CTL Options History — August 2012

In August 2012, CTL traded between $41.46 and $42.85. ATM implied volatility averaged 18.1%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.4% (HV 20d: 14.7%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.98.

Notable Days

2012-08-08: Highest Volume — 31,857 contracts
2012-08-09: Largest IV drop — 53.7% change
2012-08-03: Highest IV Rank — 44.6%
2012-08-03: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.07	$41.46	$42.85	$42.12	$42.26
Max Pain	$40.87	$40.00	$41.00	$40.00	$41.00
ATM IV	18.1%	13.8%	32.4%	22.7%	15.9%
Expected Move	5.0%	4.3%	6.7%	6.5%	4.6%
HV 20d	14.7%	10.9%	18.6%	18.3%	11.0%
HV 60d	17.9%	14.4%	20.1%	20.0%	14.4%
IV Rank	25.3%	17.5%	44.6%	42.3%	20.8%
IV Percentile	33.4%	16.7%	68.7%	61.5%	28.2%
Term Structure	-0.4%	-4.5%	1.3%	-3.9%	0.4%
VWIV	18.7%	14.8%	30.1%	26.9%	15.1%
Skew 25d	6.4%	4.4%	11.6%	8.1%	4.4%
Skew 10d	14.4%	10.1%	25.2%	22.4%	12.0%
Call IV 25d	14.7%	12.4%	20.8%	20.2%	13.4%
Put IV 25d	21.1%	17.5%	32.4%	28.2%	17.9%
Bid-Ask Spread %	19.99	14.32	25.23	19.99	23.53
Gamma HHI	0.31	0.24	0.38	0.26	0.36
Net GEX	16.6M	9.9M	23.9M	10.7M	21.0M
Net DEX	-267.6M	-364.7M	-216.2M	-268.8M	-267.2M
Net VEX	-1.4M	-1.6M	-1.3M	-1.6M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.22	3.38	1.65	0.80
Total Volume	5,556.043	979	31,857	6,884	1,334
Total OI	247,081.478	202,497	294,082	252,069	213,303

Daily Data (23 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
2012-08-01	$42.12	$40.00	22.7%	6.5%	18.3%	42.3%	26.9%	8.1%	-3.9%	10.7M	-268.8M	-1.6M	1.65	19.99	N/A	N/A	2,602	4,282	139,371	112,698
2012-08-02	$41.67	$40.00	22.5%	6.5%	18.6%	41.7%	25.6%	9.0%	-4.1%	10.7M	-226.3M	-1.6M	0.53	18.33	N/A	N/A	1,617	851	142,526	112,572
2012-08-03	$41.74	$40.00	23.4%	6.7%	18.5%	44.6%	30.1%	11.6%	-4.5%	10.5M	-234.7M	-1.6M	1.40	19.31	N/A	N/A	1,463	2,054	142,851	112,953
2012-08-06	$41.76	$41.00	25.4%	5.5%	18.5%	30.4%	19.8%	7.7%	-1.0%	11.1M	-237.3M	-1.6M	0.35	18.47	N/A	N/A	1,177	409	143,192	113,882
2012-08-07	$41.85	$41.00	27.8%	5.6%	18.4%	31.6%	20.3%	7.2%	-1.8%	11.4M	-240.0M	-1.5M	2.79	17.81	N/A	N/A	3,242	9,044	143,988	114,026
2012-08-08	$42.02	$41.00	32.4%	6.2%	17.9%	41.9%	23.3%	8.1%	-2.4%	9.9M	-247.1M	-1.6M	3.01	24.13	N/A	N/A	7,953	23,904	145,854	121,288
2012-08-09	$42.54	$41.00	15.0%	4.7%	18.3%	22.4%	18.6%	5.8%	-0.7%	14.0M	-325.0M	-1.5M	0.47	20.49	N/A	N/A	9,589	4,486	150,939	138,339
2012-08-10	$42.78	$41.00	13.8%	4.6%	17.6%	21.4%	17.8%	5.7%	0.8%	17.5M	-364.7M	-1.4M	0.51	19.44	N/A	N/A	4,946	2,530	152,680	140,635
2012-08-13	$42.85	$41.00	14.7%	4.6%	17.5%	21.5%	18.2%	6.3%	0.2%	16.8M	-358.7M	-1.4M	0.22	23.95	N/A	N/A	995	214	151,609	141,837
2012-08-14	$42.74	$41.00	14.1%	4.6%	16.6%	21.3%	17.6%	5.6%	0.1%	16.5M	-348.3M	-1.4M	0.34	19.44	N/A	N/A	2,922	1,006	150,145	141,868
2012-08-15	$42.29	$41.00	15.4%	4.8%	14.4%	24.2%	17.5%	6.5%	0.0%	17.6M	-302.7M	-1.4M	0.58	18.71	N/A	N/A	1,610	935	151,885	142,197
2012-08-16	$41.99	$41.00	16.4%	4.7%	13.0%	22.9%	18.2%	6.2%	0.7%	17.7M	-268.8M	-1.4M	0.28	24.13	N/A	N/A	3,978	1,106	150,488	138,834
2012-08-17	$42.06	$41.00	15.3%	4.4%	12.9%	18.6%	17.8%	5.6%	0.7%	23.9M	-280.1M	-1.4M	0.56	17.84	N/A	N/A	6,368	3,547	151,976	139,294
2012-08-20	$41.69	$41.00	15.0%	4.3%	12.7%	17.5%	17.5%	6.2%	1.3%	19.1M	-232.4M	-1.4M	1.04	15.55	N/A	N/A	5,265	5,498	136,586	65,911
2012-08-21	$41.46	$41.00	16.3%	4.7%	12.3%	22.3%	15.6%	6.2%	0.7%	18.8M	-216.2M	-1.4M	0.50	14.32	N/A	N/A	857	426	139,260	70,193
2012-08-22	$41.51	$41.00	15.3%	4.4%	11.9%	18.5%	16.4%	5.2%	0.8%	18.3M	-216.3M	-1.4M	1.32	18.68	N/A	N/A	885	1,167	137,207	70,382
2012-08-23	$41.67	$41.00	15.3%	4.4%	11.2%	18.8%	15.8%	5.8%	0.8%	19.9M	-223.5M	-1.4M	0.58	17.42	N/A	N/A	831	482	137,629	70,746
2012-08-24	$42.26	$41.00	15.1%	4.3%	11.5%	17.9%	14.9%	5.1%	0.7%	18.9M	-268.6M	-1.4M	0.77	17.34	N/A	N/A	725	557	137,909	70,986
2012-08-27	$41.96	$41.00	15.4%	4.4%	11.9%	19.0%	14.8%	5.7%	0.8%	19.5M	-248.7M	-1.4M	3.38	23.41	N/A	N/A	537	1,816	138,252	71,176
2012-08-28	$41.97	$41.00	15.4%	4.4%	11.8%	19.1%	15.9%	5.2%	1.1%	19.6M	-252.7M	-1.3M	0.49	25.23	N/A	N/A	722	353	138,379	72,844
2012-08-29	$42.38	$41.00	16.2%	4.7%	11.3%	22.0%	17.2%	5.4%	-0.4%	18.9M	-275.5M	-1.4M	0.27	22.15	N/A	N/A	1,989	536	138,341	73,015
2012-08-30	$42.08	$41.00	16.1%	4.6%	10.9%	21.6%	15.6%	4.9%	0.8%	18.9M	-251.6M	-1.4M	0.75	20.19	N/A	N/A	559	420	139,527	73,301
2012-08-31	$42.26	$41.00	15.9%	4.6%	11.0%	20.8%	15.1%	4.4%	0.4%	21.0M	-267.2M	-1.4M	0.80	23.53	N/A	N/A	743	591	139,728	73,575