CTL Options History — May 2013

In May 2013, CTL traded between $34.15 and $37.85. ATM implied volatility averaged 20.7%, placing in the 56.1% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.4% (HV 20d: 14.3%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.05.

Notable Days

2013-05-30: Highest Volume — 24,622 contracts
2013-05-09: Largest IV drop — 49.7% change
2013-05-01: Highest IV Rank — 100.0%
2013-05-01: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.06	$34.15	$37.85	$37.19	$34.15
Max Pain	$36.86	$36.00	$37.00	$36.00	$37.00
ATM IV	20.7%	13.9%	34.3%	27.3%	21.2%
Expected Move	5.7%	4.8%	7.8%	7.8%	6.1%
HV 20d	14.3%	10.1%	18.5%	18.5%	18.5%
HV 60d	30.1%	14.8%	55.7%	55.7%	17.7%
IV Rank	56.1%	37.4%	100.0%	100.0%	64.1%
IV Percentile	71.6%	50.4%	100.0%	100.0%	85.3%
Term Structure	-1.2%	-6.1%	0.8%	-6.1%	0.8%
VWIV	20.4%	15.9%	28.2%	25.1%	21.4%
Skew 25d	4.6%	2.1%	6.5%	6.2%	2.1%
Skew 10d	9.9%	-1.2%	19.9%	19.9%	-1.2%
Call IV 25d	17.9%	14.0%	25.3%	24.6%	20.8%
Put IV 25d	22.5%	19.2%	31.8%	30.8%	22.9%
Bid-Ask Spread %	22.50	8.69	42.53	24.18	24.83
Gamma HHI	0.18	0.13	0.24	0.17	0.13
Net GEX	10.9M	1.6M	15.3M	10.5M	1.6M
Net DEX	-167.8M	-258.4M	57.2M	-181.8M	57.2M
Net VEX	-1.4M	-1.5M	-1.1M	-1.5M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.05	0.32	3.54	0.88	0.53
Total Volume	7,059.045	1,534	24,622	3,198	4,155
Total OI	257,448.136	222,792	284,493	259,842	231,791

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
2013-05-01	$37.19	$36.00	27.3%	7.8%	18.5%	100.0%	25.1%	6.2%	-6.1%	10.5M	-181.8M	-1.5M	0.88	24.18	N/A	N/A	1,704	1,494	154,491	105,351
2013-05-02	$37.04	$36.00	27.1%	7.8%	16.3%	98.6%	27.8%	5.8%	-6.1%	10.0M	-164.9M	-1.5M	0.38	20.94	N/A	N/A	1,113	421	155,345	106,672
2013-05-03	$37.14	$36.00	27.0%	7.7%	16.3%	98.4%	28.2%	6.5%	-6.0%	10.6M	-171.7M	-1.5M	1.68	27.80	N/A	N/A	2,119	3,556	155,805	106,836
2013-05-06	$37.05	$37.00	28.9%	6.2%	16.4%	66.8%	22.4%	5.2%	-1.7%	10.6M	-172.6M	-1.5M	1.78	39.30	N/A	N/A	1,618	2,873	157,361	109,615
2013-05-07	$37.06	$37.00	30.2%	6.3%	16.3%	69.7%	23.8%	5.4%	-3.4%	10.1M	-159.8M	-1.5M	1.99	42.53	N/A	N/A	1,837	3,649	158,009	111,855
2013-05-08	$37.30	$37.00	34.3%	6.8%	15.4%	78.6%	23.7%	6.0%	-3.3%	9.9M	-183.7M	-1.5M	1.15	31.30	N/A	N/A	10,654	12,274	158,879	112,348
2013-05-09	$37.24	$37.00	17.3%	5.2%	15.1%	47.1%	17.9%	3.9%	-0.4%	12.9M	-194.3M	-1.5M	0.78	27.64	N/A	N/A	4,953	3,850	163,517	118,009
2013-05-10	$37.62	$37.00	13.9%	5.0%	15.6%	42.0%	18.3%	4.1%	0.1%	13.7M	-229.6M	-1.4M	0.53	19.64	N/A	N/A	2,448	1,292	163,068	119,109
2013-05-13	$37.68	$37.00	17.5%	5.1%	14.5%	43.4%	18.8%	4.0%	0.3%	14.3M	-240.6M	-1.4M	0.54	20.34	N/A	N/A	2,304	1,245	163,438	119,540
2013-05-14	$37.74	$37.00	14.9%	5.0%	13.9%	41.0%	18.2%	4.2%	0.0%	14.9M	-249.8M	-1.3M	0.86	12.31	N/A	N/A	1,483	1,280	164,653	119,725
2013-05-15	$37.85	$37.00	17.6%	4.9%	13.2%	40.7%	18.2%	4.9%	-0.5%	14.6M	-258.4M	-1.3M	0.32	13.13	N/A	N/A	6,597	2,116	164,443	119,983
2013-05-16	$37.45	$37.00	17.8%	5.1%	13.9%	44.3%	18.5%	4.9%	-0.6%	15.3M	-219.6M	-1.3M	0.82	15.03	N/A	N/A	1,830	1,502	164,734	119,093
2013-05-17	$37.67	$37.00	17.7%	5.1%	13.7%	43.7%	20.1%	4.9%	-0.5%	13.3M	-242.1M	-1.4M	3.54	17.58	N/A	N/A	1,680	5,944	164,927	119,566
2013-05-20	$37.63	$37.00	17.2%	4.9%	13.6%	40.4%	17.5%	3.7%	-0.8%	11.0M	-187.3M	-1.3M	0.55	22.94	N/A	N/A	2,649	1,468	139,858	89,253
2013-05-21	$37.23	$37.00	17.8%	5.1%	13.1%	43.9%	18.8%	4.2%	-0.3%	11.0M	-167.8M	-1.3M	0.47	17.82	N/A	N/A	4,566	2,163	140,727	89,474
2013-05-22	$37.02	$37.00	17.5%	5.0%	10.9%	42.3%	18.4%	4.8%	-0.3%	10.4M	-146.4M	-1.3M	0.71	8.69	N/A	N/A	1,310	932	141,416	90,922
2013-05-23	$37.43	$37.00	17.0%	4.9%	10.9%	39.3%	17.9%	4.3%	0.4%	11.2M	-178.0M	-1.3M	0.60	24.02	N/A	N/A	1,490	898	141,946	91,072
2013-05-24	$37.27	$37.00	16.7%	4.8%	10.3%	37.4%	15.9%	5.2%	0.5%	10.9M	-161.2M	-1.3M	0.78	22.77	N/A	N/A	1,111	866	142,625	91,516
2013-05-28	$37.07	$37.00	17.0%	4.9%	10.1%	39.5%	16.5%	5.3%	0.6%	11.0M	-151.6M	-1.2M	1.19	23.47	N/A	N/A	2,667	3,164	143,236	92,022
2013-05-29	$36.17	$37.00	19.4%	5.6%	13.1%	53.7%	20.4%	3.5%	0.6%	8.5M	-85.1M	-1.3M	0.65	20.72	N/A	N/A	12,954	8,448	144,624	94,213
2013-05-30	$35.23	$37.00	20.4%	5.8%	15.5%	59.4%	20.5%	2.3%	0.2%	4.2M	-2.0M	-1.2M	2.36	18.14	N/A	N/A	7,319	17,303	126,246	96,546
2013-05-31	$34.15	$37.00	21.2%	6.1%	18.5%	64.1%	21.4%	2.1%	0.8%	1.6M	57.2M	-1.1M	0.53	24.83	N/A	N/A	2,719	1,436	130,745	101,046