CTL Options History — October 2013 In October 2013, CTL traded between $31.19 and $33.86. ATM implied volatility averaged 21.7%, placing in the 66.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.2% (HV 20d: 18.4%). Max pain ranged from $28.00 to $35.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.64.
Notable Days 2013-10-03 : Highest Volume — 11,141 contracts2013-10-03 : Largest IV spike — 15.6% change2013-10-08 : Highest IV Rank — 87.0%2013-10-08 : Largest Expected Move — 7.2%Monthly Statistics Metric Avg Min Max Open Close Price $32.72 $31.19 $33.86 $31.76 $33.86 Max Pain $29.30 $28.00 $35.00 $28.00 $28.00 ATM IV 21.7% 17.3% 23.8% 17.3% 22.8% Expected Move 6.8% 6.3% 7.2% 7.0% 6.3% HV 20d 18.4% 11.0% 21.5% 13.5% 19.5% HV 60d 19.3% 17.1% 20.4% 17.3% 20.3% IV Rank 66.9% 32.3% 87.0% 32.7% 69.7% IV Percentile 85.7% 37.7% 97.6% 39.3% 90.5% Term Structure -1.4% -4.3% 5.1% 5.1% -3.8% VWIV 23.8% 13.2% 28.8% 24.9% 22.2% Skew 25d 4.3% 3.2% 5.3% 3.4% 4.2% Skew 10d 9.8% 4.6% 16.3% 13.4% 10.5% Call IV 25d 21.1% 17.3% 23.6% 18.2% 22.4% Put IV 25d 25.3% 21.3% 28.7% 21.6% 26.6% Bid-Ask Spread % 13.14 9.84 16.94 11.60 11.97 Gamma HHI 0.19 0.16 0.27 0.19 0.18 Net GEX 716.5K -3.1M 4.2M -2.0M 4.2M Net DEX 25.2M -26.6M 91.2M 74.3M -26.6M Net VEX -766.7K -833.8K -716.4K -723.2K -793.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.14 1.48 1.48 0.50 Total Volume 4,165.043 842 11,141 5,481 1,670 Total OI 181,617.304 157,558 201,176 178,854 167,527
Daily Data (23 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 2013-10-01 $31.76 $28.00 17.3% 7.0% 13.5% 32.7% 24.9% 3.4% 5.1% -2.0M 74.3M -723.2K 1.48 11.60 N/A N/A 2,209 3,272 103,296 75,558 2013-10-02 $31.61 $28.00 17.3% 7.0% 13.0% 32.3% 24.3% 4.0% 4.3% -2.5M 80.2M -716.4K 0.52 13.41 N/A N/A 4,494 2,323 104,436 78,395 2013-10-03 $31.19 $28.00 20.0% 7.1% 13.2% 50.5% 22.7% 4.1% 3.7% -2.7M 88.6M -732.4K 0.68 11.62 N/A N/A 6,620 4,521 106,721 79,415 2013-10-04 $31.20 $28.00 20.1% 7.1% 13.0% 75.8% 27.1% 5.2% -1.3% -3.1M 91.2M -735.1K 1.47 12.54 N/A N/A 1,467 2,163 106,058 81,111 2013-10-07 $31.41 $28.00 20.3% 7.0% 13.2% 83.4% 22.9% 4.6% -2.3% -3.0M 84.0M -733.3K 0.24 12.81 N/A N/A 4,611 1,095 106,681 82,179 2013-10-08 $31.28 $28.00 21.3% 7.2% 11.0% 87.0% 13.2% 4.2% -2.6% -2.3M 80.8M -747.6K 0.38 13.31 N/A N/A 2,581 981 109,949 81,896 2013-10-09 $32.19 $28.00 21.5% 7.2% 15.5% 84.8% 28.8% 5.1% -2.1% -809.5K 49.0M -785.5K 1.22 15.24 N/A N/A 3,168 3,858 110,570 81,855 2013-10-10 $33.34 $28.00 23.8% 7.1% 19.9% 76.6% 23.5% 4.8% -2.6% 1.2M 6.2M -829.4K 0.14 15.77 N/A N/A 6,935 978 111,908 84,718 2013-10-11 $33.22 $28.00 22.8% 7.0% 19.9% 69.8% 24.8% 3.8% -1.8% 1.4M 7.3M -833.8K 0.38 12.41 N/A N/A 1,636 627 113,549 84,971 2013-10-14 $32.68 $28.00 22.6% 6.9% 20.9% 68.1% 26.6% 4.3% -1.8% 308.5K 29.7M -793.4K 1.16 10.67 N/A N/A 1,102 1,274 114,141 85,278 2013-10-15 $32.53 $30.00 23.4% 6.9% 20.9% 73.9% 24.8% 4.5% -2.7% -8.4K 33.8M -768.7K 1.35 13.30 N/A N/A 1,147 1,551 114,183 85,446 2013-10-16 $32.92 $30.00 22.5% 6.8% 21.3% 67.4% 18.9% 5.1% -2.2% 986.4K 21.8M -766.3K 0.18 12.60 N/A N/A 1,812 326 114,204 85,916 2013-10-17 $33.25 $30.00 21.9% 6.9% 21.5% 64.0% 28.4% 3.2% -2.0% 1.7M 7.8M -788.0K 0.65 13.64 N/A N/A 2,026 1,318 114,488 85,843 2013-10-18 $33.01 $30.00 22.2% 6.8% 21.1% 65.8% 26.5% 3.4% -2.4% 2.3M 12.9M -755.5K 0.47 12.06 N/A N/A 3,265 1,529 114,787 86,389 2013-10-21 $32.99 $30.00 22.1% 6.8% 21.1% 64.6% 22.8% 5.1% -1.2% 1.0M 11.5M -741.9K 0.26 16.32 N/A N/A 4,130 1,063 84,559 72,999 2013-10-22 $33.42 $30.00 21.8% 6.8% 21.4% 63.2% 20.4% 3.5% -0.8% 2.5M -10.0M -742.3K 0.25 14.78 N/A N/A 2,164 532 87,485 73,511 2013-10-23 $33.39 $30.00 22.7% 6.7% 21.3% 68.9% 25.2% 3.8% -2.0% 2.7M -9.3M -775.7K 1.20 13.10 N/A N/A 1,135 1,362 88,933 73,649 2013-10-24 $33.22 $30.00 22.5% 6.8% 21.4% 67.4% 20.1% 3.9% -1.7% 2.3M -2.1M -768.1K 0.48 13.50 N/A N/A 1,267 603 89,255 74,224 2013-10-25 $33.27 $35.00 22.5% 6.7% 21.0% 67.6% 22.5% 4.3% -1.9% 2.4M -897.0K -769.1K 0.68 9.84 N/A N/A 502 340 89,425 74,336 2013-10-28 $33.52 $35.00 22.3% 6.4% 20.3% 66.1% 26.2% 5.3% -2.6% 2.8M -11.5M -754.4K 0.32 11.13 N/A N/A 2,311 729 89,764 74,355 2013-10-29 $33.81 $28.00 22.3% 6.3% 20.1% 66.4% 27.7% 4.3% -3.1% 3.6M -23.5M -802.8K 0.19 13.56 N/A N/A 6,539 1,238 91,356 74,578 2013-10-30 $33.53 $28.00 23.2% 6.4% 20.3% 72.4% 22.9% 3.7% -4.3% 3.3M -14.6M -777.6K 0.43 16.94 N/A N/A 926 396 92,440 74,861 2013-10-31 $33.86 $28.00 22.8% 6.3% 19.5% 69.7% 22.2% 4.2% -3.8% 4.2M -26.6M -793.6K 0.50 11.97 N/A N/A 1,112 558 92,573 74,954
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