CTL Options History — March 2013

In March 2013, CTL traded between $34.20 and $35.60. ATM implied volatility averaged 16.6%, placing in the 41.9% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 39.1% (HV 20d: 55.6%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-03-06: Highest Volume — 162,172 contracts
  • 2013-03-13: Largest IV spike — 17.1% change
  • 2013-03-07: Highest IV Rank — 54.6%
  • 2013-03-07: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.78$34.20$35.60$34.89$35.13
Max Pain$34.80$34.00$35.00$34.00$35.00
ATM IV16.6%14.8%18.9%18.2%15.2%
Expected Move4.8%4.3%5.3%5.2%4.4%
HV 20d55.6%15.0%94.8%94.6%15.0%
HV 60d55.4%55.3%55.6%55.4%55.3%
IV Rank41.9%30.0%54.6%52.1%32.7%
IV Percentile54.4%22.6%77.0%75.0%31.0%
Term Structure2.2%0.1%4.1%0.1%3.5%
VWIV17.7%15.8%28.8%24.1%16.3%
Skew 25d2.3%0.6%4.1%4.1%1.1%
Skew 10d5.7%3.0%15.3%9.0%9.0%
Call IV 25d16.2%14.5%17.9%17.1%15.2%
Put IV 25d18.5%15.9%21.2%21.2%16.3%
Bid-Ask Spread %14.127.0122.4019.068.39
Gamma HHI0.160.120.180.170.18
Net GEX10.3M6.0M13.9M12.4M13.4M
Net DEX-44.5M-110.6M1.7M-65.4M-75.2M
Net VEX-1.4M-1.6M-1.3M-1.5M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.012.270.691.30
Total Volume12,914.551,298162,1726,9782,258
Total OI269,944.15248,829292,317289,730264,346

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$34.89$34.0018.2%5.2%94.6%52.1%24.1%4.1%0.1%12.4M-65.4M-1.5M0.6919.06N/AN/A4,1212,857187,130102,600
2013-03-04$35.11$34.0018.9%5.1%94.3%49.5%17.6%3.8%1.7%13.1M-78.4M-1.5M0.2010.76N/AN/A5,0231,006186,992103,684
2013-03-05$35.23$34.0017.5%4.9%94.4%44.7%17.3%3.3%1.9%13.9M-87.7M-1.5M0.3614.42N/AN/A4,0831,476187,588104,031
2013-03-06$35.60$34.0016.2%5.0%94.6%46.7%28.8%3.1%1.3%13.9M-110.6M-1.6M0.0110.85N/AN/A159,8922,280188,000104,317
2013-03-07$34.53$35.0017.8%5.3%94.8%54.6%18.2%2.4%0.4%6.0M-9.3M-1.5M0.227.01N/AN/A9,7282,120170,098104,226
2013-03-08$34.39$35.0017.5%5.3%94.6%53.6%17.4%3.1%0.7%6.1M1.6M-1.4M1.078.37N/AN/A3,2243,457169,931104,043
2013-03-11$34.43$35.0018.0%5.1%94.6%50.0%17.1%2.6%1.1%6.4M-1.6M-1.4M0.928.66N/AN/A1,1891,098170,262104,468
2013-03-12$34.57$35.0015.3%4.8%94.6%42.0%16.9%1.6%1.8%7.3M-11.5M-1.4M0.347.62N/AN/A1,889643170,762104,587
2013-03-13$34.72$35.0017.9%4.7%94.5%39.4%16.4%1.7%2.0%8.1M-24.3M-1.4M1.0112.62N/AN/A955962171,189104,483
2013-03-14$34.75$35.0016.2%4.6%94.6%39.1%17.3%2.9%1.8%8.6M-21.8M-1.4M0.5316.27N/AN/A847451169,191103,657
2013-03-15$34.37$35.0016.6%4.8%21.2%41.6%16.8%2.3%1.9%6.8M1.7M-1.3M0.388.67N/AN/A12,8884,915169,241103,481
2013-03-18$34.20$35.0016.4%4.7%20.1%40.2%16.2%2.2%2.4%8.9M-17.7M-1.3M0.3818.62N/AN/A1,983753159,06489,765
2013-03-19$34.25$35.0016.8%4.8%16.2%43.3%16.9%2.7%2.3%9.0M-20.0M-1.3M1.6017.99N/AN/A1,1931,911160,45990,061
2013-03-20$34.58$35.0015.2%4.4%16.4%32.3%16.1%2.0%3.5%10.7M-39.9M-1.4M0.8621.49N/AN/A2,6822,303161,12991,383
2013-03-21$34.49$35.0016.7%4.8%16.1%42.3%16.5%1.7%3.0%10.1M-36.2M-1.4M2.2718.58N/AN/A1,4203,225162,91993,015
2013-03-22$35.03$35.0015.8%4.5%16.6%36.7%16.1%1.8%2.7%11.9M-68.2M-1.4M0.1815.78N/AN/A6,3961,152163,26094,491
2013-03-25$34.99$35.0015.7%4.5%15.4%36.1%15.8%1.3%3.3%12.3M-68.2M-1.4M0.5614.93N/AN/A1,692947165,67794,463
2013-03-26$35.20$35.0014.8%4.3%15.5%30.0%15.8%1.6%4.0%13.7M-81.3M-1.4M1.2219.83N/AN/A1,7432,131166,33394,875
2013-03-27$35.12$35.0014.9%4.3%15.1%30.5%16.3%0.6%4.1%13.6M-76.9M-1.4M1.5122.40N/AN/A558840167,04696,636
2013-03-28$35.13$35.0015.2%4.4%15.0%32.7%16.3%1.1%3.5%13.4M-75.2M-1.4M1.308.39N/AN/A9821,276167,30797,039