CTL Options History — June 2014

In June 2014, CTL traded between $35.78 and $38.03. ATM implied volatility averaged 15.0%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.9% (HV 20d: 16.9%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.83.

Notable Days

2014-06-04: Highest Volume — 128,771 contracts
2014-06-11: Largest IV spike — 15.4% change
2014-06-24: Highest IV Rank — 10.4%
2014-06-27: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.82	$35.78	$38.03	$37.62	$36.20
Max Pain	$31.81	$30.00	$32.00	$30.00	$32.00
ATM IV	15.0%	13.6%	16.1%	15.6%	15.0%
Expected Move	5.8%	5.7%	6.1%	5.7%	5.7%
HV 20d	16.9%	13.5%	26.3%	25.0%	16.2%
HV 60d	17.9%	16.9%	18.7%	17.2%	18.7%
IV Rank	4.8%	0.0%	10.4%	4.7%	4.7%
IV Percentile	5.2%	0.0%	19.0%	6.3%	4.4%
Term Structure	2.8%	-0.3%	4.6%	1.1%	4.6%
VWIV	20.4%	18.9%	24.4%	21.3%	19.5%
Skew 25d	2.7%	1.3%	5.9%	4.8%	2.0%
Skew 10d	5.5%	0.6%	9.3%	2.9%	3.1%
Call IV 25d	14.1%	10.7%	15.4%	12.9%	14.4%
Put IV 25d	16.8%	15.9%	17.7%	17.7%	16.4%
Bid-Ask Spread %	20.46	14.72	31.42	15.86	25.50
Gamma HHI	0.25	0.13	0.45	0.36	0.13
Net GEX	5.3M	365.3K	15.5M	13.3M	1.3M
Net DEX	-48.4M	-221.2M	21.7M	-193.2M	8.7M
Net VEX	-1.0M	-1.2M	-932.0K	-1.2M	-961.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.01	6.14	0.28	0.70
Total Volume	8,973.286	486	128,771	4,113	858
Total OI	158,356.381	137,600	194,038	192,669	144,696

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2014-06-02	$37.62	$30.00	15.6%	5.7%	25.0%	4.7%	21.3%	4.8%	1.1%	13.3M	-193.2M	-1.2M	0.28	15.86	N/A	N/A	3,222	891	125,045	67,624
2014-06-03	$38.03	$30.00	14.5%	5.8%	25.0%	0.0%	23.4%	5.4%	0.3%	14.5M	-221.2M	-1.1M	0.11	16.84	N/A	N/A	4,295	460	125,791	68,247
2014-06-04	$38.03	$32.00	14.2%	5.8%	24.5%	0.0%	18.9%	5.9%	1.7%	15.5M	-212.9M	-1.2M	0.01	15.95	N/A	N/A	127,955	816	124,182	68,358
2014-06-05	$37.18	$32.00	15.2%	5.7%	26.3%	5.1%	19.4%	1.5%	-0.3%	8.5M	-49.1M	-981.4K	0.32	14.72	N/A	N/A	3,042	962	81,902	68,846
2014-06-06	$36.91	$32.00	14.6%	5.8%	15.0%	4.3%	19.3%	2.6%	2.6%	7.0M	-36.1M	-1.0M	0.40	16.50	N/A	N/A	5,156	2,083	83,258	69,101
2014-06-09	$36.87	$32.00	14.2%	5.8%	14.7%	4.6%	20.3%	2.3%	2.5%	6.0M	-30.9M	-1.0M	0.16	17.14	N/A	N/A	546	88	86,248	70,724
2014-06-10	$36.93	$32.00	13.6%	5.9%	14.6%	2.8%	24.4%	2.8%	3.1%	6.5M	-33.6M	-1.0M	0.21	17.97	N/A	N/A	1,282	263	86,521	70,765
2014-06-11	$36.43	$32.00	15.6%	5.8%	15.3%	7.4%	22.8%	2.2%	3.1%	2.5M	-12.7M	-1.0M	0.51	16.63	N/A	N/A	2,114	1,072	87,478	70,972
2014-06-12	$36.39	$32.00	16.0%	5.7%	13.5%	9.6%	19.9%	3.2%	2.5%	2.3M	-11.3M	-974.0K	0.43	21.07	N/A	N/A	575	250	88,568	70,991
2014-06-13	$36.95	$32.00	15.6%	5.8%	14.6%	7.7%	20.3%	2.2%	2.3%	6.8M	-36.9M	-1.0M	0.57	19.52	N/A	N/A	735	420	88,819	71,006
2014-06-16	$37.06	$32.00	15.4%	5.9%	14.2%	6.7%	20.0%	1.8%	2.7%	6.8M	-41.2M	-1.0M	0.89	17.32	N/A	N/A	343	305	89,177	71,267
2014-06-17	$36.62	$32.00	15.4%	5.8%	14.6%	6.5%	19.9%	2.5%	2.8%	2.0M	-18.3M	-1.0M	0.71	17.50	N/A	N/A	786	560	89,375	71,403
2014-06-18	$36.93	$32.00	15.1%	5.7%	14.7%	4.7%	19.7%	1.9%	3.2%	2.7M	-30.6M	-1.0M	0.10	23.63	N/A	N/A	440	46	89,419	71,561
2014-06-19	$37.29	$32.00	15.0%	5.9%	14.6%	4.5%	19.3%	3.2%	2.9%	4.4M	-46.8M	-1.0M	0.04	21.10	N/A	N/A	4,147	156	88,482	70,991
2014-06-20	$36.70	$32.00	14.2%	5.8%	15.7%	0.0%	19.2%	1.8%	3.7%	2.3M	-24.7M	-1.0M	0.84	20.09	N/A	N/A	2,067	1,742	90,493	71,018
2014-06-23	$36.73	$32.00	14.7%	5.8%	15.6%	2.7%	19.5%	3.4%	4.0%	3.0M	-26.6M	-975.4K	0.28	24.52	N/A	N/A	1,718	486	72,087	65,513
2014-06-24	$36.36	$32.00	16.1%	5.7%	16.0%	10.4%	19.6%	2.2%	3.3%	2.5M	-15.9M	-953.1K	4.05	26.61	N/A	N/A	630	2,549	73,226	65,866
2014-06-25	$36.15	$32.00	15.1%	5.8%	15.1%	5.2%	19.3%	1.3%	4.5%	1.8M	-2.5M	-968.2K	0.26	31.42	N/A	N/A	3,749	991	73,546	67,770
2014-06-26	$36.16	$32.00	15.4%	5.8%	15.2%	6.9%	23.2%	2.2%	4.4%	1.8M	-2.2M	-952.8K	6.14	27.76	N/A	N/A	752	4,614	72,625	67,827
2014-06-27	$35.78	$32.00	14.6%	6.1%	15.4%	2.6%	19.9%	1.5%	4.5%	365.3K	21.7M	-932.0K	0.38	21.90	N/A	N/A	3,833	1,440	72,721	71,975
2014-06-30	$36.20	$32.00	15.0%	5.7%	16.2%	4.7%	19.5%	2.0%	4.6%	1.3M	8.7M	-961.9K	0.70	25.50	N/A	N/A	505	353	72,721	71,975