3.6%11.0M-56.9M-1.2M0.4610.93N/AN/A816379104,40889,819
2012-03-29$38.64$39.0011.6%3.3%12.5%0.8%11.6%5.7%3.7%10.9M-53.4M-1.2M0.2111.77N/AN/A1,742368104,43489,994
2012-03-30$38.65$39.0011.5%3.3%9.9%0.4%12.9%4.9%3.6%11.4M-54.7M-1.1M0.5414.28N/AN/A542294104,69689,932