CTL Options History — April 2012

In April 2012, CTL traded between $37.78 and $38.73. ATM implied volatility averaged 14.7%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 4.7% (HV 20d: 10.0%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.12.

Notable Days

  • 2012-04-23: Highest Volume — 21,817 contracts
  • 2012-04-09: Largest IV spike — 39.0% change
  • 2012-04-10: Highest IV Rank — 24.8%
  • 2012-04-10: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.30$37.78$38.73$38.73$38.56
Max Pain$38.70$38.00$39.00$39.00$38.00
ATM IV14.7%11.1%17.8%11.6%16.2%
Expected Move4.3%3.2%5.2%3.3%4.6%
HV 20d10.0%9.1%10.9%9.4%10.4%
HV 60d13.3%12.3%13.8%13.7%12.3%
IV Rank13.9%0.0%24.8%0.9%17.9%
IV Percentile13.8%0.0%28.6%1.6%19.8%
Term Structure1.1%-1.4%4.3%4.0%-1.4%
VWIV15.4%11.6%20.0%11.6%17.7%
Skew 25d4.7%2.1%5.9%2.1%4.4%
Skew 10d10.2%2.9%15.1%2.9%9.1%
Call IV 25d13.3%9.2%16.5%12.0%14.9%
Put IV 25d18.1%14.0%21.5%14.1%19.3%
Bid-Ask Spread %18.178.1224.9215.9114.11
Gamma HHI0.320.240.400.330.30
Net GEX9.2M1.4M15.3M12.3M14.5M
Net DEX-34.2M-90.1M6.3M-61.1M-87.5M
Net VEX-1.1M-1.2M-978.0K-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.0911.420.3411.42
Total Volume3,891.564821,8172,88415,080
Total OI189,268.95141,637208,349195,013162,714

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$38.73$39.0011.6%3.3%9.4%0.9%11.6%2.1%4.0%12.3M-61.1M-1.1M0.3415.91N/AN/A2,147737104,96290,051
2012-04-03$38.69$39.0011.4%3.3%9.4%0.0%12.0%4.9%4.2%11.9M-57.1M-1.1M0.7616.39N/AN/A585443106,71290,190
2012-04-04$38.58$39.0012.1%3.5%9.4%2.6%15.4%4.6%3.7%10.6M-54.0M-1.1M2.6316.08N/AN/A1,9655,169106,12090,434
2012-04-05$38.52$39.0011.1%3.2%9.4%0.0%12.4%3.7%4.3%9.4M-41.7M-1.2M0.528.12N/AN/A529274107,80494,768
2012-04-09$38.35$39.0015.4%5.1%9.1%23.6%16.1%5.1%-0.3%8.6M-29.7M-1.1M0.3215.32N/AN/A715229107,83994,824
2012-04-10$37.93$39.0016.1%5.2%9.7%24.8%20.0%4.9%-0.0%5.3M153.7K-1.1M1.4618.53N/AN/A7471,090107,92694,947
2012-04-11$38.12$39.0014.2%5.2%9.2%24.5%17.4%5.4%-0.7%6.0M-8.1M-1.1M1.0020.56N/AN/A324325107,87695,318
2012-04-12$38.47$39.0017.5%5.0%9.9%22.4%16.8%5.5%0.5%9.6M-32.2M-1.1M0.1516.35N/AN/A1,644249107,98495,530
2012-04-13$38.09$39.0017.8%5.1%10.4%23.5%18.9%5.9%-0.3%5.4M-4.8M-1.1M0.3323.52N/AN/A486162108,89695,536
2012-04-16$38.11$39.0017.7%5.1%10.3%23.3%19.6%5.3%-0.3%5.3M-4.3M-1.0M0.4121.82N/AN/A924383109,05495,613
2012-04-17$38.54$39.0015.0%4.3%10.9%13.8%14.9%4.5%0.7%9.0M-26.8M-1.1M0.1719.30N/AN/A1,119191108,98895,795
2012-04-18$38.40$39.0017.0%4.9%10.8%20.7%15.5%5.6%-0.4%8.2M-22.3M-1.1M0.5013.72N/AN/A574289109,77095,842
2012-04-19$38.07$39.0016.6%4.8%10.4%19.4%16.6%5.1%0.2%3.4M6.3M-1.0M0.6018.74N/AN/A3,2901,977109,87595,979
2012-04-20$38.12$39.0014.3%4.1%9.9%11.1%13.8%4.4%1.7%1.4M4.3M-979.7K0.1718.92N/AN/A5,076885111,55196,798
2012-04-23$37.78$38.0014.1%4.0%10.2%10.5%14.2%4.5%1.5%6.8M-17.1M-978.0K0.0918.11N/AN/A20,0921,72587,76753,870
2012-04-24$37.94$38.0014.1%4.1%10.1%10.7%14.5%5.4%0.8%12.4M-35.0M-1.0M0.4721.49N/AN/A2,001934104,39754,834
2012-04-25$38.03$38.0014.1%4.0%10.2%10.6%13.9%4.6%1.8%13.4M-45.2M-1.0M0.5024.92N/AN/A1,294643105,07755,424
2012-04-26$38.45$38.0014.3%4.1%10.3%11.2%13.6%5.1%1.0%15.3M-78.0M-1.1M0.2421.44N/AN/A1,856452106,10855,734
2012-04-27$38.60$38.0012.8%3.7%10.4%6.2%13.7%3.2%0.8%15.3M-90.1M-1.1M0.2920.11N/AN/A951274106,94255,530
2012-04-30$38.56$38.0016.2%4.6%10.4%17.9%17.7%4.4%-1.4%14.5M-87.5M-1.1M11.4214.11N/AN/A1,21413,866107,10155,613