CTL Options History — August 2013

In August 2013, CTL traded between $32.32 and $36.39. ATM implied volatility averaged 20.1%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 0.4% (HV 20d: 20.5%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.46.

Notable Days

  • 2013-08-08: Highest Volume — 15,669 contracts
  • 2013-08-08: Largest IV drop — 34.0% change
  • 2013-08-01: Highest IV Rank — 61.0%
  • 2013-08-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.90$32.32$36.39$36.32$33.12
Max Pain$33.95$33.00$35.00$35.00$33.00
ATM IV20.1%17.2%29.1%21.5%17.6%
Expected Move5.5%5.0%6.2%6.2%5.0%
HV 20d20.5%10.0%25.1%10.0%24.6%
HV 60d20.0%17.5%21.3%17.7%19.5%
IV Rank45.6%34.4%61.0%61.0%34.4%
IV Percentile67.3%46.0%86.9%86.9%46.0%
Term Structure-0.1%-3.5%1.9%-2.9%1.8%
VWIV19.0%16.7%23.9%23.9%17.7%
Skew 25d3.8%2.6%5.1%5.1%4.5%
Skew 10d7.4%0.6%17.9%9.0%10.8%
Call IV 25d17.5%16.0%20.1%19.0%16.0%
Put IV 25d21.2%19.3%24.0%24.0%20.5%
Bid-Ask Spread %19.7912.0635.0314.8918.91
Gamma HHI0.110.090.160.160.09
Net GEX1.8M-500.6K6.5M6.5M1.3M
Net DEX31.8M-36.3M66.0M-36.3M39.3M
Net VEX-747.0K-892.0K-646.7K-887.7K-723.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.091.781.780.64
Total Volume5,036.9551,41915,6695,7341,828
Total OI148,518.227133,590160,195133,590153,162

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$36.32$35.0021.5%6.2%10.0%61.0%23.9%5.1%-2.9%6.5M-36.3M-887.7K1.7814.89N/AN/A2,0663,66887,97645,614
2013-08-02$36.11$35.0021.4%6.1%10.3%60.0%22.4%3.9%-3.5%5.7M-27.8M-870.9K0.9513.86N/AN/A72869189,07048,023
2013-08-05$36.09$35.0024.8%5.7%10.2%50.9%18.5%4.6%-1.1%5.7M-27.1M-859.2K1.6515.30N/AN/A2,0733,42188,98548,143
2013-08-06$36.18$35.0027.9%6.0%10.2%56.1%21.9%5.0%-1.3%5.6M-26.6M-892.0K0.5114.04N/AN/A2,6351,34190,43951,093
2013-08-07$36.39$35.0029.1%6.0%10.3%57.4%21.0%4.7%-1.6%6.0M-33.5M-887.1K0.4220.12N/AN/A5,6812,36791,42751,741
2013-08-08$34.36$35.0019.2%5.6%22.4%47.7%19.4%3.8%-0.6%314.9K44.3M-712.5K0.5812.06N/AN/A9,9165,75394,87353,255
2013-08-09$33.89$35.0017.2%5.7%22.5%49.2%19.8%3.4%-0.5%214.8K56.5M-697.7K0.3818.78N/AN/A9,8463,70197,40154,687
2013-08-12$34.08$35.0021.9%5.5%22.7%46.4%19.2%3.7%-0.1%1.0M45.4M-732.2K0.3317.23N/AN/A3,8741,261100,42655,294
2013-08-13$33.88$34.0018.2%5.4%22.7%42.1%18.0%4.0%-0.1%709.5K49.9M-725.3K0.2317.27N/AN/A3,522808101,60355,748
2013-08-14$33.73$34.0018.5%5.2%22.7%39.1%18.2%3.4%0.6%437.6K55.8M-715.1K0.5116.98N/AN/A1,754889101,87855,802
2013-08-15$33.47$34.0019.6%5.6%22.7%48.1%18.3%3.5%0.1%521.1K58.9M-714.6K0.1314.05N/AN/A5,807728102,05955,529
2013-08-16$32.92$34.0019.5%5.6%22.9%47.7%19.3%2.6%0.4%-500.6K66.0M-701.8K0.2715.06N/AN/A5,8171,556104,40755,788
2013-08-19$32.56$34.0019.3%5.5%23.0%45.7%18.8%3.6%0.8%115.5K56.1M-680.7K0.2116.16N/AN/A4,14488591,91450,725
2013-08-20$32.58$33.0018.6%5.3%23.0%41.3%17.4%4.0%0.3%81.4K56.4M-675.9K0.1621.46N/AN/A2,65442193,29151,112
2013-08-21$32.32$33.0019.1%5.5%23.0%45.0%19.0%3.1%0.3%38.2K59.3M-670.6K0.3318.67N/AN/A1,93863594,56251,221
2013-08-22$32.58$33.0018.3%5.2%23.4%39.1%16.7%3.3%0.7%110.5K58.6M-646.7K0.0923.71N/AN/A1,88316794,91951,638
2013-08-23$33.30$33.0017.8%5.1%25.1%36.2%17.3%3.2%0.4%1.2M37.5M-722.7K0.0922.14N/AN/A3,93534696,02751,712
2013-08-26$33.14$33.0018.4%5.3%24.9%39.6%18.2%3.3%0.2%1.2M39.4M-732.2K0.1335.03N/AN/A1,95224598,33451,725
2013-08-27$32.94$33.0018.3%5.2%24.8%39.0%19.3%3.1%1.0%1.1M43.7M-724.9K0.1626.41N/AN/A2,15835198,95451,769
2013-08-28$32.71$33.0018.3%5.3%24.6%39.5%17.5%3.9%1.9%929.2K47.6M-704.2K0.1034.82N/AN/A3,629366100,54351,717
2013-08-29$33.10$33.0017.9%5.1%24.5%36.8%17.3%3.3%0.5%1.5M35.8M-756.2K0.4828.35N/AN/A2,2851,088100,95351,862
2013-08-30$33.12$33.0017.6%5.0%24.6%34.4%17.7%4.5%1.8%1.3M39.3M-723.7K0.6418.91N/AN/A1,112716101,22551,937