CTL Options History — July 2013

In July 2013, CTL traded between $35.15 and $36.27. ATM implied volatility averaged 18.9%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.5% (HV 20d: 16.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2013-07-17: Highest Volume — 11,172 contracts
  • 2013-07-08: Largest IV spike — 15.7% change
  • 2013-07-08: Highest IV Rank — 64.8%
  • 2013-07-08: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.78$35.15$36.27$35.15$35.85
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV18.9%16.8%20.9%17.9%20.9%
Expected Move5.6%5.0%6.1%5.1%6.0%
HV 20d16.4%8.0%21.7%21.7%9.0%
HV 60d18.2%17.3%19.1%19.1%17.5%
IV Rank49.1%39.1%64.8%44.7%57.0%
IV Percentile71.2%53.2%84.5%59.5%83.3%
Term Structure-0.2%-3.0%4.3%3.6%-3.0%
VWIV19.5%16.9%20.9%16.9%20.8%
Skew 25d3.4%2.4%4.6%3.0%4.4%
Skew 10d7.6%4.6%10.6%4.6%6.3%
Call IV 25d18.2%16.0%20.1%16.2%19.4%
Put IV 25d21.6%19.0%23.8%19.2%23.8%
Bid-Ask Spread %14.9511.3519.7316.1817.19
Gamma HHI0.200.130.370.170.16
Net GEX8.0M4.2M13.8M6.6M5.5M
Net DEX-35.7M-93.4M3.6M3.6M-20.6M
Net VEX-908.9K-999.2K-817.1K-992.4K-850.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.213.471.000.36
Total Volume2,995.40969911,1726991,720
Total OI193,105.955120,029236,696225,037132,655

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$35.15$35.0017.9%5.1%21.7%44.7%16.9%3.0%3.6%6.6M3.6M-992.4K1.0016.18N/AN/A350349132,93692,101
2013-07-02$35.24$35.0017.3%5.0%21.5%41.4%16.9%2.8%4.3%7.0M-3.5M-999.2K0.5014.17N/AN/A1,697856133,12392,239
2013-07-03$35.27$35.0017.7%5.1%21.4%43.5%18.2%2.4%3.7%7.3M-7.4M-996.6K0.7612.99N/AN/A673514133,71692,950
2013-07-05$35.44$35.0016.8%6.1%20.7%64.1%20.9%3.6%-0.2%8.8M-21.7M-997.6K0.2615.72N/AN/A1,838469134,14192,963
2013-07-08$35.35$35.0019.4%6.1%20.7%64.8%20.8%3.3%-0.1%8.0M-10.9M-945.3K1.0413.99N/AN/A1,7491,827134,51893,180
2013-07-09$35.39$35.0017.3%6.0%20.6%59.6%19.7%3.3%-0.1%7.0M-7.9M-943.9K0.2315.43N/AN/A1,485347135,15194,031
2013-07-10$35.46$35.0017.6%6.1%20.6%58.4%20.5%3.7%-0.5%8.3M-18.3M-950.1K3.4716.63N/AN/A5501,910135,65294,153
2013-07-11$36.01$35.0019.7%5.6%21.3%48.6%19.4%2.8%-0.6%12.0M-79.2M-945.5K0.6715.55N/AN/A1,8751,251135,81794,148
2013-07-12$36.24$35.0020.1%5.7%20.7%51.1%20.2%4.2%-0.8%13.8M-87.3M-952.2K1.1212.40N/AN/A1,8692,097136,42594,177
2013-07-15$36.24$35.0019.8%5.7%20.7%49.1%19.8%3.3%-0.7%13.7M-89.9M-923.8K0.3011.35N/AN/A1,527463136,59394,588
2013-07-16$36.27$35.0020.0%5.7%20.7%51.0%20.8%3.4%-0.7%13.4M-93.4M-897.5K0.6212.20N/AN/A1,356846136,90394,250
2013-07-17$36.11$35.0019.9%5.7%20.6%50.2%20.1%2.7%-0.8%10.9M-81.3M-900.9K0.2314.40N/AN/A9,0522,120137,31694,468
2013-07-18$35.81$35.0019.4%5.6%18.6%46.5%20.1%3.2%-0.7%6.4M-52.4M-865.2K0.2115.40N/AN/A2,200467142,74293,954
2013-07-19$35.98$35.0019.4%5.6%13.2%47.1%19.9%2.7%-0.7%10.2M-67.3M-866.6K0.3213.30N/AN/A2,904928141,38294,108
2013-07-22$35.92$35.0018.6%5.3%13.3%41.1%18.9%3.5%-0.3%4.2M-15.6M-817.1K0.2316.18N/AN/A7,6181,78977,06942,960
2013-07-23$35.94$35.0018.3%5.2%12.9%39.1%17.9%4.6%-0.3%5.1M-20.1M-856.8K0.2515.62N/AN/A2,71967182,35143,743
2013-07-24$35.87$35.0018.6%5.3%8.9%41.5%19.3%3.7%-0.8%5.2M-21.1M-857.6K0.3512.92N/AN/A1,62857384,16044,175
2013-07-25$35.83$35.0018.3%5.2%8.8%39.1%19.0%4.4%-1.0%5.3M-19.8M-866.4K0.3617.95N/AN/A1,10039185,20344,562
2013-07-26$36.03$35.0018.4%5.3%8.0%40.0%17.8%3.6%-0.5%5.6M-25.9M-870.2K0.3919.73N/AN/A85533485,76544,730
2013-07-29$36.15$35.0019.7%5.7%8.1%48.8%19.7%3.6%-1.6%5.8M-28.5M-852.3K0.9012.42N/AN/A48643986,40145,000
2013-07-30$35.72$35.0020.5%5.9%9.0%54.4%20.4%3.5%-2.4%5.3M-17.5M-847.2K0.5917.29N/AN/A1,26474386,77345,059
2013-07-31$35.85$35.0020.9%6.0%9.0%57.0%20.8%4.4%-3.0%5.5M-20.6M-850.2K0.3617.19N/AN/A1,26445687,21145,444