CTL Options History — May 2014

In May 2014, CTL traded between $34.46 and $38.18. ATM implied volatility averaged 17.9%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 3.6% (HV 20d: 21.5%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2014-05-08: Highest Volume — 43,236 contracts
  • 2014-05-08: Largest IV drop — 42.0% change
  • 2014-05-01: Highest IV Rank — 52.0%
  • 2014-05-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$34.46$38.18$34.96$37.67
Max Pain$29.81$28.00$30.00$28.00$30.00
ATM IV17.9%11.7%30.0%23.9%15.7%
Expected Move5.8%5.7%5.9%5.9%5.7%
HV 20d21.5%12.1%25.0%12.3%25.0%
HV 60d17.0%14.0%18.3%14.0%17.9%
IV Rank13.5%0.0%52.0%52.0%4.8%
IV Percentile22.9%0.0%91.7%91.7%6.3%
Term Structure-1.0%-5.4%1.4%-5.0%0.7%
VWIV20.7%19.0%22.9%22.3%22.2%
Skew 25d3.3%2.1%6.1%6.1%4.5%
Skew 10d6.3%-1.1%10.6%8.0%10.6%
Call IV 25d15.7%12.3%22.6%21.0%12.3%
Put IV 25d18.9%16.0%27.9%27.1%16.8%
Bid-Ask Spread %18.3015.4926.6921.6016.23
Gamma HHI0.260.140.370.140.37
Net GEX9.8M5.4M12.9M5.7M12.9M
Net DEX-189.6M-281.7M-104.0M-123.7M-199.9M
Net VEX-1.0M-1.2M-900.6K-928.4K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.085.100.740.08
Total Volume6,546.3811,35843,2362,4772,931
Total OI176,183.048149,258203,947149,258191,066

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$34.96$28.0023.9%5.9%12.3%52.0%22.3%6.1%-5.0%5.7M-123.7M-928.4K0.7421.60N/AN/A1,4201,05795,36853,890
2014-05-02$34.83$28.0023.8%5.9%12.2%51.3%22.7%5.3%-5.4%5.8M-119.7M-944.3K1.9017.32N/AN/A8811,67696,06254,765
2014-05-05$34.84$30.0028.1%5.9%12.1%25.6%19.4%2.9%-2.0%5.6M-120.9M-900.6K0.8318.25N/AN/A1,6381,36196,55456,285
2014-05-06$34.46$30.0030.0%5.9%12.7%34.9%22.9%3.9%-2.8%5.4M-104.0M-945.9K1.5418.84N/AN/A2,0343,12397,27257,052
2014-05-07$34.65$30.0027.5%5.8%12.2%24.8%19.0%3.7%-1.2%5.9M-112.1M-931.5K2.0617.75N/AN/A2,0104,14398,43355,758
2014-05-08$36.86$30.0016.0%5.8%24.6%16.3%19.9%3.1%-1.5%6.0M-206.0M-955.4K0.1726.69N/AN/A37,0686,16898,94858,613
2014-05-09$36.56$30.0015.6%5.7%24.4%13.4%20.5%2.4%-0.9%10.4M-211.7M-1.1M0.2817.34N/AN/A5,7901,604122,97462,747
2014-05-12$36.74$30.0014.7%5.8%24.3%9.0%21.0%3.2%-0.2%10.7M-223.9M-1.0M0.4317.98N/AN/A1,339574123,93263,493
2014-05-13$36.97$30.0014.4%5.7%24.0%8.3%19.6%2.7%-0.8%11.3M-235.4M-995.4K0.2616.87N/AN/A2,801721124,20863,830
2014-05-14$37.66$30.0011.7%5.7%24.5%5.4%20.6%2.8%-0.0%11.8M-272.8M-1.0M0.2515.49N/AN/A5,0131,229124,81563,999
2014-05-15$37.83$30.0015.5%5.8%23.8%3.6%21.3%2.9%0.7%12.2M-281.7M-1.0M5.1019.46N/AN/A2,98915,236125,62263,490
2014-05-16$38.18$30.0015.8%5.8%23.4%5.1%22.3%3.8%-0.7%10.7M-274.9M-1.1M0.1518.27N/AN/A3,591536126,13577,812
2014-05-19$37.97$30.0015.9%5.8%23.6%5.7%19.1%2.6%-0.4%10.5M-214.8M-1.1M0.2421.04N/AN/A4,4461,052113,74861,229
2014-05-20$37.58$30.0015.4%5.7%24.2%2.9%19.9%2.9%0.2%11.1M-191.2M-1.2M0.4817.27N/AN/A1,916920116,70061,391
2014-05-21$37.17$30.0015.4%5.7%24.8%2.9%19.8%2.7%-0.4%10.8M-168.7M-1.2M0.8016.71N/AN/A2,0531,643117,72861,360
2014-05-22$37.15$30.0015.0%5.8%24.8%0.8%22.0%2.3%-0.2%10.6M-165.2M-1.2M0.3517.34N/AN/A1,144406118,51562,788
2014-05-23$37.28$30.0014.8%5.7%24.8%0.0%19.1%2.4%-0.5%11.3M-172.6M-1.2M0.4618.56N/AN/A930428119,10363,015
2014-05-27$37.32$30.0016.0%5.7%24.7%7.0%19.1%2.8%-0.9%11.5M-176.2M-1.1M0.8018.48N/AN/A1,252998119,23163,256
2014-05-28$37.80$30.0015.7%5.8%24.9%4.8%21.5%2.1%-0.7%12.2M-207.1M-1.1M0.2916.51N/AN/A3,7871,104119,31963,879
2014-05-29$37.68$30.0015.7%5.8%25.0%5.3%19.6%3.6%1.4%12.8M-199.5M-1.1M0.9016.25N/AN/A4,4584,004120,96564,494
2014-05-30$37.67$30.0015.7%5.7%25.0%4.8%22.2%4.5%0.7%12.9M-199.9M-1.1M0.0816.23N/AN/A2,712219123,54367,523