CTL Options History — June 2012

In June 2012, CTL traded between $37.05 and $39.49. ATM implied volatility averaged 15.4%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded below realized volatility by 8.4% (HV 20d: 23.8%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.33.

Notable Days

  • 2012-06-11: Highest Volume — 19,950 contracts
  • 2012-06-11: Largest IV spike — 24.8% change
  • 2012-06-04: Highest IV Rank — 33.4%
  • 2012-06-04: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.06$37.05$39.49$37.05$39.49
Max Pain$38.05$38.00$39.00$39.00$38.00
ATM IV15.4%11.0%20.6%19.1%11.0%
Expected Move4.5%3.1%5.9%5.5%3.1%
HV 20d23.8%13.5%26.5%26.2%13.5%
HV 60d17.5%17.1%18.3%17.1%18.3%
IV Rank15.9%0.0%33.4%28.3%0.0%
IV Percentile20.5%0.0%50.0%44.0%0.0%
Term Structure2.6%1.3%4.2%1.3%4.2%
VWIV15.7%10.6%20.2%16.0%10.6%
Skew 25d5.1%2.0%7.0%4.1%2.0%
Skew 10d11.7%4.2%17.2%11.1%4.2%
Call IV 25d13.5%10.0%17.9%17.9%10.0%
Put IV 25d18.6%12.1%24.1%22.0%12.1%
Bid-Ask Spread %19.4710.9827.9419.5926.09
Gamma HHI0.370.250.510.250.38
Net GEX6.0M-17.1M18.6M443.2K18.4M
Net DEX-25.4M-140.9M84.2M36.6M-140.9M
Net VEX-981.3K-1.0M-917.7K-990.7K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.167.400.910.35
Total Volume4,379.8147319,9508,8334,414
Total OI176,424.952161,221193,669173,361186,718

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$37.05$39.0019.1%5.5%26.2%28.3%16.0%4.1%1.3%443.2K36.6M-990.7K0.9119.59N/AN/A4,6274,20699,01974,342
2012-06-04$37.42$38.0018.9%5.9%26.5%33.4%19.4%7.0%1.7%-767.1K27.4M-1.0M0.6826.50N/AN/A1,9771,33899,93076,248
2012-06-05$37.58$38.0015.8%5.0%26.5%22.4%18.1%6.7%3.2%-880.3K21.2M-1.0M0.4727.94N/AN/A1,493705100,53377,177
2012-06-06$37.33$38.0018.0%5.4%26.4%26.9%20.2%6.4%2.5%-1.3M37.7M-969.9K0.4924.18N/AN/A2,6481,307101,14877,286
2012-06-07$37.13$38.0016.5%5.1%26.5%24.1%18.2%6.8%2.3%-738.2K57.3M-927.1K0.2816.65N/AN/A1,082305102,71677,529
2012-06-08$37.43$38.0016.5%5.0%22.8%22.8%15.3%5.7%2.3%-2.5M38.8M-972.1K0.2121.15N/AN/A1,089234103,02977,645
2012-06-11$37.58$38.0020.6%4.8%22.9%19.7%18.2%6.2%2.6%-2.4M20.2M-987.4K7.4014.59N/AN/A2,37417,576102,99277,715
2012-06-12$37.38$38.0017.4%5.1%22.8%23.5%18.2%5.7%2.7%-6.3M78.4M-917.7K1.1015.70N/AN/A487536104,79487,159
2012-06-13$37.32$38.0015.9%5.1%22.4%23.6%18.2%6.0%2.4%648.8K84.2M-921.9K0.2414.63N/AN/A2,269539104,95787,270
2012-06-14$37.71$38.0015.8%4.5%22.8%16.7%15.7%6.9%3.4%-17.1M46.7M-954.9K0.1718.05N/AN/A1,894316105,20487,443
2012-06-15$38.38$38.0015.9%4.6%23.7%16.9%16.5%5.8%3.2%-10.7M-54.4M-1.0M0.8121.35N/AN/A2,5202,050106,19087,479
2012-06-18$38.66$38.0013.4%3.8%23.7%8.0%13.6%4.7%2.4%15.0M-89.7M-999.5K0.1621.42N/AN/A3,067479101,93459,287
2012-06-19$39.05$38.0012.4%3.6%24.0%4.8%12.3%4.6%3.0%17.5M-118.2M-1.0M0.2916.02N/AN/A2,593753104,03659,398
2012-06-20$38.86$38.0012.8%3.7%24.0%6.2%14.0%4.4%2.0%16.9M-102.9M-1.0M0.8220.73N/AN/A924756105,44859,833
2012-06-21$38.49$38.0015.3%4.4%24.1%14.9%14.5%4.9%1.8%15.3M-81.4M-989.5K0.2419.33N/AN/A1,822443105,88960,040
2012-06-22$38.64$38.0012.8%3.7%24.1%5.8%14.8%4.2%2.9%17.3M-90.4M-988.5K0.5010.98N/AN/A315158107,05459,921
2012-06-25$38.15$38.0015.3%4.4%24.4%14.9%14.0%4.9%2.0%14.3M-54.8M-928.1K0.4417.22N/AN/A595263107,26859,993
2012-06-26$38.30$38.0015.0%4.3%24.1%13.8%16.7%5.7%1.8%15.7M-63.8M-946.7K3.6617.52N/AN/A3121,142107,22060,117
2012-06-27$38.59$38.0012.9%3.7%24.3%6.3%13.3%2.9%2.7%18.6M-89.8M-988.9K3.2019.67N/AN/A1,7755,682107,36460,960
2012-06-28$38.80$38.0011.4%3.3%24.4%0.9%12.8%2.1%4.1%18.4M-94.8M-1.0M5.4119.57N/AN/A2,32812,583108,45866,181
2012-06-29$39.49$38.0011.0%3.1%13.5%0.0%10.6%2.0%4.2%18.4M-140.9M-1.0M0.3526.09N/AN/A3,2811,133108,56378,155