CTL Options History — October 2014

In October 2014, CTL traded between $38.30 and $41.50. ATM implied volatility averaged 22.9%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.8% (HV 20d: 20.1%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 2.07.

Notable Days

2014-10-08: Highest Volume — 15,042 contracts
2014-10-13: Largest IV spike — 45.6% change
2014-10-15: Highest IV Rank — 74.9%
2014-10-16: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.03	$38.30	$41.50	$40.42	$41.45
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	22.9%	16.9%	30.2%	19.1%	24.8%
Expected Move	6.2%	5.7%	7.0%	5.9%	5.9%
HV 20d	20.1%	17.1%	21.8%	18.6%	21.3%
HV 60d	19.0%	17.5%	21.1%	18.1%	17.6%
IV Rank	52.2%	15.3%	74.9%	27.2%	58.7%
IV Percentile	82.6%	33.3%	96.0%	52.8%	88.9%
Term Structure	-1.4%	-4.3%	4.1%	2.4%	-3.0%
VWIV	22.4%	20.6%	24.4%	20.6%	22.0%
Skew 25d	5.6%	2.9%	10.7%	2.9%	6.0%
Skew 10d	12.8%	6.1%	24.9%	8.8%	6.6%
Call IV 25d	21.4%	15.3%	25.4%	17.3%	21.9%
Put IV 25d	27.0%	19.9%	36.1%	20.2%	27.9%
Bid-Ask Spread %	40.71	31.20	49.00	33.05	37.62
Gamma HHI	0.15	0.13	0.21	0.19	0.13
Net GEX	3.8M	6.2K	6.5M	5.3M	5.9M
Net DEX	-69.3M	-117.0M	-10.5M	-87.9M	-117.0M
Net VEX	-911.8K	-954.2K	-880.1K	-938.6K	-904.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.07	0.16	11.41	3.41	1.40
Total Volume	6,593.304	764	15,042	1,181	7,699
Total OI	137,590.87	122,582	148,408	137,343	135,735

Daily Data (23 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
2014-10-01	$40.42	$38.00	19.1%	5.9%	18.6%	27.2%	20.6%	2.9%	2.4%	5.3M	-87.9M	-938.6K	3.41	33.05	N/A	N/A	268	913	72,868	64,475
2014-10-02	$40.76	$38.00	17.6%	5.9%	18.9%	19.2%	21.2%	4.5%	4.1%	5.6M	-95.0M	-954.2K	11.41	33.19	N/A	N/A	953	10,877	72,939	65,174
2014-10-03	$41.00	$38.00	16.9%	5.8%	18.6%	15.3%	24.0%	4.6%	4.1%	6.5M	-102.2M	-917.7K	0.17	35.35	N/A	N/A	651	113	73,403	65,337
2014-10-06	$40.68	$38.00	18.2%	5.9%	17.1%	40.5%	20.6%	4.2%	-1.1%	6.1M	-97.0M	-925.6K	0.16	31.20	N/A	N/A	2,266	354	73,840	65,421
2014-10-07	$40.08	$38.00	19.2%	6.1%	17.1%	46.6%	22.9%	4.4%	-1.7%	4.7M	-76.0M	-926.2K	1.83	35.57	N/A	N/A	452	827	75,722	65,632
2014-10-08	$40.83	$38.00	18.0%	5.7%	18.1%	45.3%	22.5%	5.1%	-1.6%	6.5M	-97.8M	-943.6K	0.52	41.53	N/A	N/A	9,908	5,134	76,692	66,143
2014-10-09	$39.78	$38.00	20.6%	6.0%	19.5%	51.9%	22.0%	4.7%	-1.4%	3.4M	-65.4M	-923.3K	1.14	39.34	N/A	N/A	4,415	5,015	76,797	67,701
2014-10-10	$39.45	$38.00	20.7%	6.1%	18.3%	52.5%	22.1%	4.2%	-1.7%	2.7M	-55.2M	-912.7K	1.11	43.21	N/A	N/A	3,848	4,268	77,319	67,980
2014-10-13	$38.45	$38.00	30.2%	6.8%	20.3%	68.4%	22.9%	5.9%	-3.4%	185.9K	-20.3M	-891.9K	1.30	46.44	N/A	N/A	5,103	6,640	77,447	68,906
2014-10-14	$38.98	$38.00	21.6%	6.5%	21.0%	61.7%	23.2%	5.0%	-2.9%	534.0K	-30.7M	-907.3K	1.09	44.65	N/A	N/A	4,398	4,777	78,048	69,186
2014-10-15	$38.66	$38.00	28.5%	6.6%	19.9%	74.9%	24.1%	6.1%	-4.3%	491.5K	-21.6M	-897.8K	1.27	49.00	N/A	N/A	5,559	7,087	78,636	68,275
2014-10-16	$38.30	$38.00	27.7%	7.0%	19.9%	74.8%	24.2%	10.7%	-2.2%	6.2K	-10.5M	-880.1K	0.90	43.25	N/A	N/A	1,052	952	78,204	69,970
2014-10-17	$38.86	$38.00	25.7%	6.5%	20.6%	64.1%	24.4%	6.7%	-2.5%	196.3K	-27.8M	-898.3K	1.00	44.34	N/A	N/A	701	699	78,581	69,827
2014-10-20	$39.31	$38.00	25.7%	6.5%	21.2%	63.9%	23.0%	6.2%	-1.6%	3.2M	-43.4M	-885.8K	2.86	46.32	N/A	N/A	2,304	6,586	66,358	56,224
2014-10-21	$39.74	$38.00	23.3%	6.2%	21.5%	50.4%	22.8%	7.2%	-0.8%	3.7M	-60.5M	-897.1K	2.97	44.14	N/A	N/A	1,542	4,574	67,157	58,813
2014-10-22	$40.08	$38.00	24.1%	6.0%	21.8%	55.1%	21.4%	6.5%	-1.6%	4.2M	-70.0M	-904.2K	1.40	41.16	N/A	N/A	2,465	3,447	67,972	60,361
2014-10-23	$39.90	$38.00	23.3%	6.2%	21.3%	50.7%	21.4%	5.4%	-1.9%	4.3M	-68.3M	-900.2K	2.14	40.41	N/A	N/A	1,524	3,268	68,912	59,672
2014-10-24	$39.94	$38.00	23.5%	6.1%	21.0%	51.6%	21.4%	5.6%	-2.0%	4.3M	-65.7M	-894.7K	2.37	39.17	N/A	N/A	1,429	3,388	69,120	59,771
2014-10-27	$40.42	$38.00	24.8%	6.0%	21.4%	59.1%	22.2%	5.7%	-2.6%	4.7M	-83.5M	-888.5K	1.51	39.64	N/A	N/A	3,620	5,472	69,322	59,808
2014-10-28	$41.02	$38.00	23.6%	6.0%	21.6%	52.5%	21.7%	6.1%	-2.2%	5.2M	-94.8M	-935.7K	2.57	40.57	N/A	N/A	1,441	3,707	71,026	62,159
2014-10-29	$41.02	$38.00	23.8%	6.0%	21.2%	53.2%	21.9%	5.2%	-1.6%	5.2M	-96.2M	-928.0K	3.17	43.49	N/A	N/A	1,331	4,221	71,245	62,500
2014-10-30	$41.50	$38.00	25.4%	6.0%	21.4%	62.5%	22.6%	6.1%	-3.4%	5.6M	-108.2M	-915.2K	1.91	43.76	N/A	N/A	2,202	4,196	71,312	62,600
2014-10-31	$41.45	$38.00	24.8%	5.9%	21.3%	58.7%	22.0%	6.0%	-3.0%	5.9M	-117.0M	-904.5K	1.40	37.62	N/A	N/A	3,204	4,495	73,031	62,704