CTL Options History — June 2013

In June 2013, CTL traded between $33.99 and $36.24. ATM implied volatility averaged 19.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 2.8% (HV 20d: 21.9%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-06-20: Highest Volume — 9,551 contracts
  • 2013-06-20: Largest IV spike — 20.8% change
  • 2013-06-03: Highest IV Rank — 69.2%
  • 2013-06-03: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.19$33.99$36.24$34.47$35.35
Max Pain$35.40$35.00$37.00$37.00$35.00
ATM IV19.1%16.8%22.1%22.1%18.0%
Expected Move5.5%4.8%6.3%6.3%5.2%
HV 20d21.9%18.9%27.1%18.9%21.7%
HV 60d17.8%16.7%19.9%16.7%19.1%
IV Rank52.1%38.4%69.2%69.2%45.2%
IV Percentile70.5%49.6%88.5%88.5%61.1%
Term Structure2.1%-0.8%3.8%-0.4%3.3%
VWIV19.2%16.6%22.7%21.9%17.5%
Skew 25d2.9%1.8%4.2%2.2%1.8%
Skew 10d8.1%3.9%13.2%4.9%7.0%
Call IV 25d18.3%15.6%21.2%21.2%16.8%
Put IV 25d21.3%18.6%25.0%23.4%18.6%
Bid-Ask Spread %14.5310.2321.4615.1919.34
Gamma HHI0.190.110.260.150.19
Net GEX5.3M2.3M7.6M3.0M7.6M
Net DEX-3.1M-63.1M74.8M39.1M-17.8M
Net VEX-1.1M-1.2M-899.7K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.124.790.241.41
Total Volume3,534.57979,5517,4292,007
Total OI224,622.15212,005231,280219,194223,704

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$34.47$37.0022.1%6.3%18.9%69.2%21.9%2.2%-0.4%3.0M39.1M-1.1M0.2415.19N/AN/A5,9781,451130,45288,742
2013-06-04$34.76$37.0020.8%6.0%19.4%61.9%21.3%2.1%-0.8%4.1M15.5M-1.2M0.1217.10N/AN/A2,078259135,03688,943
2013-06-05$34.93$37.0020.3%5.8%19.6%58.8%20.7%2.5%0.4%4.3M9.4M-1.2M0.8214.49N/AN/A1,191978134,71789,022
2013-06-06$35.50$37.0021.8%6.3%20.5%67.9%21.5%2.5%-0.7%5.8M-26.8M-1.2M1.6711.92N/AN/A1,3532,257133,87989,071
2013-06-07$35.43$35.0018.3%5.6%20.5%54.7%19.2%3.8%1.7%5.8M-16.0M-1.2M1.3910.91N/AN/A1,4051,958134,62390,765
2013-06-10$35.62$35.0018.3%5.3%20.2%48.3%19.3%2.5%2.5%6.1M-30.9M-1.2M1.6610.23N/AN/A8291,374134,96092,059
2013-06-11$35.49$35.0019.4%5.5%20.1%51.7%17.8%2.9%2.1%6.2M-23.2M-1.2M4.7912.42N/AN/A8233,946135,14690,743
2013-06-12$35.39$35.0019.7%5.5%20.0%52.4%19.1%2.8%2.5%5.1M-12.1M-1.2M0.5713.79N/AN/A509288135,40893,383
2013-06-13$35.93$35.0017.8%5.1%21.0%43.8%17.9%3.6%3.0%7.0M-51.3M-1.2M0.2714.03N/AN/A1,323359135,60393,356
2013-06-14$36.04$35.0017.7%5.1%20.9%43.5%17.5%3.3%3.1%6.5M-53.8M-1.2M0.1412.59N/AN/A2,854409135,56193,467
2013-06-17$35.99$35.0017.1%4.9%20.7%39.8%18.4%3.1%3.6%7.1M-52.4M-1.2M0.7314.56N/AN/A797582136,61093,700
2013-06-18$36.24$35.0016.8%4.8%20.9%38.4%16.6%3.3%3.8%7.0M-63.1M-1.1M0.6412.31N/AN/A777500135,69493,693
2013-06-19$35.33$35.0018.0%5.2%22.3%45.3%17.2%2.3%3.2%4.1M5.2M-1.1M0.1413.49N/AN/A2,479356135,37693,795
2013-06-20$34.13$35.0021.7%6.2%25.1%67.3%22.7%4.2%0.9%2.3M74.8M-944.3K1.0615.66N/AN/A4,6404,911135,08393,198
2013-06-21$34.18$35.0020.1%5.8%24.5%57.6%19.4%4.1%2.5%2.3M72.4M-932.9K0.9912.82N/AN/A1,5111,492136,66694,614
2013-06-24$33.99$35.0020.7%5.9%24.5%61.2%20.9%2.7%2.6%2.6M55.6M-899.7K0.2617.11N/AN/A2,770714126,79785,208
2013-06-25$34.96$35.0018.4%5.3%27.1%48.0%19.0%3.3%2.6%5.4M9.0M-986.4K0.8514.53N/AN/A4,3653,729127,33185,483
2013-06-26$34.85$35.0017.8%5.1%25.9%44.0%18.2%2.8%3.4%5.5M14.9M-991.6K0.9221.46N/AN/A2,0181,851130,23988,435
2013-06-27$35.27$35.0017.7%5.1%24.6%43.8%17.5%2.8%3.4%7.3M-11.2M-1.0M1.3316.62N/AN/A1,5332,036131,83290,049
2013-06-28$35.35$35.0018.0%5.2%21.7%45.2%17.5%1.8%3.3%7.6M-17.8M-1.0M1.4119.34N/AN/A8341,173132,59791,107