CTL Options History — January 2014

In January 2014, CTL traded between $28.59 and $31.67. ATM implied volatility averaged 21.4%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 8.4% (HV 20d: 13.0%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2014-01-29: Highest Volume — 10,577 contracts
  • 2014-01-16: Largest IV spike — 29.1% change
  • 2014-01-29: Highest IV Rank — 100.0%
  • 2014-01-28: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.21$28.59$31.67$31.65$28.86
Max Pain$27.86$25.00$28.00$28.00$25.00
ATM IV21.4%16.1%27.9%17.6%27.3%
Expected Move6.6%6.4%7.0%6.6%6.8%
HV 20d13.0%7.9%17.7%17.7%12.3%
HV 60d20.1%19.5%22.2%22.2%20.0%
IV Rank66.6%32.3%100.0%34.5%95.3%
IV Percentile82.0%34.9%100.0%36.5%99.2%
Term Structure-0.9%-3.4%3.4%3.4%-3.0%
VWIV24.1%21.6%27.3%27.0%24.8%
Skew 25d2.9%1.7%3.9%2.6%2.6%
Skew 10d5.8%3.4%10.4%3.8%4.7%
Call IV 25d21.9%17.5%27.2%17.5%26.3%
Put IV 25d24.9%19.5%30.2%20.0%28.9%
Bid-Ask Spread %26.0918.2438.1018.2425.60
Gamma HHI0.180.100.690.150.12
Net GEX281.1K-9.7M2.5M2.4M1.6M
Net DEX25.7M8.3M58.5M11.9M15.2M
Net VEX-564.5K-649.6K-510.7K-649.6K-603.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.111.500.270.34
Total Volume4,410.90589610,5771,3281,005
Total OI140,225.33398,129167,121158,184124,064

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$31.65$28.0017.6%6.6%17.7%34.5%0.0%2.6%3.4%2.4M11.9M-649.6K0.2718.24N/AN/A1,044284105,21752,967
2014-01-03$31.60$28.0017.5%6.4%17.0%32.3%27.0%1.7%3.0%2.4M13.3M-643.9K1.5026.86N/AN/A359537105,86853,066
2014-01-06$31.67$28.0017.4%6.6%16.8%52.6%27.3%3.8%-0.4%2.5M13.3M-629.0K0.4421.87N/AN/A2,085918106,10253,428
2014-01-07$31.41$28.0018.1%6.5%16.5%58.5%21.7%3.1%-0.8%1.6M23.7M-603.7K0.2028.63N/AN/A2,677531107,47653,588
2014-01-08$31.24$28.0017.5%6.4%15.8%56.3%26.9%3.3%-0.6%1.0M24.9M-601.8K0.3930.53N/AN/A1,743675108,47352,510
2014-01-09$30.79$28.0017.6%6.7%16.6%53.0%26.3%3.4%-0.3%-497.4K39.6M-574.0K0.2824.24N/AN/A3,285906109,36152,873
2014-01-10$31.02$28.0016.3%6.4%14.0%52.6%0.0%3.1%-0.3%-163.8K32.8M-579.6K0.1722.89N/AN/A1,447250109,68453,155
2014-01-13$30.87$28.0020.5%6.7%14.1%60.6%22.9%3.3%-1.5%-345.5K35.5M-564.8K0.5821.54N/AN/A1,256731110,18353,214
2014-01-14$30.69$28.0016.1%6.5%14.3%54.9%25.6%2.8%-0.7%-2.0M44.4M-540.6K0.3725.91N/AN/A1,841673110,44853,509
2014-01-15$30.53$28.0017.7%6.6%14.1%52.3%22.4%2.7%-0.8%-1.7M47.9M-535.5K0.3528.28N/AN/A3,3601,161109,85153,612
2014-01-16$30.33$28.0022.9%6.6%12.9%67.3%21.8%2.1%-1.8%-2.6M50.8M-533.2K0.3821.18N/AN/A2,7001,029111,28253,844
2014-01-17$30.00$28.0022.3%6.4%12.1%62.7%21.6%2.5%-1.3%-9.7M58.5M-519.4K1.2631.08N/AN/A4,6105,799113,18753,934
2014-01-21$29.85$28.0022.2%6.4%11.2%62.3%21.8%3.9%-0.0%1.6M8.3M-529.3K0.2424.07N/AN/A5,1931,25669,89728,232
2014-01-22$29.50$28.0023.4%6.7%11.4%70.8%26.2%2.7%-0.1%1.6M12.7M-513.9K0.9829.47N/AN/A2,7652,71872,36329,218
2014-01-23$29.45$28.0023.7%6.5%10.3%73.6%22.9%3.7%-0.3%1.4M16.2M-510.7K0.1924.73N/AN/A3,68871873,40330,937
2014-01-24$29.15$28.0024.3%6.5%9.3%77.7%22.3%3.3%-0.8%1.4M17.1M-514.4K0.5328.63N/AN/A2,7391,45674,52931,343
2014-01-27$29.08$28.0026.5%6.5%8.6%94.5%22.4%2.9%-2.7%1.4M17.2M-512.2K0.9525.76N/AN/A3,6403,44176,05532,084
2014-01-28$28.95$28.0026.8%7.0%7.9%96.7%22.8%3.0%-3.2%1.1M20.8M-548.7K0.1124.64N/AN/A8,00289180,32234,548
2014-01-29$28.59$28.0027.9%6.6%8.2%100.0%23.9%2.9%-3.4%1.1M22.5M-566.3K0.2938.10N/AN/A8,2282,34984,83934,817
2014-01-30$29.16$28.0026.5%6.6%12.2%89.6%27.3%2.2%-2.7%1.6M13.7M-581.6K0.1825.67N/AN/A3,93470584,69336,556
2014-01-31$28.86$25.0027.3%6.8%12.3%95.3%24.8%2.6%-3.0%1.6M15.2M-603.1K0.3425.60N/AN/A74825787,06137,003