CTL Options History — July 2014

In July 2014, CTL traded between $35.94 and $39.90. ATM implied volatility averaged 19.8%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 6.0% (HV 20d: 13.8%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2014-07-29: Highest Volume — 35,749 contracts
  • 2014-07-10: Largest IV spike — 36.5% change
  • 2014-07-31: Highest IV Rank — 81.6%
  • 2014-07-29: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.25$35.94$39.90$36.32$39.24
Max Pain$32.14$32.00$35.00$32.00$35.00
ATM IV19.8%14.4%28.9%15.4%28.9%
Expected Move5.8%5.7%6.3%5.7%6.2%
HV 20d13.8%9.0%21.5%15.7%21.5%
HV 60d18.6%17.7%21.3%18.6%21.3%
IV Rank34.6%3.7%81.6%6.8%81.6%
IV Percentile61.4%2.8%98.4%9.5%98.4%
Term Structure-1.5%-4.4%4.7%4.7%-4.4%
VWIV21.9%19.2%27.0%19.7%24.3%
Skew 25d2.5%0.3%3.9%2.3%1.3%
Skew 10d5.8%0.0%12.9%4.3%1.9%
Call IV 25d19.7%14.4%28.3%14.5%28.3%
Put IV 25d22.1%16.0%29.6%16.8%29.6%
Bid-Ask Spread %22.3518.8326.8825.5619.59
Gamma HHI0.220.140.670.140.15
Net GEX4.5M281.4K22.1M2.0M4.7M
Net DEX-33.8M-129.9M20.6M861.2K-105.4M
Net VEX-975.5K-1.1M-931.3K-975.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.092.872.350.42
Total Volume3,553.40936235,7493,5634,101
Total OI141,815119,305152,800146,740150,399

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$36.32$32.0015.4%5.7%15.7%6.8%19.7%2.3%4.7%2.0M861.2K-975.0K2.3525.56N/AN/A1,0652,49874,37972,361
2014-07-02$35.94$32.0014.8%6.0%15.9%3.7%22.0%0.9%4.5%281.4K20.6M-944.5K2.8726.88N/AN/A9422,70474,59274,474
2014-07-03$36.08$32.0014.9%5.7%14.2%3.9%19.7%1.6%4.2%505.3K15.3M-958.5K1.8624.14N/AN/A5591,04174,43875,520
2014-07-07$36.12$32.0015.7%5.8%14.1%31.8%24.7%2.1%-1.5%802.3K14.0M-963.4K0.3321.71N/AN/A45514874,76275,970
2014-07-08$36.50$32.0016.3%5.8%14.7%36.0%20.5%2.6%-1.5%2.1M-4.2M-980.8K0.3219.29N/AN/A1,28841074,88576,033
2014-07-09$36.59$32.0014.4%5.7%14.7%30.9%19.2%2.5%-2.0%2.5M-9.5M-966.1K0.6422.66N/AN/A30719775,13076,289
2014-07-10$36.78$32.0019.7%5.9%13.9%30.4%20.1%3.3%-1.7%3.4M-17.6M-976.0K0.0921.66N/AN/A7516875,28276,384
2014-07-11$36.77$32.0019.9%5.9%13.9%31.7%21.0%3.1%-2.0%3.5M-14.7M-964.2K1.0322.10N/AN/A17818475,39576,370
2014-07-14$36.89$32.0020.0%5.8%12.9%32.2%19.7%2.2%-2.4%5.3M-23.5M-959.9K0.2319.25N/AN/A2,08848475,47476,401
2014-07-15$36.99$32.0020.0%5.7%12.8%32.4%22.6%3.0%-1.9%5.9M-25.4M-955.5K0.4020.96N/AN/A47818976,14276,357
2014-07-16$37.12$32.0020.0%5.8%12.1%32.1%19.2%3.1%-2.6%8.4M-31.8M-954.1K1.6622.92N/AN/A54991176,13176,485
2014-07-17$36.72$32.0020.6%5.7%12.4%35.6%24.9%2.8%-3.0%6.3M-11.7M-954.2K1.5423.70N/AN/A38459075,64776,752
2014-07-18$36.95$32.0019.5%5.7%12.1%29.7%23.3%3.0%-2.4%22.1M-20.1M-934.6K0.8823.87N/AN/A39134475,80676,994
2014-07-21$37.02$32.0020.0%5.8%10.6%32.1%23.0%3.6%-1.5%2.8M-27.4M-931.3K0.1824.70N/AN/A2,23141266,26853,037
2014-07-22$37.31$32.0020.0%5.8%10.9%32.3%22.2%3.0%-1.4%3.4M-40.2M-947.5K0.1723.32N/AN/A1,29622368,01553,243
2014-07-23$37.57$32.0019.2%5.7%10.3%27.9%25.0%3.4%-2.1%3.7M-49.4M-955.0K0.1722.95N/AN/A2,03835468,76853,392
2014-07-24$37.68$32.0020.5%5.7%10.0%34.9%21.0%3.9%-2.7%4.0M-54.2M-963.5K0.8118.98N/AN/A72058470,12053,600
2014-07-25$37.58$32.0020.4%5.7%10.1%34.8%27.0%2.9%-2.5%3.9M-50.1M-979.0K0.3521.07N/AN/A61921670,30053,675
2014-07-28$37.71$32.0021.5%5.7%9.0%40.5%20.1%2.9%-3.1%4.1M-53.7M-981.0K0.5118.83N/AN/A77539270,48853,754
2014-07-29$39.90$32.0026.8%6.3%21.0%70.0%21.5%0.6%-4.3%3.9M-129.9M-998.5K0.4923.94N/AN/A23,93511,81470,81853,786
2014-07-30$39.77$32.0026.8%6.1%21.2%70.1%21.0%0.3%-3.5%5.2M-124.6M-1.1M0.5223.72N/AN/A6,1063,15685,72660,088
2014-07-31$39.24$35.0028.9%6.2%21.5%81.6%24.3%1.3%-4.4%4.7M-105.4M-1.1M0.4219.59N/AN/A2,8851,21688,10362,296