CTL Options History — November 2012

In November 2012, CTL traded between $37.53 and $39.24. ATM implied volatility averaged 18.0%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.8% (HV 20d: 16.3%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2012-11-08: Highest Volume — 17,709 contracts
2012-11-08: Largest IV drop — 36.4% change
2012-11-07: Highest IV Rank — 51.5%
2012-11-07: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.39	$37.53	$39.24	$38.50	$38.84
Max Pain	$38.81	$38.00	$39.00	$39.00	$39.00
ATM IV	18.0%	14.9%	27.3%	19.3%	15.0%
Expected Move	5.0%	4.3%	6.0%	5.5%	4.3%
HV 20d	16.3%	9.7%	19.0%	10.7%	18.7%
HV 60d	15.6%	13.6%	16.4%	13.9%	16.1%
IV Rank	35.4%	22.4%	51.5%	43.9%	22.8%
IV Percentile	48.9%	19.0%	73.4%	66.7%	19.4%
Term Structure	-0.2%	-1.7%	1.8%	0.2%	0.9%
VWIV	17.7%	13.4%	22.2%	17.9%	14.7%
Skew 25d	5.7%	4.8%	7.4%	5.5%	7.4%
Skew 10d	13.2%	9.8%	17.7%	13.7%	13.8%
Call IV 25d	14.7%	10.7%	18.3%	16.0%	10.7%
Put IV 25d	20.4%	18.1%	23.8%	21.4%	18.1%
Bid-Ask Spread %	20.98	14.16	29.42	27.25	21.95
Gamma HHI	0.23	0.17	0.28	0.26	0.23
Net GEX	2.1M	-3.8M	7.9M	5.1M	3.1M
Net DEX	37.0M	-28.9M	110.0M	17.2M	14.6M
Net VEX	-831.3K	-937.4K	-758.9K	-886.5K	-781.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.06	4.80	1.00	0.50
Total Volume	4,780.429	606	17,709	2,404	621
Total OI	168,482.762	154,996	182,863	154,996	174,206

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
2012-11-01	$38.50	$39.00	19.3%	5.5%	10.7%	43.9%	17.9%	5.5%	0.2%	5.1M	17.2M	-886.5K	1.00	27.25	N/A	N/A	1,202	1,202	92,009	62,987
2012-11-02	$38.33	$39.00	19.7%	5.6%	9.8%	45.7%	17.9%	4.8%	-0.8%	4.4M	22.8M	-859.4K	0.35	19.58	N/A	N/A	450	156	92,252	63,507
2012-11-05	$38.43	$38.00	21.6%	5.6%	9.8%	45.7%	19.5%	5.8%	-1.6%	4.8M	15.9M	-840.9K	0.38	25.39	N/A	N/A	1,278	485	92,444	63,617
2012-11-06	$38.49	$38.00	23.4%	5.6%	9.7%	45.7%	17.8%	6.1%	-1.2%	4.7M	17.7M	-852.5K	1.88	22.56	N/A	N/A	1,219	2,287	92,493	63,895
2012-11-07	$37.88	$38.00	27.3%	6.0%	10.9%	51.5%	21.3%	5.5%	-1.7%	3.0M	31.9M	-835.5K	0.97	29.42	N/A	N/A	4,179	4,070	93,129	65,098
2012-11-08	$39.24	$38.00	17.4%	5.1%	17.2%	37.0%	18.1%	5.2%	-0.9%	7.9M	-28.9M	-925.0K	1.78	19.57	N/A	N/A	6,359	11,350	95,235	67,148
2012-11-09	$38.81	$39.00	17.0%	4.8%	17.5%	31.4%	17.6%	5.5%	-0.0%	5.3M	13.1M	-913.3K	0.63	19.38	N/A	N/A	6,588	4,175	98,221	73,901
2012-11-12	$38.92	$39.00	16.4%	5.1%	17.3%	35.6%	20.3%	6.0%	-0.3%	7.2M	-91.8K	-937.4K	4.80	18.28	N/A	N/A	1,965	9,441	102,928	72,575
2012-11-13	$38.78	$39.00	16.1%	4.9%	17.3%	33.8%	19.5%	6.0%	-0.1%	4.3M	23.7M	-896.2K	1.58	17.61	N/A	N/A	1,470	2,320	99,135	81,255
2012-11-14	$38.15	$39.00	19.4%	5.4%	18.0%	41.8%	17.6%	5.7%	-1.4%	-1.7M	65.0M	-878.4K	0.13	21.44	N/A	N/A	2,564	321	100,061	82,802
2012-11-15	$37.71	$39.00	18.8%	5.4%	18.3%	41.2%	18.8%	5.6%	-0.7%	-3.8M	90.3M	-817.8K	0.71	19.02	N/A	N/A	2,018	1,437	99,543	81,313
2012-11-16	$37.53	$39.00	18.4%	5.3%	17.9%	39.6%	22.2%	6.2%	0.1%	-2.3M	110.0M	-759.3K	1.69	14.16	N/A	N/A	4,292	7,261	99,983	82,222
2012-11-19	$37.91	$39.00	17.0%	4.9%	18.4%	32.6%	16.5%	5.6%	-0.1%	-1.5M	66.7M	-765.2K	0.42	19.36	N/A	N/A	1,636	688	87,027	76,843
2012-11-20	$38.07	$39.00	16.8%	4.8%	18.2%	31.5%	17.3%	6.2%	-0.0%	-1.1M	62.3M	-798.3K	0.67	16.65	N/A	N/A	790	533	88,159	77,220
2012-11-21	$37.83	$39.00	16.7%	4.8%	18.0%	31.0%	13.4%	5.3%	0.1%	-1.8M	71.5M	-758.9K	0.06	19.91	N/A	N/A	5,587	308	88,322	77,385
2012-11-23	$38.52	$39.00	14.9%	4.3%	19.0%	22.4%	13.8%	6.2%	1.5%	847.1K	37.2M	-795.0K	0.19	19.12	N/A	N/A	1,068	205	90,242	77,567
2012-11-26	$38.40	$39.00	17.4%	5.0%	18.7%	34.8%	18.2%	5.4%	-0.7%	380.9K	48.3M	-788.8K	1.32	21.09	N/A	N/A	1,216	1,605	90,955	77,676
2012-11-27	$38.52	$39.00	16.0%	4.6%	18.7%	27.7%	15.9%	4.9%	0.2%	965.5K	35.4M	-791.9K	0.17	21.66	N/A	N/A	2,875	497	91,344	78,046
2012-11-28	$38.55	$39.00	15.0%	4.3%	18.7%	23.1%	16.5%	6.0%	1.8%	1.5M	36.6M	-771.3K	1.18	23.03	N/A	N/A	1,531	1,799	93,638	78,220
2012-11-29	$38.70	$39.00	15.3%	4.4%	18.7%	24.1%	17.2%	5.8%	0.3%	2.5M	26.3M	-803.6K	0.48	24.10	N/A	N/A	904	437	94,616	78,919
2012-11-30	$38.84	$39.00	15.0%	4.3%	18.7%	22.8%	14.7%	7.4%	0.9%	3.1M	14.6M	-781.9K	0.50	21.95	N/A	N/A	414	207	94,964	79,242