CTL Options History — April 2013

In April 2013, CTL traded between $34.86 and $37.89. ATM implied volatility averaged 20.7%, placing in the 72.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.1% (HV 20d: 15.6%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2013-04-19: Highest Volume — 17,917 contracts
2013-04-11: Largest IV spike — 22.6% change
2013-04-24: Highest IV Rank — 100.0%
2013-04-29: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.72	$34.86	$37.89	$34.86	$37.57
Max Pain	$35.82	$35.00	$36.00	$35.00	$36.00
ATM IV	20.7%	15.5%	26.8%	15.6%	24.5%
Expected Move	6.1%	4.4%	7.7%	4.5%	7.0%
HV 20d	15.6%	13.3%	18.5%	15.2%	18.0%
HV 60d	55.4%	55.0%	55.8%	55.0%	55.7%
IV Rank	72.0%	34.4%	100.0%	35.1%	86.1%
IV Percentile	86.0%	37.7%	100.0%	40.1%	96.8%
Term Structure	-2.0%	-5.6%	4.2%	3.8%	-4.1%
VWIV	21.6%	16.4%	27.5%	16.4%	25.7%
Skew 25d	3.6%	0.5%	6.2%	1.0%	6.2%
Skew 10d	9.7%	2.1%	14.7%	7.0%	13.7%
Call IV 25d	20.0%	15.2%	24.2%	15.6%	23.4%
Put IV 25d	23.6%	16.4%	29.5%	16.6%	29.5%
Bid-Ask Spread %	18.38	8.19	27.97	10.01	8.19
Gamma HHI	0.19	0.16	0.31	0.18	0.17
Net GEX	14.5M	9.1M	18.4M	13.4M	10.9M
Net DEX	-195.9M	-276.2M	-57.2M	-57.2M	-208.6M
Net VEX	-1.5M	-1.6M	-1.3M	-1.3M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.15	4.41	0.66	0.55
Total Volume	5,940.182	928	17,917	3,307	928
Total OI	272,492.682	244,701	293,938	264,421	259,389

Daily Data (22 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
2013-04-01	$34.86	$35.00	15.6%	4.5%	15.2%	35.1%	16.4%	1.0%	3.8%	13.4M	-57.2M	-1.3M	0.66	10.01	N/A	N/A	1,994	1,313	167,637	96,784
2013-04-02	$35.18	$35.00	15.5%	4.4%	15.4%	34.4%	16.9%	1.2%	4.2%	15.0M	-82.0M	-1.4M	0.87	23.87	N/A	N/A	3,006	2,603	168,597	97,471
2013-04-03	$35.06	$35.00	16.9%	4.9%	15.4%	44.0%	17.0%	0.5%	3.5%	13.8M	-72.9M	-1.4M	1.18	23.44	N/A	N/A	2,738	3,236	169,533	98,490
2013-04-04	$36.02	$35.00	17.0%	4.9%	17.8%	44.6%	17.2%	0.7%	3.9%	15.4M	-152.3M	-1.5M	0.40	9.10	N/A	N/A	7,160	2,834	170,373	99,668
2013-04-05	$36.11	$36.00	16.6%	5.9%	13.5%	67.5%	19.2%	3.9%	-2.5%	16.2M	-163.0M	-1.5M	0.33	20.23	N/A	N/A	5,224	1,730	173,037	100,897
2013-04-08	$36.16	$36.00	17.1%	5.8%	13.3%	67.0%	18.6%	3.8%	-2.1%	17.0M	-167.8M	-1.5M	0.17	16.58	N/A	N/A	7,371	1,248	174,644	101,606
2013-04-09	$36.35	$36.00	17.0%	5.9%	13.3%	67.3%	19.3%	3.7%	-2.6%	18.4M	-193.4M	-1.5M	0.20	16.19	N/A	N/A	6,098	1,223	180,934	102,176
2013-04-10	$36.95	$36.00	16.3%	5.6%	14.2%	62.2%	20.3%	3.1%	-2.5%	18.0M	-250.7M	-1.6M	0.59	15.46	N/A	N/A	3,184	1,865	183,435	102,906
2013-04-11	$37.26	$36.00	20.0%	5.7%	14.3%	64.4%	19.6%	3.3%	-1.8%	17.2M	-276.2M	-1.5M	0.22	19.58	N/A	N/A	7,350	1,642	183,998	103,645
2013-04-12	$37.22	$36.00	20.1%	5.8%	14.4%	64.8%	20.2%	2.9%	-2.4%	17.7M	-270.0M	-1.5M	2.16	16.97	N/A	N/A	693	1,496	185,166	104,533
2013-04-15	$36.69	$36.00	21.6%	6.2%	14.8%	74.8%	22.8%	3.5%	-2.8%	18.4M	-227.4M	-1.6M	0.29	17.09	N/A	N/A	4,955	1,426	185,165	105,592
2013-04-16	$37.16	$36.00	21.3%	6.1%	14.9%	73.0%	20.8%	3.6%	-3.1%	17.2M	-273.8M	-1.5M	0.28	12.70	N/A	N/A	2,409	671	186,807	105,996
2013-04-17	$36.76	$36.00	22.6%	6.5%	15.8%	81.7%	23.3%	3.9%	-3.6%	17.9M	-233.6M	-1.5M	0.61	17.65	N/A	N/A	2,892	1,751	187,531	106,303
2013-04-18	$36.85	$36.00	23.3%	6.7%	15.6%	86.4%	23.4%	4.0%	-3.6%	17.0M	-238.4M	-1.5M	0.51	24.06	N/A	N/A	2,952	1,518	185,843	106,208
2013-04-19	$37.17	$36.00	23.3%	6.7%	15.6%	86.2%	26.4%	4.3%	-3.6%	16.1M	-267.8M	-1.6M	4.41	16.46	N/A	N/A	3,310	14,607	187,220	106,718
2013-04-22	$37.35	$36.00	23.7%	6.8%	14.9%	89.1%	23.0%	5.5%	-3.1%	9.1M	-186.4M	-1.6M	0.15	20.54	N/A	N/A	3,834	578	144,585	100,116
2013-04-23	$37.89	$36.00	21.4%	6.1%	15.4%	73.4%	21.6%	4.2%	-1.6%	10.3M	-228.8M	-1.5M	0.22	25.02	N/A	N/A	3,148	687	147,100	100,436
2013-04-24	$37.10	$36.00	26.0%	7.5%	17.7%	100.0%	26.1%	5.8%	-5.6%	9.5M	-170.0M	-1.5M	0.61	25.39	N/A	N/A	5,456	3,331	148,197	100,713
2013-04-25	$37.53	$36.00	24.0%	6.9%	17.9%	87.0%	24.7%	5.1%	-4.6%	10.1M	-206.3M	-1.6M	0.55	20.75	N/A	N/A	2,402	1,315	150,481	102,317
2013-04-26	$37.15	$36.00	25.4%	7.3%	18.5%	95.9%	25.1%	3.7%	-4.7%	10.0M	-179.7M	-1.6M	0.56	17.08	N/A	N/A	3,509	1,977	152,099	102,999
2013-04-29	$37.45	$36.00	26.8%	7.7%	18.1%	100.0%	27.5%	4.9%	-5.3%	10.9M	-203.1M	-1.5M	2.60	27.97	N/A	N/A	839	2,181	153,741	103,753
2013-04-30	$37.57	$36.00	24.5%	7.0%	18.0%	86.1%	25.7%	6.2%	-4.1%	10.9M	-208.6M	-1.5M	0.55	8.19	N/A	N/A	600	328	154,167	105,222