CTL Options History — March 2014

In March 2014, CTL traded between $30.49 and $32.84. ATM implied volatility averaged 16.6%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 0.6% (HV 20d: 16.0%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-03-05: Highest Volume — 45,977 contracts
  • 2014-03-13: Largest IV spike — 15.6% change
  • 2014-03-03: Highest IV Rank — 22.8%
  • 2014-03-12: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.45$30.49$32.84$31.11$32.84
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV16.6%15.0%18.8%18.8%15.7%
Expected Move6.4%6.3%6.7%6.4%6.4%
HV 20d16.0%14.2%18.7%18.3%15.4%
HV 60d16.6%16.0%17.5%17.0%16.4%
IV Rank11.1%0.0%22.8%22.8%3.9%
IV Percentile16.9%0.0%47.2%47.2%4.8%
Term Structure2.9%-0.8%4.8%-0.8%4.6%
VWIV23.0%20.1%27.8%22.8%21.6%
Skew 25d2.4%0.9%5.1%3.4%1.6%
Skew 10d5.8%2.5%12.2%5.4%8.0%
Call IV 25d15.9%13.9%18.0%16.9%15.0%
Put IV 25d18.4%16.6%20.2%20.2%16.6%
Bid-Ask Spread %17.8013.1821.6121.6116.73
Gamma HHI0.200.170.230.180.20
Net GEX5.9M3.6M8.4M5.6M8.4M
Net DEX-49.3M-104.9M-13.5M-41.3M-104.9M
Net VEX-758.0K-843.0K-689.9K-718.0K-833.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.062.330.700.37
Total Volume5,462.1968745,9772,9292,444
Total OI136,610.048128,450142,749135,790142,749

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$31.11$28.0018.8%6.4%18.3%22.8%22.8%3.4%-0.8%5.6M-41.3M-718.0K0.7021.61N/AN/A1,7191,210100,28535,505
2014-03-04$31.53$28.0016.8%6.4%14.9%11.3%21.3%4.2%1.4%6.4M-57.0M-713.8K0.4020.00N/AN/A2,7301,092100,99436,496
2014-03-05$31.86$28.0016.7%6.5%14.7%10.9%20.1%5.1%1.0%7.1M-69.2M-735.2K0.0720.67N/AN/A42,9982,979101,88536,328
2014-03-06$31.19$28.0017.6%6.4%17.7%15.7%27.8%3.5%-0.4%4.9M-31.1M-758.4K0.1617.01N/AN/A2,84445494,98738,390
2014-03-07$31.32$28.0016.2%6.4%17.6%17.7%26.5%1.6%2.1%5.3M-37.8M-776.8K0.5017.21N/AN/A1,58979395,35236,812
2014-03-10$30.83$28.0017.0%6.6%18.5%16.4%25.1%2.1%2.2%4.3M-23.3M-716.3K1.6413.18N/AN/A1,1041,81196,07836,828
2014-03-11$30.69$28.0016.6%6.7%18.7%15.1%22.5%2.4%2.3%3.8M-17.6M-724.6K0.2815.60N/AN/A1,75950096,35037,326
2014-03-12$30.68$28.0015.6%6.7%16.3%12.4%21.7%1.8%2.8%3.7M-16.9M-696.3K0.1520.77N/AN/A2,38236496,76937,379
2014-03-13$30.49$28.0018.1%6.6%15.7%18.7%23.5%2.3%3.3%3.6M-13.5M-689.9K0.0619.54N/AN/A5,78536398,14137,458
2014-03-14$30.62$28.0018.0%6.6%14.2%18.5%23.8%1.6%2.7%4.2M-23.8M-743.2K0.3218.38N/AN/A1,774564102,06437,599
2014-03-17$30.84$28.0017.4%6.6%14.4%15.1%27.0%2.1%2.9%4.8M-28.0M-758.3K0.7918.23N/AN/A485382102,97937,737
2014-03-18$31.40$28.0017.1%6.3%15.3%13.1%23.7%2.4%3.1%6.5M-47.6M-774.3K0.1618.26N/AN/A3,846612102,68737,641
2014-03-19$31.25$28.0017.0%6.4%15.4%12.7%21.1%0.9%3.3%6.0M-43.0M-784.2K0.2518.87N/AN/A1,258311102,97437,627
2014-03-20$31.37$28.0016.2%6.3%15.3%8.0%22.4%1.8%3.7%6.2M-48.0M-749.1K0.7817.13N/AN/A386301102,19137,476
2014-03-21$31.34$28.0015.9%6.3%15.3%6.1%21.6%1.3%4.0%5.8M-44.4M-767.3K0.3718.08N/AN/A812302102,36837,634
2014-03-24$31.54$28.0015.7%6.3%15.4%4.8%23.0%2.3%4.2%6.0M-48.2M-746.0K0.2717.21N/AN/A4,3581,16595,07533,375
2014-03-25$31.91$28.0015.3%6.3%15.9%2.8%23.0%2.7%4.5%7.1M-63.8M-755.4K0.4817.72N/AN/A1,81986797,73434,109
2014-03-26$32.29$28.0015.4%6.3%15.6%3.2%21.0%2.2%4.5%8.4M-83.1M-791.8K0.1115.22N/AN/A5,36661099,00934,361
2014-03-27$32.59$28.0015.5%6.4%15.6%3.4%21.5%3.4%4.3%8.3M-94.6M-843.0K2.3316.61N/AN/A3,5848,353100,85134,466
2014-03-28$32.68$28.0015.0%6.4%15.6%0.0%22.6%2.1%4.8%8.0M-97.3M-841.9K0.6815.76N/AN/A1,5621,069101,36141,381
2014-03-31$32.84$28.0015.7%6.4%15.4%3.9%21.6%1.6%4.6%8.4M-104.9M-833.3K0.3716.73N/AN/A1,781663101,36841,381