CTL Options History — January 2013

In January 2013, CTL traded between $39.58 and $40.73. ATM implied volatility averaged 14.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 1.9% (HV 20d: 16.1%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2013-01-17: Highest Volume — 29,601 contracts
  • 2013-01-10: Largest IV spike — 26.7% change
  • 2013-01-10: Highest IV Rank — 34.3%
  • 2013-01-10: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.10$39.58$40.73$40.18$40.45
Max Pain$40.00$39.00$41.00$39.00$40.00
ATM IV14.3%12.5%15.9%12.5%15.8%
Expected Move4.3%3.6%4.6%3.6%4.5%
HV 20d16.1%10.7%19.4%19.0%10.7%
HV 60d16.4%16.2%16.5%16.3%16.4%
IV Rank27.8%13.4%34.3%13.4%34.1%
IV Percentile29.9%6.7%48.4%6.7%48.4%
Term Structure0.0%-1.1%3.0%3.0%-1.1%
VWIV14.9%12.7%17.5%12.7%14.1%
Skew 25d3.5%2.2%5.1%2.3%5.1%
Skew 10d7.7%3.6%10.8%3.6%6.3%
Call IV 25d13.2%9.9%14.9%11.9%11.5%
Put IV 25d16.7%14.2%18.3%14.2%16.7%
Bid-Ask Spread %16.149.5623.5818.5212.16
Gamma HHI0.460.260.900.460.26
Net GEX23.3M8.6M102.7M18.1M10.4M
Net DEX-95.5M-152.8M-37.5M-119.0M-92.2M
Net VEX-855.8K-979.4K-711.6K-834.8K-978.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.083.130.150.17
Total Volume5,811.0481,12729,6013,6894,734
Total OI157,647.714111,202197,969165,025128,127

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$40.18$39.0012.5%3.6%19.0%13.4%12.7%2.3%3.0%18.1M-119.0M-834.8K0.1518.52N/AN/A3,206483102,11462,911
2013-01-03$39.76$39.0012.8%3.7%19.4%15.5%13.1%4.4%2.4%19.2M-87.3M-790.3K2.3017.59N/AN/A1,5983,673102,99863,183
2013-01-04$39.91$41.0012.7%4.4%19.0%30.4%15.3%3.4%0.3%18.9M-95.0M-828.7K0.0814.18N/AN/A11,616880102,84565,741
2013-01-07$40.13$41.0012.7%4.5%19.0%33.6%16.2%3.4%0.1%24.9M-133.6M-847.4K0.4318.73N/AN/A1,623704113,64166,289
2013-01-08$39.73$40.0012.5%4.5%17.3%33.0%17.0%3.5%-0.4%26.3M-88.7M-814.4K3.1314.70N/AN/A1,7335,428114,36466,389
2013-01-09$39.83$40.0012.5%4.5%17.3%33.4%15.1%3.2%-0.5%26.2M-97.5M-828.5K1.4010.32N/AN/A470657114,82969,860
2013-01-10$40.18$40.0015.9%4.6%16.9%34.3%15.6%3.8%-0.2%27.7M-138.6M-832.3K0.0814.61N/AN/A6,653564114,97969,268
2013-01-11$40.32$40.0015.4%4.4%16.4%31.4%14.7%2.8%0.1%25.7M-152.8M-827.3K0.2212.00N/AN/A3,577797113,09069,524
2013-01-14$40.07$40.0015.6%4.5%16.5%32.4%17.5%3.8%-0.5%32.6M-119.6M-796.9K0.3113.74N/AN/A5,4001,675112,87869,955
2013-01-15$39.79$40.0015.5%4.5%16.8%32.1%16.5%3.8%-1.1%33.5M-74.0M-793.1K0.6514.59N/AN/A1,100710112,94770,457
2013-01-16$39.58$40.0015.3%4.4%16.5%30.3%16.2%4.0%-0.9%23.7M-37.5M-711.6K0.6815.96N/AN/A872589112,91170,947
2013-01-17$39.70$40.0015.1%4.3%15.3%29.5%15.9%3.9%-0.7%31.0M-64.3M-731.6K0.1016.33N/AN/A26,9652,636112,52970,414
2013-01-18$40.02$40.0014.4%4.1%15.2%25.3%14.3%3.7%0.2%102.7M-121.5M-915.7K0.2218.22N/AN/A5,5211,206119,31478,655
2013-01-22$40.38$40.0014.5%4.2%15.5%25.6%14.2%3.6%-0.1%8.6M-83.0M-855.5K0.1119.55N/AN/A6,18470870,57540,627
2013-01-23$40.35$40.0013.9%4.0%14.8%21.9%13.3%2.2%0.7%9.4M-82.0M-915.6K0.2318.90N/AN/A3,29877074,63040,701
2013-01-24$40.10$40.0014.3%4.1%15.0%24.4%13.6%3.3%-0.3%9.7M-73.3M-909.9K1.289.56N/AN/A1,1691,50177,01441,115
2013-01-25$40.13$40.0014.0%4.0%14.9%22.4%13.9%2.4%0.3%9.7M-76.1M-884.1K1.0120.97N/AN/A2,6232,63977,57042,167
2013-01-28$40.26$40.0014.8%4.2%14.8%27.5%13.8%4.3%-0.2%9.9M-77.2M-918.3K0.5711.41N/AN/A1,35477379,17144,220
2013-01-29$40.73$40.0013.8%4.0%14.5%21.5%14.5%2.9%0.1%10.5M-104.7M-977.6K0.4223.35N/AN/A2,8271,17579,98544,402
2013-01-30$40.40$40.0015.6%4.5%14.3%32.6%15.3%4.3%-0.6%10.4M-87.8M-979.4K0.4423.58N/AN/A1,34859382,17045,096
2013-01-31$40.45$40.0015.8%4.5%10.7%34.1%14.1%5.1%-1.1%10.4M-92.2M-978.4K0.1712.16N/AN/A4,04968582,53845,589