CTL Options History — December 2013

In December 2013, CTL traded between $30.30 and $32.01. ATM implied volatility averaged 17.7%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.7% (HV 20d: 19.4%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2013-12-18: Highest Volume — 42,521 contracts
  • 2013-12-11: Largest IV spike — 18.7% change
  • 2013-12-17: Highest IV Rank — 48.5%
  • 2013-12-05: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.23$30.30$32.01$30.30$31.85
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV17.7%15.8%19.7%17.6%16.6%
Expected Move6.7%6.5%6.9%6.8%6.6%
HV 20d19.4%15.6%27.2%26.5%17.4%
HV 60d21.8%20.9%22.5%21.0%22.2%
IV Rank36.3%25.0%48.5%34.8%28.1%
IV Percentile44.0%19.8%65.1%42.1%23.8%
Term Structure2.7%0.1%4.5%1.3%4.5%
VWIV24.5%21.6%30.9%23.8%24.9%
Skew 25d2.2%0.3%4.0%1.1%2.5%
Skew 10d6.1%-1.7%11.1%-1.7%7.9%
Call IV 25d17.5%14.9%19.1%18.2%17.3%
Put IV 25d19.7%18.2%21.4%19.2%19.8%
Bid-Ask Spread %22.7313.8440.5213.8424.60
Gamma HHI0.160.130.250.180.17
Net GEX224.9K-3.5M3.6M-2.6M2.8M
Net DEX32.8M746.0K71.3M69.9M4.5M
Net VEX-625.6K-668.6K-593.0K-595.0K-610.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.131.980.831.98
Total Volume6,165.9521,21042,5214,6887,529
Total OI179,684.095149,435228,083183,603155,742

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$30.30$28.0017.6%6.8%26.5%34.8%23.8%1.1%1.3%-2.6M69.9M-595.0K0.8313.84N/AN/A2,5592,129114,35569,248
2013-12-03$30.37$28.0018.3%6.8%26.4%39.5%30.9%4.0%0.1%-2.8M71.3M-593.0K0.3124.31N/AN/A1,628509114,01570,137
2013-12-04$30.84$28.0017.2%6.7%27.2%31.6%0.0%0.3%0.8%-1.5M51.7M-626.3K0.3827.34N/AN/A2,229852113,94169,213
2013-12-05$30.65$28.0017.5%6.9%26.3%34.1%23.8%1.7%0.4%-1.9M57.6M-635.9K0.5321.79N/AN/A789421115,16569,223
2013-12-06$31.07$28.0016.9%6.6%15.7%38.7%22.9%2.3%2.9%-529.6K41.9M-636.0K0.3919.00N/AN/A1,196470115,48469,229
2013-12-09$31.52$28.0015.8%6.6%15.7%34.4%22.8%1.8%2.8%1.5M22.8M-659.4K0.2021.10N/AN/A2,118427115,92269,244
2013-12-10$31.51$28.0016.4%6.6%15.6%36.2%21.6%2.0%2.7%1.6M22.1M-657.3K0.2319.45N/AN/A1,489336116,20269,235
2013-12-11$30.71$28.0019.4%6.5%18.1%41.6%22.0%2.7%2.9%-1.6M53.6M-611.7K0.1328.33N/AN/A3,207406116,82369,260
2013-12-12$30.76$28.0018.3%6.8%18.1%39.1%23.5%2.4%3.1%-1.6M51.6M-601.6K0.3220.90N/AN/A1,125363116,43269,322
2013-12-13$30.73$28.0018.5%6.9%17.5%40.8%26.3%2.6%2.7%-1.6M52.0M-596.6K0.2623.15N/AN/A1,126295116,60569,375
2013-12-16$30.95$28.0018.8%6.9%17.4%42.7%22.2%3.8%2.3%-740.8K43.9M-599.9K0.3320.67N/AN/A1,308434117,06969,321
2013-12-17$31.44$28.0019.7%6.5%18.4%48.5%26.5%2.1%2.5%1.5M23.6M-645.1K0.1922.44N/AN/A4,734899116,75169,440
2013-12-18$31.84$28.0018.4%6.5%19.0%40.2%24.7%2.1%2.9%3.6M8.1M-668.6K1.6340.52N/AN/A16,17226,349119,15469,473
2013-12-19$31.36$28.0019.1%6.6%19.6%44.7%24.6%1.0%2.7%741.6K23.7M-642.5K1.0427.67N/AN/A16,16116,887133,00795,076
2013-12-20$31.04$28.0018.3%6.6%18.1%38.9%28.3%1.9%3.1%-3.5M41.1M-616.4K0.7324.17N/AN/A2,3751,725133,34583,648
2013-12-23$31.36$28.0018.4%6.6%17.8%39.6%22.0%3.2%3.1%877.5K25.7M-600.4K0.1320.65N/AN/A2,96937698,23951,196
2013-12-24$31.69$28.0016.5%6.5%18.1%27.3%0.0%1.8%4.1%2.1M11.5M-635.3K0.1722.08N/AN/A1,330231100,61051,393
2013-12-26$31.85$28.0016.2%6.6%18.1%25.0%25.4%2.6%4.2%2.4M8.7M-630.1K0.1916.32N/AN/A1,827353101,12251,481
2013-12-27$32.01$28.0016.7%6.6%18.1%28.7%27.1%1.5%4.1%3.0M746.0K-633.7K0.2219.00N/AN/A2,004449102,37951,448
2013-12-30$31.96$28.0016.7%6.5%18.2%28.5%22.6%2.3%4.1%3.1M2.3M-642.2K0.3719.97N/AN/A1,238461103,37351,669
2013-12-31$31.85$28.0016.6%6.6%17.4%28.1%24.9%2.5%4.5%2.8M4.5M-610.7K1.9824.60N/AN/A2,5245,005103,78151,961