CTL Options History — May 2012

In May 2012, CTL traded between $38.12 and $39.53. ATM implied volatility averaged 18.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.0% (HV 20d: 15.0%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.76.

Notable Days

  • 2012-05-31: Highest Volume — 98,558 contracts
  • 2012-05-10: Largest IV drop — 30.7% change
  • 2012-05-17: Highest IV Rank — 35.5%
  • 2012-05-17: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.81$38.12$39.53$38.99$39.22
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV18.0%15.1%23.8%15.9%15.3%
Expected Move5.0%4.3%6.1%4.6%4.4%
HV 20d15.0%11.1%17.1%11.1%16.4%
HV 60d13.0%12.1%14.2%12.4%12.5%
IV Rank22.5%14.2%35.5%16.8%14.6%
IV Percentile29.9%13.1%51.6%17.9%13.1%
Term Structure-0.3%-2.6%2.2%-0.5%2.2%
VWIV18.9%14.4%26.2%16.0%26.2%
Skew 25d6.6%3.2%11.0%3.2%8.9%
Skew 10d13.0%4.7%17.7%8.8%8.2%
Call IV 25d14.4%8.0%17.4%14.7%10.3%
Put IV 25d21.0%17.9%23.7%17.9%19.2%
Bid-Ask Spread %23.6113.9732.1219.8713.97
Gamma HHI0.270.160.320.250.32
Net GEX6.9M-20.8K11.1M11.1M9.1M
Net DEX-73.5M-160.0M-11.8M-110.3M-81.8M
Net VEX-1.1M-1.2M-1.0M-1.1M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.0212.580.300.02
Total Volume10,438.86493098,5582,02398,558
Total OI190,787.273161,529223,098176,150180,244

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$38.99$38.0015.9%4.6%11.1%16.8%16.0%3.2%-0.5%11.1M-110.3M-1.1M0.3019.87N/AN/A1,553470107,99968,151
2012-05-02$38.84$38.0018.1%5.2%11.2%24.7%20.2%5.2%-1.8%10.5M-94.8M-1.1M12.5828.13N/AN/A1,03312,993108,66168,383
2012-05-03$38.75$38.0017.7%5.1%11.2%23.3%17.6%4.2%-2.2%6.8M-70.9M-1.1M0.4424.34N/AN/A747331109,17879,913
2012-05-04$38.47$38.0020.5%5.4%11.5%27.1%19.3%5.8%-1.6%6.2M-49.6M-1.1M1.8624.50N/AN/A434809109,54580,212
2012-05-07$38.54$38.0018.7%4.9%11.4%21.1%18.6%6.4%-1.2%6.1M-50.7M-1.1M0.8023.68N/AN/A1,4071,126109,71780,495
2012-05-08$38.17$38.0022.6%5.5%11.2%28.4%19.9%7.2%-2.2%4.9M-15.8M-1.0M0.6120.01N/AN/A2,1781,330110,10480,361
2012-05-09$38.12$38.0023.8%5.7%11.1%30.9%18.4%7.2%-2.6%4.8M-11.8M-1.1M0.9932.12N/AN/A11,01510,893109,50480,267
2012-05-10$39.53$38.0016.5%4.7%16.8%18.9%19.0%5.7%-0.5%9.4M-160.0M-1.1M2.0928.45N/AN/A7,95716,596115,53486,914
2012-05-11$39.52$38.0017.0%4.9%16.3%20.7%17.6%6.4%-0.4%7.1M-154.4M-1.2M0.2717.82N/AN/A2,952801118,57194,764
2012-05-14$39.15$38.0018.7%5.4%16.8%26.7%19.4%6.0%-1.8%4.9M-124.0M-1.2M1.3524.73N/AN/A1,5512,092118,89694,909
2012-05-15$38.63$38.0018.8%5.4%17.1%27.1%19.0%5.7%-1.8%2.0M-55.6M-1.1M0.2926.55N/AN/A2,465711119,60195,211
2012-05-16$38.62$38.0019.1%5.5%17.1%28.1%21.0%5.8%-1.2%1.2M-63.0M-1.1M1.1724.89N/AN/A4,5485,314119,75295,362
2012-05-17$38.38$38.0021.2%6.1%16.9%35.5%19.8%6.2%-1.6%-20.8K-30.7M-1.1M0.2327.87N/AN/A4,155952122,45298,644
2012-05-18$38.59$38.0018.7%5.4%17.0%26.6%18.3%7.1%0.5%4.5M-71.6M-1.1M3.0422.45N/AN/A1,4484,396124,28798,811
2012-05-21$38.71$38.0017.6%5.1%16.6%23.0%17.6%7.2%0.7%10.3M-63.6M-1.1M0.2514.04N/AN/A1,428353102,31459,215
2012-05-22$38.52$38.0016.0%4.6%16.7%17.4%18.9%7.5%1.9%10.8M-54.3M-1.0M9.7324.33N/AN/A1,40313,647102,93259,460
2012-05-23$38.78$38.0016.6%4.7%16.9%19.2%18.8%6.5%1.2%7.3M-53.6M-1.1M0.3827.18N/AN/A2,244849103,43671,520
2012-05-24$38.70$38.0015.6%4.5%16.5%15.9%17.0%8.0%1.8%6.9M-46.2M-1.1M0.9223.85N/AN/A788728105,21172,228
2012-05-25$38.94$38.0015.1%4.3%16.6%14.2%17.0%9.4%2.2%8.8M-64.2M-1.1M0.8324.75N/AN/A507423105,23872,413
2012-05-29$39.34$38.0015.8%4.5%16.9%16.5%14.4%11.0%0.0%9.7M-95.8M-1.1M0.3021.66N/AN/A1,766527105,45172,447
2012-05-30$39.25$38.0016.1%4.6%16.5%17.4%21.3%5.3%1.2%8.7M-93.2M-1.1M0.2724.26N/AN/A3,277900106,31972,694
2012-05-31$39.22$38.0015.3%4.4%16.4%14.6%26.2%8.9%2.2%9.1M-81.8M-1.1M0.0213.97N/AN/A96,2722,286107,09473,150