CTL Options History — September 2012

In September 2012, CTL traded between $40.40 and $42.95. ATM implied volatility averaged 15.0%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 0.7% (HV 20d: 14.3%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.33.

Notable Days

  • 2012-09-06: Highest Volume — 632,941 contracts
  • 2012-09-13: Largest IV spike — 13.4% change
  • 2012-09-28: Highest IV Rank — 25.9%
  • 2012-09-28: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.09$40.40$42.95$42.73$40.40
Max Pain$41.84$41.00$42.00$41.00$42.00
ATM IV15.0%12.9%17.3%16.3%17.3%
Expected Move4.4%3.9%5.0%4.7%5.0%
HV 20d14.3%11.6%15.6%11.6%15.6%
HV 60d15.0%14.4%15.4%14.5%15.4%
IV Rank18.2%12.8%25.9%22.2%25.9%
IV Percentile22.6%11.1%46.8%32.5%46.8%
Term Structure1.7%0.8%2.9%0.8%1.9%
VWIV16.4%13.4%25.9%17.7%16.3%
Skew 25d4.3%2.7%9.0%6.4%4.0%
Skew 10d10.6%7.1%15.7%15.7%11.2%
Call IV 25d13.5%10.4%15.3%12.5%15.3%
Put IV 25d17.8%16.1%19.5%19.0%19.2%
Bid-Ask Spread %19.2314.4923.0019.7023.00
Gamma HHI0.300.260.360.360.26
Net GEX15.6M7.9M21.1M20.8M7.9M
Net DEX-161.1M-318.0M-8.6M-306.8M-8.6M
Net VEX-1.2M-1.3M-999.2K-1.3M-999.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.019.660.131.02
Total Volume37,804.842675632,9416,6003,542
Total OI196,335.684168,263222,926213,707195,684

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$42.73$41.0016.3%4.7%11.6%22.2%17.7%6.4%0.8%20.8M-306.8M-1.3M0.1319.70N/AN/A5,850750139,91273,795
2012-09-05$42.70$41.0015.4%4.4%11.6%19.1%16.2%5.7%0.8%21.1M-305.7M-1.3M1.6419.63N/AN/A3,2375,315143,18574,240
2012-09-06$42.95$41.0015.3%4.4%11.7%18.5%25.9%9.0%1.3%19.8M-318.0M-1.3M0.0120.87N/AN/A628,1054,836144,09278,834
2012-09-07$41.93$42.0014.3%4.4%13.9%18.2%15.5%4.2%2.3%10.6M-92.6M-1.1M0.6719.57N/AN/A15,29910,23788,05780,206
2012-09-10$41.88$42.0014.7%4.4%13.7%18.6%15.7%3.7%1.8%12.5M-129.5M-1.2M0.8817.00N/AN/A806712101,35485,638
2012-09-11$42.36$42.0014.9%4.6%14.4%20.7%15.5%4.2%1.3%13.7M-164.3M-1.2M0.1914.49N/AN/A1,635317101,80285,945
2012-09-12$42.60$42.0012.9%4.1%14.6%14.6%15.8%4.4%2.0%14.0M-182.4M-1.2M1.7922.14N/AN/A1,3112,348102,76186,086
2012-09-13$42.91$42.0014.6%4.2%14.2%16.1%15.8%4.5%1.5%15.6M-208.2M-1.2M0.1421.38N/AN/A7,4911,019103,37286,602
2012-09-14$42.37$42.0015.4%4.4%14.8%18.8%15.1%4.3%1.4%15.8M-168.9M-1.2M0.8717.26N/AN/A771669110,06387,144
2012-09-17$42.08$42.0015.6%4.5%15.0%19.6%18.2%3.4%1.1%14.7M-142.1M-1.2M9.6614.95N/AN/A3473,352110,12787,408
2012-09-18$42.45$42.0015.1%4.3%14.9%17.8%16.4%2.7%1.7%16.7M-179.8M-1.2M0.4717.79N/AN/A460215110,32889,481
2012-09-19$42.18$42.0015.0%4.3%15.0%17.5%14.5%3.0%1.3%16.9M-159.5M-1.1M0.6018.45N/AN/A917549110,58289,030
2012-09-20$42.26$42.0014.9%4.3%15.0%17.0%14.0%3.5%1.5%16.9M-164.3M-1.2M0.7919.80N/AN/A815646110,59889,336
2012-09-21$41.89$42.0013.7%3.9%15.3%12.8%14.3%3.4%2.5%15.6M-130.6M-1.2M1.2317.73N/AN/A9271,144110,39088,934
2012-09-24$42.10$42.0014.2%4.1%14.5%14.4%13.7%3.8%2.5%18.1M-147.0M-1.1M0.4018.74N/AN/A1,379557107,35181,830
2012-09-25$41.94$42.0014.2%4.1%14.4%14.6%13.4%2.9%2.5%18.8M-137.0M-1.1M0.2522.06N/AN/A1,665423108,13282,172
2012-09-26$41.23$42.0015.6%4.5%15.6%19.6%21.7%3.5%2.9%15.0M-77.6M-1.1M3.1721.74N/AN/A1,3504,283109,08082,489
2012-09-27$40.82$42.0015.8%4.5%15.4%20.2%16.2%4.5%2.3%12.0M-37.9M-1.0M1.4319.12N/AN/A2,0642,949109,53784,801
2012-09-28$40.40$42.0017.3%5.0%15.6%25.9%16.3%4.0%1.9%7.9M-8.6M-999.2K1.0223.00N/AN/A1,7561,786109,34586,339