CTL Options History — October 2012

In October 2012, CTL traded between $38.26 and $39.88. ATM implied volatility averaged 18.4%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 2.7% (HV 20d: 15.7%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-10-01: Highest Volume — 14,877 contracts
  • 2012-10-11: Largest IV spike — 27.9% change
  • 2012-10-31: Highest IV Rank — 50.3%
  • 2012-10-31: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.12$38.26$39.88$39.22$38.38
Max Pain$40.10$39.00$42.00$42.00$39.00
ATM IV18.4%15.3%20.6%19.1%20.6%
Expected Move5.4%4.7%5.9%5.5%5.9%
HV 20d15.7%10.9%18.4%18.2%10.9%
HV 60d15.1%13.9%16.7%16.6%13.9%
IV Rank40.3%28.0%50.3%32.8%50.3%
IV Percentile59.4%40.5%72.2%59.5%72.2%
Term Structure-0.7%-2.4%2.2%0.9%-0.7%
VWIV18.7%16.5%22.4%19.4%19.0%
Skew 25d4.4%2.8%5.8%3.5%4.5%
Skew 10d10.7%4.4%15.5%5.7%12.9%
Call IV 25d17.3%16.3%18.5%17.3%18.5%
Put IV 25d21.8%19.1%23.5%20.8%23.0%
Bid-Ask Spread %21.6515.7929.1622.4429.16
Gamma HHI0.240.150.630.160.28
Net GEX-645.6K-24.8M5.0M1.1M4.6M
Net DEX35.6M-2.0M70.7M49.4M17.5M
Net VEX-896.2K-988.4K-808.1K-862.9K-874.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.123.491.100.23
Total Volume4,231.33398414,87714,8772,290
Total OI193,512.905134,657217,195196,728154,113

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$39.22$42.0019.1%5.5%18.2%32.8%19.4%3.5%0.9%1.1M49.4M-862.9K1.1022.44N/AN/A7,0877,790109,13387,595
2012-10-02$39.47$42.0019.0%5.5%17.8%32.4%18.4%3.9%1.6%887.8K39.8M-931.4K0.4920.30N/AN/A2,8121,389112,36993,320
2012-10-03$39.88$42.0017.0%4.9%18.4%28.0%17.0%3.2%1.7%3.1M18.9M-988.4K0.3820.40N/AN/A3,8121,447112,73894,165
2012-10-04$39.65$42.0016.4%4.7%18.1%29.7%16.5%2.8%2.2%1.7M28.9M-960.1K3.4922.51N/AN/A7672,678114,75894,434
2012-10-05$39.82$40.0016.0%5.2%16.7%38.6%17.7%4.5%-0.9%1.7M25.3M-972.5K0.2721.70N/AN/A2,273623114,77795,158
2012-10-08$39.69$40.0015.9%5.3%16.7%39.3%18.5%4.5%-1.3%599.0K31.5M-940.3K0.5516.41N/AN/A1,256688116,00895,558
2012-10-09$39.49$40.0017.8%5.7%15.9%46.5%18.5%4.6%-1.5%-1.2M38.5M-927.6K0.8118.59N/AN/A1,206974116,77095,621
2012-10-10$39.58$40.0015.3%5.2%15.6%38.8%18.1%4.2%-1.1%-1.2M34.8M-922.5K0.5215.79N/AN/A1,360702117,00095,473
2012-10-11$39.18$40.0019.6%5.6%15.2%45.0%18.7%4.2%-1.7%-2.8M50.6M-875.6K1.0821.46N/AN/A1,3701,481117,84796,051
2012-10-12$39.06$40.0019.4%5.6%14.9%44.2%19.1%4.8%-1.3%-3.3M60.4M-897.5K0.6120.67N/AN/A612372118,44296,620
2012-10-15$38.79$40.0020.3%5.8%14.9%48.5%20.7%4.9%-2.4%-3.7M70.7M-844.5K0.4323.95N/AN/A1,477641118,62796,610
2012-10-16$38.94$40.0019.0%5.4%14.5%42.2%18.8%4.5%-1.7%-4.4M67.5M-850.6K0.4023.19N/AN/A2,449987119,35096,719
2012-10-17$39.33$40.0018.7%5.4%15.3%40.9%17.7%4.2%-1.6%-3.7M51.9M-871.8K0.3822.67N/AN/A1,926739119,74997,446
2012-10-18$39.35$40.0018.7%5.4%15.3%40.7%19.8%4.1%-1.4%-2.5M42.1M-869.3K0.8620.46N/AN/A533461120,04296,903
2012-10-19$38.96$40.0018.5%5.3%15.3%39.9%18.6%4.5%-1.3%-24.8M68.0M-833.6K0.3622.93N/AN/A5,3821,939120,21496,889
2012-10-22$38.56$39.0017.9%5.1%15.1%37.0%17.6%5.8%-0.6%2.9M21.6M-808.1K0.3822.28N/AN/A7,3722,82676,65558,002
2012-10-23$38.26$39.0019.9%5.7%15.2%46.7%18.5%5.2%-0.9%3.0M27.7M-816.0K0.2822.06N/AN/A6,7651,90682,37760,427
2012-10-24$38.66$39.0018.9%5.4%15.3%41.8%19.0%5.5%-0.5%4.5M563.7K-916.0K0.1222.37N/AN/A6,27375087,40962,036
2012-10-25$38.68$39.0018.6%5.3%15.2%40.6%19.0%4.8%-0.9%5.0M-2.0M-922.6K0.2626.42N/AN/A1,35135390,57762,384
2012-10-26$38.56$39.0018.9%5.4%14.9%41.6%22.4%4.8%-1.3%4.8M3.0M-935.0K2.0518.96N/AN/A5701,16990,74162,664
2012-10-31$38.38$39.0020.6%5.9%10.9%50.3%19.0%4.5%-0.7%4.6M17.5M-874.4K0.2329.16N/AN/A1,86142991,07263,041