CTL Options History — February 2014

In February 2014, CTL traded between $28.09 and $31.26. ATM implied volatility averaged 25.6%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 6.9% (HV 20d: 18.7%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.29.

Notable Days

  • 2014-02-11: Highest Volume — 23,834 contracts
  • 2014-02-13: Largest IV drop — 49.8% change
  • 2014-02-03: Highest IV Rank — 100.0%
  • 2014-02-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.07$28.09$31.26$28.13$31.26
Max Pain$25.47$25.00$28.00$25.00$28.00
ATM IV25.6%17.8%40.7%31.6%17.8%
Expected Move6.6%6.3%6.9%6.7%6.3%
HV 20d18.7%14.1%21.5%14.3%18.7%
HV 60d17.3%15.7%20.5%20.5%17.0%
IV Rank51.1%17.1%100.0%100.0%17.1%
IV Percentile70.7%30.2%100.0%100.0%30.2%
Term Structure-2.0%-6.2%0.6%-5.7%-1.0%
VWIV23.4%20.6%28.7%23.2%22.0%
Skew 25d2.9%1.6%4.7%4.7%2.1%
Skew 10d6.7%3.1%15.7%6.4%5.7%
Call IV 25d22.4%16.2%32.1%30.1%16.9%
Put IV 25d25.3%18.9%34.7%34.7%18.9%
Bid-Ask Spread %23.2919.2232.5725.7222.04
Gamma HHI0.220.110.530.120.19
Net GEX5.7M957.9K11.8M1.1M5.8M
Net DEX-46.5M-120.8M29.0M27.4M-49.0M
Net VEX-694.6K-804.3K-543.6K-553.5K-701.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.031.100.320.34
Total Volume6,799.7371,24923,8343,9941,249
Total OI145,165.737124,582167,315124,582135,527

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$28.13$25.0031.6%6.7%14.3%100.0%23.2%4.7%-5.7%1.1M27.4M-553.5K0.3225.72N/AN/A3,03695887,49737,085
2014-02-04$28.09$25.0031.6%6.9%14.1%99.9%23.1%2.9%-5.7%957.9K29.0M-543.6K0.1721.96N/AN/A5,39089787,80637,367
2014-02-05$28.27$25.0032.2%6.8%14.7%100.0%28.7%1.6%-6.2%1.3M22.8M-571.1K0.2426.36N/AN/A1,99948790,58737,897
2014-02-06$28.30$25.0031.5%6.8%14.9%95.9%24.5%3.2%-5.2%1.3M21.3M-585.8K0.4423.58N/AN/A2,21397391,67038,136
2014-02-07$28.79$25.0030.2%6.9%16.4%58.2%25.8%4.3%-2.7%1.8M12.2M-606.6K0.1724.02N/AN/A3,60463092,64338,361
2014-02-10$28.93$25.0033.3%6.8%16.2%61.3%22.9%3.9%-2.0%2.0M5.5M-604.8K0.0621.26N/AN/A14,31988193,37438,720
2014-02-11$29.73$25.0039.9%6.6%19.5%78.6%20.6%2.9%-3.6%4.7M-33.6M-693.0K0.1132.57N/AN/A21,4122,422105,61539,277
2014-02-12$30.19$25.0040.7%6.7%20.4%80.4%25.6%2.5%-3.5%6.6M-64.8M-804.3K0.2423.96N/AN/A10,5442,508119,80040,169
2014-02-13$30.77$25.0020.4%6.8%21.5%32.4%24.3%2.5%-0.3%10.1M-97.4M-798.4K0.3227.58N/AN/A7,1492,311122,78441,567
2014-02-14$30.65$25.0020.4%6.8%21.4%31.9%22.6%2.0%-0.5%10.2M-93.1M-790.1K0.2322.17N/AN/A3,880903123,98742,245
2014-02-18$30.95$25.0020.7%6.7%21.2%34.0%23.7%3.2%-0.4%9.3M-111.1M-742.8K0.2520.21N/AN/A2,438603124,12542,278
2014-02-19$30.90$25.0020.6%6.7%21.0%33.1%23.2%2.9%-0.8%9.9M-109.8M-781.4K0.1622.89N/AN/A2,739444124,82642,489
2014-02-20$31.12$25.0020.7%6.3%20.5%33.7%21.9%2.5%-1.1%8.4M-120.8M-729.3K0.0922.94N/AN/A6,114533123,31042,335
2014-02-21$31.09$25.0020.3%6.4%20.5%31.3%21.9%3.8%-0.2%11.8M-120.3M-741.8K0.0319.27N/AN/A13,764457124,40942,470
2014-02-24$31.19$25.0019.3%6.4%19.9%25.7%21.4%2.7%-0.3%6.0M-62.2M-763.5K0.3419.22N/AN/A3,3961,157104,21233,812
2014-02-25$31.14$25.0018.8%6.4%19.9%22.8%21.7%1.7%-0.6%5.9M-56.9M-742.9K0.2123.45N/AN/A4,552974104,99734,368
2014-02-26$30.80$28.0017.8%6.6%20.3%17.3%21.0%2.2%0.4%5.3M-40.4M-740.3K1.1021.07N/AN/A1,3041,435102,60734,949
2014-02-27$31.08$28.0017.8%6.3%19.6%17.2%26.3%2.8%0.6%5.5M-41.4M-703.3K0.6022.19N/AN/A94857299,69535,153
2014-02-28$31.26$28.0017.8%6.3%18.7%17.1%22.0%2.1%-1.0%5.8M-49.0M-701.3K0.3422.04N/AN/A930319100,06235,465