CTL Options History — September 2013

In September 2013, CTL traded between $31.38 and $32.91. ATM implied volatility averaged 17.2%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 1.3% (HV 20d: 15.9%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.14.

Notable Days

  • 2013-09-24: Highest Volume — 22,316 contracts
  • 2013-09-30: Largest IV spike — 17.8% change
  • 2013-09-30: Highest IV Rank — 50.6%
  • 2013-09-16: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.27$31.38$32.91$32.91$31.38
Max Pain$31.32$28.00$35.00$33.00$28.00
ATM IV17.2%15.3%20.0%18.0%20.0%
Expected Move6.4%4.9%7.8%5.2%7.2%
HV 20d15.9%12.1%24.5%24.5%12.6%
HV 60d18.3%16.9%19.9%19.5%17.1%
IV Rank33.4%19.3%50.6%37.1%50.6%
IV Percentile43.7%19.4%77.4%52.8%77.4%
Term Structure3.5%1.2%5.0%1.7%3.6%
VWIV22.6%17.3%29.1%19.0%26.6%
Skew 25d3.1%1.7%7.8%7.8%3.8%
Skew 10d7.3%2.2%15.2%15.2%7.6%
Call IV 25d16.5%14.5%18.3%14.5%18.3%
Put IV 25d19.6%16.9%22.3%22.3%22.1%
Bid-Ask Spread %15.408.5331.3916.7511.62
Gamma HHI0.120.090.180.090.18
Net GEX190.0K-2.0M1.6M1.0M-2.0M
Net DEX54.7M41.2M79.9M46.5M79.9M
Net VEX-686.4K-757.1K-646.7K-694.7K-676.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.146.040.520.49
Total Volume4,997.851,32122,31616,5604,529
Total OI160,579.5147,686172,656154,407172,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$32.91$33.0018.0%5.2%24.5%37.1%19.0%7.8%1.7%1.0M46.5M-694.7K0.5216.75N/AN/A10,8775,683101,55752,850
2013-09-04$32.50$33.0018.4%5.3%24.5%39.9%17.5%2.6%1.2%814.1K46.9M-757.1K0.6015.06N/AN/A1,7901,076102,14956,129
2013-09-05$32.13$33.0018.5%5.3%24.3%40.6%17.6%2.3%1.5%620.1K51.9M-703.8K1.7415.37N/AN/A482839102,88354,272
2013-09-06$31.90$35.0017.8%5.6%15.0%46.7%18.5%3.0%2.3%151.4K61.4M-672.4K0.2413.99N/AN/A3,474833102,88054,420
2013-09-09$32.02$35.0017.7%5.3%14.7%41.4%18.9%2.8%3.1%344.6K56.4M-688.8K0.4012.19N/AN/A1,425577103,94755,030
2013-09-10$32.62$35.0016.7%5.1%16.3%35.3%18.2%2.9%3.5%1.1M43.0M-713.1K0.5019.41N/AN/A1,235615103,79955,210
2013-09-11$32.59$35.0015.7%4.9%16.3%30.5%17.3%3.2%3.7%1.0M43.8M-703.8K0.2615.45N/AN/A1,552399103,87955,303
2013-09-12$32.38$35.0018.2%5.2%16.3%38.8%17.9%2.5%3.5%591.9K51.9M-687.2K0.6913.78N/AN/A1,016701103,67155,263
2013-09-13$32.34$35.0018.0%5.2%16.2%37.3%19.1%2.8%3.3%425.8K53.9M-677.7K0.6016.63N/AN/A857511103,97355,779
2013-09-16$32.27$0.0017.6%7.8%15.2%34.6%27.8%2.9%3.1%236.0K58.1M-659.4K0.1731.39N/AN/A3,646624104,41055,605
2013-09-17$32.43$28.0017.5%7.6%14.9%33.7%24.3%3.2%3.2%659.8K52.1M-667.5K0.9114.25N/AN/A832761105,11155,714
2013-09-18$32.55$30.0015.7%7.7%14.9%21.6%24.8%2.9%4.2%1.0M49.9M-668.0K0.2627.31N/AN/A1,554411105,21455,718
2013-09-19$32.71$30.0015.3%7.4%14.7%19.3%28.4%1.9%4.0%1.6M41.2M-676.7K0.848.53N/AN/A1,6441,376104,86355,686
2013-09-20$32.28$30.0016.0%7.2%15.2%23.5%28.9%1.7%4.3%-271.9K55.5M-648.0K4.8810.99N/AN/A7403,612105,20155,273
2013-09-23$32.24$28.0016.5%7.3%12.7%27.4%0.0%2.7%3.9%117.4K51.0M-646.7K1.3210.34N/AN/A2,7923,69095,32052,366
2013-09-24$32.17$28.0016.6%7.2%12.7%27.9%24.0%2.8%4.6%-236.8K54.2M-665.0K1.9116.55N/AN/A7,65714,65995,91155,116
2013-09-25$32.00$28.0016.4%7.2%12.7%26.4%24.1%3.3%4.6%-1.1M65.2M-701.1K0.1411.76N/AN/A4,997715101,71368,682
2013-09-26$32.11$28.0016.3%7.1%12.6%25.7%29.1%4.4%4.4%-982.4K62.6M-706.7K0.2910.00N/AN/A2,019578102,58868,803
2013-09-27$31.78$28.0017.0%6.9%12.1%30.2%26.8%3.4%5.0%-1.4M68.8M-714.3K6.0416.58N/AN/A1,3037,876103,39969,247
2013-09-30$31.38$28.0020.0%7.2%12.6%50.6%26.6%3.8%3.6%-2.0M79.9M-676.1K0.4911.62N/AN/A3,0381,491103,39969,257