CTL Options History — August 2014

In August 2014, CTL traded between $38.77 and $41.27. ATM implied volatility averaged 20.8%, placing in the 33.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.8% (HV 20d: 21.6%). Max pain ranged from $32.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2014-08-26: Highest Volume — 55,735 contracts
  • 2014-08-07: Largest IV drop — 40.5% change
  • 2014-08-01: Highest IV Rank — 90.3%
  • 2014-08-07: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.31$38.77$41.27$39.06$40.99
Max Pain$36.00$32.00$45.00$35.00$38.00
ATM IV20.8%15.1%37.8%30.4%15.5%
Expected Move6.3%5.8%6.7%6.3%5.8%
HV 20d21.6%13.4%24.4%21.7%13.4%
HV 60d17.8%17.0%21.4%21.4%17.0%
IV Rank33.1%5.3%90.3%90.3%7.4%
IV Percentile52.9%7.9%98.4%98.4%13.5%
Term Structure0.2%-5.4%2.0%-5.4%0.8%
VWIV22.5%19.3%26.6%24.3%19.3%
Skew 25d3.0%1.3%3.9%1.3%1.5%
Skew 10d5.4%2.5%7.0%4.2%3.7%
Call IV 25d19.2%15.1%30.0%30.0%15.9%
Put IV 25d22.2%17.4%31.3%31.3%17.4%
Bid-Ask Spread %21.9216.4830.7320.2725.84
Gamma HHI0.180.120.460.140.21
Net GEX7.5M4.5M20.2M4.5M6.7M
Net DEX-137.2M-179.3M-92.4M-97.4M-107.8M
Net VEX-1.1M-1.2M-1.0M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.010.980.350.59
Total Volume7,395.4291,01755,7355,6961,118
Total OI160,416.286138,313191,854152,681140,505

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$39.06$35.0030.4%6.3%21.7%90.3%24.3%1.3%-5.4%4.5M-97.4M-1.2M0.3520.27N/AN/A4,2341,46289,79362,888
2014-08-04$39.46$35.0031.6%6.4%21.8%61.6%23.0%2.9%-1.0%4.9M-111.9M-1.2M0.2018.29N/AN/A2,19944892,39063,953
2014-08-05$39.29$35.0035.1%6.5%21.9%73.2%22.8%3.1%-2.0%5.0M-111.2M-1.2M0.6217.85N/AN/A4,1812,59294,20564,226
2014-08-06$38.77$35.0037.8%6.6%22.7%77.7%23.8%3.9%-1.7%4.7M-92.4M-1.2M0.9619.22N/AN/A4,3894,23497,21866,086
2014-08-07$38.95$35.0022.5%6.7%22.7%51.6%26.0%3.3%0.0%4.8M-97.0M-1.2M0.9819.87N/AN/A1,5771,54498,60767,563
2014-08-08$39.86$35.0019.8%6.6%23.8%48.9%24.0%3.0%-0.4%6.4M-132.0M-1.2M0.0819.42N/AN/A6,70852298,81268,217
2014-08-11$40.27$35.0021.9%6.6%23.9%46.2%24.0%3.5%-0.1%8.3M-158.1M-1.2M0.4616.48N/AN/A3,4171,587104,58468,314
2014-08-12$40.77$35.0020.5%6.6%24.0%37.4%23.1%3.7%0.7%10.0M-179.3M-1.2M0.3917.92N/AN/A5,5182,141104,80369,276
2014-08-13$40.47$35.0016.3%6.6%24.4%34.3%24.9%2.2%0.1%9.3M-170.8M-1.2M0.0618.50N/AN/A16,1271,027107,29869,904
2014-08-14$40.51$35.0019.1%6.5%23.8%27.5%26.6%3.4%1.4%20.2M-172.6M-1.2M0.2418.52N/AN/A1,299313121,85569,999
2014-08-15$40.40$35.0020.0%6.6%23.9%32.2%22.2%3.5%0.5%10.9M-161.4M-1.2M0.0318.81N/AN/A3,111108118,87970,195
2014-08-18$40.42$0.0018.6%6.4%23.9%24.5%20.9%3.2%0.1%5.6M-136.6M-1.1M0.6124.19N/AN/A63338489,30761,721
2014-08-19$40.66$45.0017.1%6.2%23.9%16.2%21.3%3.9%1.8%6.0M-142.2M-1.1M0.0930.31N/AN/A1,68414789,54261,948
2014-08-20$40.79$38.0016.3%6.0%23.9%11.7%21.3%3.2%1.2%6.5M-152.3M-1.1M0.1221.46N/AN/A1,46716990,34561,979
2014-08-21$40.91$32.0016.9%6.0%23.9%14.9%21.5%3.1%1.0%6.5M-157.7M-1.1M0.0630.73N/AN/A11,56469091,26162,903
2014-08-22$40.80$35.0016.0%5.9%23.9%9.9%22.1%3.0%2.0%7.3M-153.2M-1.1M0.0621.54N/AN/A3,29418393,83562,490
2014-08-25$41.27$35.0015.9%5.9%24.0%9.4%22.0%3.2%1.5%8.6M-176.5M-1.1M0.3425.31N/AN/A3,6331,22094,65562,609
2014-08-26$41.14$36.0015.8%5.8%14.3%8.8%19.6%3.1%1.4%8.5M-170.9M-1.1M0.0126.05N/AN/A55,24648996,06963,026
2014-08-27$40.76$38.0015.3%5.8%14.7%6.2%21.0%2.4%1.6%5.9M-97.7M-1.0M0.3421.85N/AN/A1,42047675,16963,144
2014-08-28$40.86$38.0015.1%5.8%13.7%5.3%19.3%2.2%1.3%6.4M-101.2M-1.0M0.1227.88N/AN/A2,44930075,83163,338
2014-08-29$40.99$38.0015.5%5.8%13.4%7.4%19.3%1.5%0.8%6.7M-107.8M-1.1M0.5925.84N/AN/A70441477,02263,483