CTL Options History — September 2014

In September 2014, CTL traded between $39.54 and $41.47. ATM implied volatility averaged 16.9%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.5% (HV 20d: 15.4%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2014-09-22: Highest Volume — 4,432 contracts
  • 2014-09-30: Largest IV drop — 8.5% change
  • 2014-09-29: Highest IV Rank — 23.0%
  • 2014-09-15: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.41$39.54$41.47$40.86$40.89
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV16.9%15.6%18.3%16.4%16.8%
Expected Move5.8%5.6%5.9%5.9%5.7%
HV 20d15.4%11.8%18.2%13.3%18.2%
HV 60d17.7%16.7%18.2%16.9%18.0%
IV Rank15.1%7.8%23.0%12.4%14.3%
IV Percentile33.5%14.7%48.8%27.4%31.7%
Term Structure2.3%0.1%4.3%0.1%4.3%
VWIV20.3%19.1%22.1%19.9%19.7%
Skew 25d2.8%0.8%4.3%1.9%3.9%
Skew 10d7.3%1.8%11.1%10.7%11.1%
Call IV 25d16.3%14.6%17.8%16.7%15.9%
Put IV 25d19.1%17.1%20.3%18.6%19.7%
Bid-Ask Spread %28.7622.3934.9027.9132.61
Gamma HHI0.180.140.250.210.20
Net GEX5.1M1.7M9.1M6.6M6.2M
Net DEX-87.1M-127.4M-57.5M-106.2M-101.5M
Net VEX-993.0K-1.1M-916.6K-1.1M-916.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.113.950.521.16
Total Volume1,680.5246434,4328571,144
Total OI143,036.143131,118151,716141,605136,842

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$40.86$38.0016.4%5.9%13.3%12.4%19.9%1.9%0.1%6.6M-106.2M-1.1M0.5227.91N/AN/A56529278,04263,563
2014-09-03$41.02$38.0015.9%5.8%13.1%9.6%20.1%0.8%1.1%7.4M-116.8M-1.0M0.1129.01N/AN/A6757478,31563,748
2014-09-04$41.06$38.0016.0%5.7%11.8%10.2%20.3%1.3%0.8%7.6M-114.6M-1.0M0.8828.51N/AN/A2,2141,94478,43663,791
2014-09-05$41.47$38.0016.0%5.8%12.0%11.9%19.6%3.5%3.0%9.1M-127.4M-1.0M0.9522.39N/AN/A45643478,51265,019
2014-09-08$40.58$38.0017.2%5.8%12.6%13.7%19.5%2.1%2.5%5.9M-96.6M-1.0M0.4023.07N/AN/A2,25190078,57665,573
2014-09-09$39.99$38.0017.1%5.8%13.3%16.9%20.7%2.8%2.1%4.0M-72.8M-1.0M0.8926.55N/AN/A1,9231,71580,31565,822
2014-09-10$39.69$38.0017.2%5.8%12.6%16.4%20.9%2.3%1.9%2.7M-60.4M-1.0M0.7424.43N/AN/A59543880,73367,064
2014-09-11$40.38$38.0017.6%5.8%14.0%18.9%19.2%3.3%1.6%5.5M-85.7M-1.0M0.1123.59N/AN/A1,48116780,83967,317
2014-09-12$39.54$38.0016.9%5.8%15.8%15.3%20.5%2.3%2.1%2.2M-57.7M-1.0M0.2326.68N/AN/A1,48734782,00667,327
2014-09-15$39.64$38.0017.8%5.9%15.9%20.0%19.9%3.0%1.5%2.1M-57.5M-997.0K3.9526.71N/AN/A5682,24382,75767,492
2014-09-16$39.60$38.0017.5%5.8%15.9%18.6%19.1%2.5%1.3%1.7M-58.3M-989.2K1.1729.46N/AN/A39346182,91268,372
2014-09-17$40.35$38.0017.3%5.7%17.2%17.3%19.3%3.6%1.7%4.7M-86.2M-998.2K0.4334.90N/AN/A69729883,13368,583
2014-09-18$40.52$38.0016.4%5.7%17.2%12.2%20.5%3.8%2.0%5.1M-90.7M-970.0K0.3230.58N/AN/A1,03933182,51767,953
2014-09-19$40.75$38.0015.6%5.6%17.3%7.8%22.1%3.9%2.9%7.1M-100.9M-964.1K0.6130.64N/AN/A42526082,93168,027
2014-09-22$40.79$38.0016.2%5.7%17.3%11.2%21.7%4.3%3.7%5.1M-98.6M-974.7K1.3930.64N/AN/A1,8532,57969,38361,735
2014-09-23$40.46$38.0017.2%5.7%17.0%16.5%19.5%2.3%3.4%4.9M-88.7M-966.6K0.8031.53N/AN/A63950970,60263,150
2014-09-24$40.44$38.0017.4%5.8%17.0%17.9%20.5%3.1%3.0%4.7M-83.5M-969.7K0.5833.64N/AN/A63737271,11563,545
2014-09-25$39.91$38.0017.4%5.8%17.3%18.0%21.0%2.2%2.9%3.9M-68.0M-965.5K0.2830.84N/AN/A97427171,44563,775
2014-09-26$40.31$38.0016.9%5.9%17.7%15.1%20.5%1.8%4.2%4.7M-76.8M-969.9K0.4227.34N/AN/A70429372,01463,911
2014-09-29$40.40$38.0018.3%5.9%17.7%23.0%21.5%4.0%2.7%4.8M-79.8M-959.8K0.8132.91N/AN/A35528872,45964,108
2014-09-30$40.89$38.0016.8%5.7%18.2%14.3%19.7%3.9%4.3%6.2M-101.5M-916.6K1.1632.61N/AN/A52961572,57464,268