CTL Options History — November 2013

In November 2013, CTL traded between $30.67 and $33.89. ATM implied volatility averaged 19.7%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 5.7% (HV 20d: 25.4%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-11-15: Highest Volume — 34,099 contracts
  • 2013-11-07: Largest IV drop — 37.0% change
  • 2013-11-01: Highest IV Rank — 77.4%
  • 2013-11-05: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.83$30.67$33.89$33.58$30.70
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV19.7%15.6%31.1%23.9%15.6%
Expected Move6.6%6.3%7.0%6.4%6.9%
HV 20d25.4%18.7%27.5%20.0%26.4%
HV 60d20.2%16.5%21.4%16.7%20.9%
IV Rank38.2%20.7%77.4%77.4%21.0%
IV Percentile46.6%18.7%94.0%94.0%18.7%
Term Structure0.3%-4.9%2.3%-4.9%2.3%
VWIV23.9%20.9%29.9%22.0%22.0%
Skew 25d3.7%0.8%6.3%5.0%1.3%
Skew 10d8.0%2.8%18.5%18.5%4.9%
Call IV 25d17.0%14.4%23.5%23.5%15.8%
Put IV 25d20.7%17.1%28.5%28.5%17.1%
Bid-Ask Spread %13.969.5540.6417.4215.30
Gamma HHI0.190.120.360.180.15
Net GEX-189.9K-4.5M4.2M3.4M-1.5M
Net DEX37.8M-32.0M71.0M-15.7M56.5M
Net VEX-662.1K-781.8K-621.3K-758.0K-635.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.071.660.650.42
Total Volume6,785.479034,0992,336790
Total OI176,093.2166,263183,221168,059183,221

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$33.58$28.0023.9%6.4%20.0%77.4%22.0%5.0%-4.9%3.4M-15.7M-758.0K0.6517.42N/AN/A1,41991793,01575,044
2013-11-04$33.76$28.0025.7%6.3%19.9%51.0%29.4%5.6%-0.9%3.8M-21.2M-771.4K0.259.55N/AN/A2,09053293,35075,499
2013-11-05$33.38$28.0030.3%7.0%20.5%65.3%27.5%4.7%-2.7%3.1M-7.7M-757.7K0.5411.14N/AN/A2,7091,47094,89075,920
2013-11-06$33.89$28.0031.1%6.6%18.7%60.7%22.4%6.3%-1.3%4.2M-32.0M-781.8K0.6740.64N/AN/A6,3404,22895,97976,280
2013-11-07$31.81$28.0019.6%6.6%26.9%44.8%23.1%4.3%-0.3%-2.4M54.6M-627.3K0.4712.73N/AN/A9,5104,43395,86279,191
2013-11-08$31.33$28.0022.0%6.8%27.3%50.8%22.0%4.7%-0.3%-4.5M71.0M-622.5K1.0911.43N/AN/A3,9424,28096,99680,241
2013-11-11$31.51$28.0020.1%6.6%26.9%46.6%21.7%3.5%-0.0%-3.5M60.1M-621.3K0.5410.62N/AN/A1,83199797,99581,968
2013-11-12$31.43$28.0022.9%6.6%26.9%53.6%22.5%5.3%-0.4%-3.0M58.5M-641.4K0.4111.31N/AN/A2,14187898,79182,716
2013-11-13$31.48$28.0020.9%6.5%26.5%46.0%21.5%4.6%0.0%-1.7M56.6M-622.1K0.8412.52N/AN/A91576699,69482,933
2013-11-14$31.84$28.0017.5%6.5%26.6%33.6%24.2%4.8%0.9%1.0M44.0M-636.1K0.4812.61N/AN/A1,82087199,26682,708
2013-11-15$32.10$28.0016.7%6.5%26.7%28.7%25.1%4.0%1.2%3.3M29.5M-625.3K0.7122.19N/AN/A19,95614,143100,17882,736
2013-11-18$32.19$28.0016.3%6.4%26.8%26.0%22.9%3.3%1.7%1.2M27.6M-648.7K0.5711.50N/AN/A3,2801,861101,25765,006
2013-11-19$32.01$28.0015.8%6.5%26.3%22.5%23.6%3.6%2.2%759.3K34.4M-642.2K0.1711.62N/AN/A6,4831,119103,32266,393
2013-11-20$31.80$28.0015.6%6.5%26.3%21.1%29.9%4.0%1.8%101.4K43.3M-648.8K0.1011.82N/AN/A11,1771,167106,44167,136
2013-11-21$31.08$28.0016.5%6.5%27.3%27.2%20.9%1.7%0.9%-598.5K50.6M-667.7K1.6610.00N/AN/A1,3772,291106,93967,436
2013-11-22$30.67$28.0015.7%6.9%27.5%21.9%27.0%2.4%1.1%-2.0M63.0M-642.1K0.4310.67N/AN/A5,1942,246107,25868,523
2013-11-25$30.70$28.0015.6%6.8%27.2%20.7%23.3%2.3%1.7%-2.1M63.2M-623.7K0.3911.09N/AN/A2,6611,040107,90768,710
2013-11-26$30.68$28.0015.8%6.8%26.8%22.4%23.0%1.4%1.6%-2.0M62.0M-627.2K0.0713.61N/AN/A7,310501108,86369,070
2013-11-27$30.72$28.0015.8%6.8%26.8%22.5%0.0%0.8%1.4%-1.3M56.7M-641.6K0.3311.42N/AN/A769254113,89369,237
2013-11-29$30.70$28.0015.6%6.9%26.4%21.0%22.0%1.3%2.3%-1.5M56.5M-635.6K0.4215.30N/AN/A556234114,02669,195