CTL Options History — July 2012

In July 2012, CTL traded between $39.36 and $41.78. ATM implied volatility averaged 17.5%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.0% (HV 20d: 15.5%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.28.

Notable Days

2012-07-09: Highest Volume — 63,649 contracts
2012-07-12: Largest IV spike — 43.0% change
2012-07-25: Highest IV Rank — 49.1%
2012-07-25: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.55	$39.36	$41.78	$39.66	$41.54
Max Pain	$39.05	$38.00	$40.00	$38.00	$40.00
ATM IV	17.5%	10.3%	24.7%	10.5%	21.7%
Expected Move	5.2%	3.0%	7.1%	3.0%	6.2%
HV 20d	15.5%	13.0%	18.6%	13.3%	17.8%
HV 60d	18.9%	18.0%	19.9%	18.3%	19.9%
IV Rank	26.6%	0.0%	49.1%	0.0%	39.0%
IV Percentile	38.0%	0.0%	72.6%	0.0%	54.0%
Term Structure	-0.7%	-3.9%	3.4%	3.4%	-3.9%
VWIV	19.8%	10.6%	28.2%	10.8%	28.2%
Skew 25d	5.7%	-0.6%	9.6%	1.9%	8.8%
Skew 10d	13.2%	0.3%	24.4%	1.6%	16.7%
Call IV 25d	16.0%	8.8%	20.7%	9.1%	19.8%
Put IV 25d	21.7%	10.1%	29.6%	11.0%	28.7%
Bid-Ask Spread %	18.61	11.61	24.43	24.43	17.20
Gamma HHI	0.30	0.23	0.40	0.36	0.26
Net GEX	14.4M	6.7M	21.6M	19.0M	11.3M
Net DEX	-204.5M	-358.9M	-126.6M	-162.4M	-225.6M
Net VEX	-1.4M	-1.6M	-981.8K	-1.0M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.28	0.10	6.16	1.03	6.16
Total Volume	11,109.667	484	63,649	1,015	10,967
Total OI	227,341.19	189,920	270,852	189,920	235,933

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-07-02	$39.66	$38.00	10.5%	3.0%	13.3%	0.0%	10.8%	1.9%	3.4%	19.0M	-162.4M	-1.0M	1.03	24.43	N/A	N/A	499	516	110,972	78,948
2012-07-03	$39.69	$38.00	10.3%	3.0%	13.3%	0.0%	10.6%	2.2%	3.4%	19.2M	-163.9M	-1.0M	0.68	21.63	N/A	N/A	288	196	111,111	79,189
2012-07-05	$39.38	$38.00	11.7%	3.4%	13.4%	4.7%	11.0%	-0.6%	3.1%	19.6M	-138.7M	-1.0M	3.15	23.22	N/A	N/A	385	1,214	111,231	79,195
2012-07-06	$39.36	$39.00	12.1%	4.3%	13.1%	16.5%	15.6%	4.4%	1.2%	19.9M	-136.3M	-1.0M	1.57	18.72	N/A	N/A	303	476	111,300	79,391
2012-07-09	$39.52	$39.00	10.4%	3.9%	13.0%	10.9%	15.4%	4.2%	2.0%	21.6M	-154.7M	-981.8K	0.54	16.93	N/A	N/A	41,327	22,322	111,369	79,610
2012-07-10	$39.37	$39.00	12.1%	4.5%	13.2%	18.1%	14.5%	4.6%	1.1%	13.8M	-131.7M	-1.1M	0.18	18.19	N/A	N/A	1,624	297	115,198	81,530
2012-07-11	$39.92	$39.00	13.2%	4.9%	13.5%	22.8%	17.8%	4.7%	-0.8%	15.7M	-171.2M	-1.2M	2.59	21.49	N/A	N/A	9,617	24,931	113,561	81,574
2012-07-12	$40.09	$39.00	18.9%	5.4%	13.3%	29.2%	21.9%	4.9%	-0.7%	10.4M	-161.8M	-1.3M	0.10	17.87	N/A	N/A	37,434	3,784	118,810	105,802
2012-07-13	$40.73	$39.00	17.9%	5.1%	13.8%	26.1%	17.9%	5.2%	-0.8%	16.9M	-260.9M	-1.5M	0.32	18.86	N/A	N/A	2,833	909	151,049	108,472
2012-07-16	$41.05	$39.00	18.0%	5.2%	13.0%	26.3%	17.6%	4.4%	-0.3%	17.4M	-293.2M	-1.5M	0.42	14.97	N/A	N/A	2,653	1,117	151,256	108,484
2012-07-17	$41.78	$39.00	17.1%	4.9%	13.9%	23.2%	17.4%	4.6%	0.3%	17.7M	-358.9M	-1.4M	0.24	15.40	N/A	N/A	3,952	958	151,774	108,484
2012-07-18	$40.77	$39.00	18.8%	5.4%	16.9%	29.1%	22.5%	5.6%	-1.2%	17.9M	-262.8M	-1.5M	1.94	23.28	N/A	N/A	5,507	10,676	151,825	108,596
2012-07-19	$41.59	$39.00	18.0%	5.2%	17.8%	26.2%	19.4%	5.6%	-1.5%	15.5M	-330.0M	-1.5M	0.64	16.71	N/A	N/A	1,955	1,257	152,133	117,960
2012-07-20	$41.48	$39.00	19.2%	5.5%	17.3%	30.5%	19.0%	5.5%	-1.6%	14.1M	-312.0M	-1.5M	0.14	11.61	N/A	N/A	4,841	693	151,860	118,992
2012-07-23	$41.02	$39.00	22.3%	6.4%	18.1%	41.0%	26.6%	8.6%	-3.0%	8.7M	-180.6M	-1.5M	1.72	16.61	N/A	N/A	7,125	12,247	125,370	88,302
2012-07-24	$40.62	$39.00	22.9%	6.6%	17.8%	42.9%	27.0%	8.9%	-2.9%	6.9M	-145.2M	-1.6M	0.67	17.21	N/A	N/A	3,940	2,655	131,528	99,160
2012-07-25	$40.34	$39.00	24.7%	7.1%	18.1%	49.1%	26.6%	8.7%	-3.7%	6.7M	-126.6M	-1.6M	1.70	18.67	N/A	N/A	756	1,283	134,279	98,389
2012-07-26	$40.85	$40.00	21.3%	6.1%	18.4%	37.5%	23.8%	7.9%	-2.0%	8.8M	-166.8M	-1.6M	0.44	21.40	N/A	N/A	1,942	850	134,777	99,173
2012-07-27	$41.33	$40.00	22.4%	6.4%	18.6%	41.3%	27.2%	9.6%	-3.3%	11.1M	-200.4M	-1.6M	1.83	21.93	N/A	N/A	2,872	5,243	136,301	99,445
2012-07-30	$41.37	$40.00	23.4%	6.7%	17.9%	44.5%	24.0%	9.5%	-3.8%	9.8M	-210.5M	-1.6M	0.77	14.46	N/A	N/A	484	375	138,304	103,528
2012-07-31	$41.54	$40.00	21.7%	6.2%	17.8%	39.0%	28.2%	8.8%	-3.9%	11.3M	-225.6M	-1.5M	6.16	17.20	N/A	N/A	1,532	9,435	135,809	100,124