CTL Options History — December 2012

In December 2012, CTL traded between $37.94 and $40.15. ATM implied volatility averaged 14.1%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 2.1% (HV 20d: 16.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.83.

Notable Days

  • 2012-12-06: Highest Volume — 14,355 contracts
  • 2012-12-11: Largest IV drop — 14.0% change
  • 2012-12-04: Highest IV Rank — 30.4%
  • 2012-12-04: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.06$37.94$40.15$39.18$39.12
Max Pain$39.20$39.00$40.00$39.00$39.00
ATM IV14.1%12.0%15.7%15.3%15.0%
Expected Move4.1%3.7%4.5%4.4%4.3%
HV 20d16.2%14.7%19.2%18.8%16.7%
HV 60d16.2%15.3%16.8%16.2%15.5%
IV Rank24.0%16.6%30.4%24.4%29.0%
IV Percentile17.7%9.1%33.7%27.0%27.8%
Term Structure2.6%0.0%3.6%0.0%2.7%
VWIV15.6%13.2%30.3%15.5%14.5%
Skew 25d4.1%2.4%9.5%4.9%3.3%
Skew 10d9.1%6.7%13.6%10.2%12.1%
Call IV 25d12.8%8.4%14.3%13.1%13.8%
Put IV 25d16.9%15.4%19.6%18.0%17.1%
Bid-Ask Spread %18.899.4022.9422.7511.80
Gamma HHI0.330.220.420.260.40
Net GEX9.2M-474.8K14.7M4.7M14.0M
Net DEX-30.8M-124.1M46.1M42.5K-37.9M
Net VEX-793.7K-841.7K-722.8K-810.1K-795.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.073.290.350.18
Total Volume3,981.0561714,3552,8761,809
Total OI174,774158,915182,838174,410163,788

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$39.18$39.0015.3%4.4%18.8%24.4%15.5%4.9%0.0%4.7M42.5K-810.1K0.3522.75N/AN/A2,13574195,05279,358
2012-12-04$39.28$39.0015.7%4.5%18.8%30.4%18.2%9.5%0.3%5.3M-7.9M-795.0K0.9422.43N/AN/A79474996,11079,751
2012-12-05$38.88$39.0015.2%4.4%19.2%29.9%13.6%6.6%2.5%3.6M14.2M-792.7K0.0722.94N/AN/A11,64382396,23979,755
2012-12-06$38.83$39.0014.7%4.2%18.2%26.8%30.3%8.2%2.9%3.1M19.0M-801.2K0.0819.43N/AN/A13,3311,02499,21779,969
2012-12-07$37.94$40.0014.6%4.3%15.3%27.9%19.7%4.4%3.1%-474.8K46.1M-722.8K3.2920.72N/AN/A1,6075,28995,51480,253
2012-12-10$38.03$40.0015.0%4.3%15.0%28.4%14.3%3.5%3.3%745.5K32.0M-758.7K1.6220.04N/AN/A7161,16396,51180,150
2012-12-11$38.57$40.0012.9%4.1%15.9%23.7%14.7%3.6%2.8%4.8M2.8M-783.6K0.6021.09N/AN/A92655496,99180,532
2012-12-12$39.07$40.0012.0%3.8%16.5%19.0%13.2%3.7%3.6%9.4M-36.3M-804.2K0.1321.51N/AN/A4,40757797,22680,662
2012-12-13$38.92$39.0013.6%3.9%15.4%20.2%13.8%2.9%3.3%8.8M-30.5M-784.1K0.4018.87N/AN/A94137499,90480,984
2012-12-14$39.06$39.0013.5%3.9%14.7%19.7%14.4%3.7%3.0%10.5M-37.6M-810.6K1.1018.97N/AN/A1,4271,566100,34881,263
2012-12-17$39.47$39.0014.3%4.1%14.8%24.8%13.9%3.3%2.6%12.7M-71.2M-803.7K0.4621.84N/AN/A809376100,46081,024
2012-12-18$40.15$39.0013.4%3.8%15.4%19.0%14.1%3.7%2.5%14.6M-124.1M-810.4K0.3421.12N/AN/A2,255760100,91281,030
2012-12-19$39.75$39.0013.0%3.7%16.1%16.6%14.4%2.6%2.9%14.3M-95.7M-841.7K1.2918.88N/AN/A8621,110101,65381,185
2012-12-20$39.75$39.0013.2%3.8%15.8%17.6%14.2%3.5%2.9%14.7M-92.3M-820.0K0.1320.18N/AN/A1,676211100,87681,157
2012-12-21$39.29$39.0014.5%4.2%15.4%26.0%13.6%2.4%2.6%13.0M-62.4M-782.3K0.3520.38N/AN/A5,6962,013101,17981,193
2012-12-24$39.28$39.0013.8%4.0%15.3%21.7%14.0%3.6%3.0%14.4M-52.2M-788.0K1.249.40N/AN/A1,7892,21699,48259,433
2012-12-26$39.13$39.0014.0%4.0%15.4%22.7%14.5%2.7%3.2%13.0M-42.4M-788.3K0.9613.87N/AN/A2,4802,37799,05760,428
2012-12-27$38.96$39.0014.4%4.1%15.5%25.1%16.0%2.9%2.6%12.5M-29.9M-812.2K1.7516.24N/AN/A6471,131100,81562,412
2012-12-28$38.56$39.0014.8%4.2%15.9%27.3%15.8%3.6%2.0%10.0M-9.4M-769.5K1.3215.34N/AN/A266351100,96562,642
2012-12-31$39.12$39.0015.0%4.3%16.7%29.0%14.5%3.3%2.7%14.0M-37.9M-795.9K0.1811.80N/AN/A1,539270101,03662,752