CTL Options History — February 2013

In February 2013, CTL traded between $32.27 and $41.76. ATM implied volatility averaged 19.7%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 35.3% (HV 20d: 55.0%). Max pain ranged from $33.00 to $41.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-02-14: Highest Volume — 164,633 contracts
  • 2013-02-14: Largest IV spike — 43.0% change
  • 2013-02-15: Highest IV Rank — 98.7%
  • 2013-02-15: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.40$32.27$41.76$41.15$34.67
Max Pain$36.89$33.00$41.00$40.00$34.00
ATM IV19.7%14.6%25.4%14.6%19.1%
Expected Move5.6%4.2%7.3%4.3%5.5%
HV 20d55.0%11.0%94.5%11.5%94.5%
HV 60d36.3%14.1%55.4%16.7%55.4%
IV Rank60.3%27.8%98.7%28.2%58.4%
IV Percentile71.0%26.2%99.6%27.0%84.1%
Term Structure-1.8%-5.0%0.8%-1.4%0.3%
VWIV20.2%14.1%25.5%14.4%21.3%
Skew 25d2.9%-1.6%6.0%4.2%3.6%
Skew 10d6.7%-3.9%14.1%12.0%7.2%
Call IV 25d17.9%11.9%26.1%12.0%17.3%
Put IV 25d20.8%16.3%25.2%16.3%20.9%
Bid-Ask Spread %18.878.5428.0021.9726.41
Gamma HHI0.210.150.270.270.16
Net GEX9.2M-685.3K12.5M11.4M11.5M
Net DEX-66.0M-166.4M149.6M-129.7M-55.5M
Net VEX-1.1M-1.5M-394.2K-1.0M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.071.580.280.24
Total Volume23,167.4211,085164,6336,32119,448
Total OI193,451.789130,417285,501130,417285,501

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$41.15$40.0014.6%4.3%11.5%28.2%14.4%4.2%-1.4%11.4M-129.7M-1.0M0.2821.97N/AN/A4,9251,39684,42945,988
2013-02-04$40.91$40.0016.8%4.4%11.8%32.4%16.3%4.9%-1.2%10.9M-117.5M-1.0M0.1626.87N/AN/A2,90347684,27946,643
2013-02-05$40.57$40.0016.1%4.2%12.1%27.8%16.0%4.9%-0.4%10.8M-98.0M-1.0M0.7425.38N/AN/A62546084,24646,825
2013-02-06$40.80$40.0015.9%4.3%11.6%31.6%21.1%4.8%-1.5%11.2M-109.1M-1.0M0.9021.74N/AN/A1,5641,41384,64046,986
2013-02-07$41.17$40.0016.0%4.6%11.9%37.4%18.3%5.9%-1.8%11.0M-134.3M-1.0M1.5820.41N/AN/A1,4352,26685,00647,499
2013-02-08$41.36$39.0016.4%4.7%11.7%39.8%14.1%6.0%-2.0%11.2M-137.7M-1.0M0.4218.14N/AN/A3,3821,43585,77548,660
2013-02-11$41.51$39.0015.0%4.3%11.7%31.1%16.3%3.9%-1.5%12.5M-154.0M-979.9K0.3223.87N/AN/A4,2691,35988,52749,093
2013-02-12$41.76$40.0016.0%4.6%11.4%37.3%15.4%4.0%-2.2%12.1M-166.4M-1.0M0.6728.00N/AN/A12,3468,30190,38549,909
2013-02-13$41.69$41.0017.1%4.9%11.0%44.8%18.1%4.7%-2.9%12.5M-158.0M-1.1M1.1719.18N/AN/A10,47212,30295,96654,229
2013-02-14$32.27$41.0024.5%7.0%92.5%93.1%24.4%0.1%-5.0%-685.3K149.6M-394.2K0.6912.10N/AN/A97,21567,418101,24662,793
2013-02-15$33.02$34.0025.4%7.3%93.1%98.7%25.5%-1.6%-3.0%2.6M88.0M-1.1M0.2815.08N/AN/A45,06212,729164,87196,252
2013-02-19$34.14$33.0025.2%7.2%94.2%97.6%25.4%-0.7%-2.9%6.2M-28.3M-1.2M0.1924.35N/AN/A43,9048,244143,20784,342
2013-02-20$33.93$33.0024.6%7.1%94.0%95.1%24.2%-0.3%-2.5%7.7M-25.5M-1.3M0.2716.06N/AN/A7,9372,163159,67786,703
2013-02-21$34.27$33.0022.7%6.5%94.2%82.5%23.3%1.3%-3.0%8.3M-32.7M-1.3M0.2112.24N/AN/A6,5301,388157,25587,553
2013-02-22$34.64$33.0021.8%6.3%94.4%76.4%22.0%0.7%-1.7%9.2M-56.4M-1.3M0.2011.82N/AN/A4,9331,010159,57287,402
2013-02-25$34.09$33.0022.6%6.5%94.4%81.5%20.9%2.1%-1.6%8.2M-24.0M-1.3M0.798.54N/AN/A11,9129,352159,71987,133
2013-02-26$34.13$34.0022.4%6.4%94.4%80.6%23.6%2.6%-1.5%8.4M-19.3M-1.3M0.0716.68N/AN/A12,121806165,62593,013
2013-02-27$34.51$34.0021.2%6.1%94.4%72.2%24.1%3.9%0.8%10.5M-44.1M-1.4M0.539.70N/AN/A10,8685,812178,86995,766
2013-02-28$34.67$34.0019.1%5.5%94.5%58.4%21.3%3.6%0.3%11.5M-55.5M-1.5M0.2426.41N/AN/A15,6593,789185,091100,410