CTL Options History — April 2014

In April 2014, CTL traded between $33.08 and $34.91. ATM implied volatility averaged 19.4%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 7.4% (HV 20d: 12.1%). 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 3 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2014-04-17: Highest Volume — 12,884 contracts
  • 2014-04-10: Largest IV spike — 41.3% change
  • 2014-04-29: Highest IV Rank — 48.6%
  • 2014-04-10: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.09$33.08$34.91$33.08$34.91
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV19.4%14.4%23.3%14.9%23.2%
Expected Move6.1%5.8%6.4%6.4%5.8%
HV 20d12.1%9.9%15.0%15.0%12.2%
HV 60d16.1%14.1%16.6%16.4%14.1%
IV Rank32.0%0.0%48.6%0.0%47.9%
IV Percentile62.2%0.0%88.5%0.0%87.7%
Term Structure-1.5%-4.4%5.8%5.6%-4.1%
VWIV21.5%19.5%24.4%22.7%21.7%
Skew 25d3.4%1.7%6.1%1.7%6.1%
Skew 10d8.5%6.1%11.5%10.0%9.0%
Call IV 25d19.5%12.8%22.9%14.8%20.6%
Put IV 25d22.9%16.2%27.1%16.5%26.7%
Bid-Ask Spread %19.0516.0723.2017.0022.87
Gamma HHI0.190.130.320.200.14
Net GEX7.4M4.7M9.9M8.5M5.6M
Net DEX-131.8M-195.0M-100.1M-114.2M-121.3M
Net VEX-903.1K-972.3K-830.0K-830.0K-924.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.052.432.430.47
Total Volume4,172.7141,34312,8845,1021,343
Total OI150,825.667138,062165,552144,596148,752

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$33.08$28.0014.9%6.4%15.0%0.0%22.7%1.7%5.6%8.5M-114.2M-830.0K2.4317.00N/AN/A1,4863,616102,62241,974
2014-04-02$33.18$28.0015.1%6.4%14.7%1.3%24.4%2.3%5.3%8.3M-116.1M-857.3K0.5316.07N/AN/A2,8981,531103,14445,096
2014-04-03$33.49$28.0015.0%6.3%12.0%0.8%21.4%3.4%5.8%8.4M-130.5M-856.7K0.2216.76N/AN/A3,267703103,40746,200
2014-04-04$33.69$28.0014.4%6.0%12.0%26.6%22.5%3.1%-1.4%8.1M-139.1M-847.5K0.3116.55N/AN/A2,650823103,09046,622
2014-04-07$33.54$28.0015.6%6.1%10.1%31.4%21.2%3.3%-2.5%8.2M-132.4M-847.0K0.1516.82N/AN/A1,960294103,94546,924
2014-04-08$33.94$28.0014.7%6.0%9.9%31.2%21.3%3.8%-2.1%8.6M-149.9M-838.4K0.1916.71N/AN/A3,921764104,91747,029
2014-04-09$33.80$28.0015.2%6.1%10.3%32.7%21.4%2.7%-2.6%8.9M-147.4M-855.4K0.1416.10N/AN/A4,736679107,16747,472
2014-04-10$33.43$28.0021.4%6.4%11.1%37.9%24.2%3.0%-2.1%9.1M-137.0M-879.4K0.0517.30N/AN/A4,740247110,26147,565
2014-04-11$33.35$28.0021.9%6.4%11.3%40.8%22.2%2.5%-2.3%9.2M-133.0M-878.7K0.6323.07N/AN/A3,1271,955111,39347,620
2014-04-14$33.88$28.0020.5%6.0%12.0%32.4%20.6%3.4%-2.6%9.7M-155.2M-921.1K0.4719.59N/AN/A1,036490113,05849,380
2014-04-15$34.05$28.0020.5%6.0%11.0%32.4%21.0%3.0%-2.5%9.7M-164.4M-912.5K0.1421.77N/AN/A2,084283113,08649,677
2014-04-16$34.74$28.0019.8%6.1%11.8%28.6%20.8%3.3%-2.8%9.9M-195.0M-911.8K0.1418.09N/AN/A8,8141,191113,65049,476
2014-04-17$34.43$28.0021.2%6.1%12.9%36.6%20.9%3.6%-3.3%8.7M-178.7M-911.8K2.3917.73N/AN/A3,8069,078115,10250,450
2014-04-21$34.49$28.0021.6%6.0%12.7%39.0%20.6%3.1%-2.1%4.7M-101.9M-950.1K0.9522.75N/AN/A1,4951,42088,47649,586
2014-04-22$34.45$28.0021.8%6.0%12.9%39.8%20.0%3.6%-2.0%4.7M-100.1M-957.5K0.2421.36N/AN/A1,86344289,31450,687
2014-04-23$34.61$28.0021.3%5.9%12.6%37.1%20.7%4.1%-2.6%4.8M-107.2M-941.9K0.2516.74N/AN/A1,81146090,07950,739
2014-04-24$34.63$28.0021.4%5.9%12.3%37.7%22.3%4.5%-3.0%5.0M-109.8M-951.0K0.7621.55N/AN/A2,4111,83391,37250,853
2014-04-25$34.76$28.0022.1%6.0%12.1%41.7%20.0%3.8%-2.7%5.0M-113.2M-959.1K1.1423.20N/AN/A9411,06992,15752,194
2014-04-28$34.64$28.0023.2%5.9%12.4%48.2%19.5%3.5%-4.0%5.0M-107.8M-961.1K0.6520.04N/AN/A1,26781992,61253,045
2014-04-29$34.80$28.0023.3%6.0%12.4%48.6%21.3%4.2%-4.4%5.3M-114.2M-972.3K0.1617.94N/AN/A3,68459093,37453,772
2014-04-30$34.91$28.0023.2%5.8%12.2%47.9%21.7%6.1%-4.1%5.6M-121.3M-924.8K0.4722.87N/AN/A91243194,97753,775