CTL Options History — November 2014

In November 2014, CTL traded between $38.99 and $41.80. ATM implied volatility averaged 18.2%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 8.4% (HV 20d: 26.6%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.61.

Notable Days

  • 2014-11-19: Highest Volume — 24,646 contracts
  • 2014-11-11: Largest IV spike — 46.2% change
  • 2014-11-05: Highest IV Rank — 64.6%
  • 2014-11-06: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.56$38.99$41.80$41.80$40.77
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV18.2%13.7%25.8%24.1%15.4%
Expected Move5.7%5.4%6.1%5.6%5.5%
HV 20d26.6%19.5%29.5%21.2%28.0%
HV 60d21.2%16.8%22.7%17.1%22.7%
IV Rank21.7%3.1%64.6%55.4%6.8%
IV Percentile40.4%2.0%92.1%88.1%11.1%
Term Structure-0.2%-3.6%1.5%-3.0%1.3%
VWIV20.5%18.5%22.8%22.8%18.8%
Skew 25d3.7%2.3%7.0%6.3%2.6%
Skew 10d8.5%5.4%14.9%7.8%10.6%
Call IV 25d16.9%14.5%22.8%22.2%14.9%
Put IV 25d20.6%17.4%29.3%28.4%17.5%
Bid-Ask Spread %30.8324.0439.2239.2229.53
Gamma HHI0.140.130.160.130.16
Net GEX5.0M2.6M7.0M6.3M5.5M
Net DEX-74.6M-127.7M-19.1M-127.7M-87.0M
Net VEX-835.0K-900.8K-772.5K-890.4K-773.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.610.044.510.901.12
Total Volume7,420.68466024,6468,725660
Total OI140,133.526123,026148,396136,679125,655

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$41.80$38.0024.1%5.6%21.2%55.4%22.8%6.3%-3.0%6.3M-127.7M-890.4K0.9039.22N/AN/A4,5884,13773,67163,008
2014-11-04$41.63$38.0024.2%5.8%20.5%55.7%22.1%7.0%-2.7%6.4M-124.8M-900.8K1.2038.54N/AN/A3,3644,04975,12363,584
2014-11-05$41.63$38.0025.8%5.7%19.5%64.6%21.7%6.4%-3.6%7.0M-126.4M-892.4K3.0936.50N/AN/A2,0876,45977,11263,932
2014-11-06$38.99$38.0020.0%6.1%29.3%32.2%21.3%3.4%-1.2%3.3M-19.1M-853.9K1.8234.77N/AN/A3,1215,66977,39066,006
2014-11-07$39.42$38.0019.4%5.9%29.5%25.7%21.4%4.6%-0.9%3.7M-26.5M-862.8K1.0437.77N/AN/A4,5244,72477,89167,547
2014-11-10$39.82$38.0013.7%5.9%28.1%22.6%21.4%5.3%0.7%4.1M-42.5M-882.7K0.7837.47N/AN/A5,8244,51878,74268,796
2014-11-11$39.91$38.0020.0%5.6%27.7%15.7%20.7%4.0%0.4%4.5M-47.9M-877.1K3.4535.53N/AN/A1,5105,21078,57768,411
2014-11-12$40.49$38.0020.3%5.7%27.8%18.0%20.5%3.4%-0.7%5.3M-69.3M-840.6K2.2125.77N/AN/A2,2134,88378,22669,175
2014-11-13$40.90$38.0016.5%5.6%27.6%12.7%21.7%3.2%0.3%6.0M-88.0M-843.6K2.8929.40N/AN/A1,9315,57578,37369,348
2014-11-14$40.79$38.0016.4%5.5%27.4%12.3%19.3%2.9%0.5%5.6M-79.5M-862.0K0.7928.80N/AN/A64951178,26769,460
2014-11-17$40.92$38.0016.7%5.6%27.2%13.9%21.1%2.3%0.5%5.7M-79.8M-860.7K4.5126.51N/AN/A1,3105,91178,80369,593
2014-11-18$41.06$38.0016.1%5.6%27.0%10.7%20.6%2.5%0.7%6.1M-91.0M-836.6K2.6629.65N/AN/A1,6274,33378,80869,009
2014-11-19$41.12$38.0015.9%5.6%26.8%9.4%19.2%3.1%0.6%6.3M-93.8M-796.0K0.0430.85N/AN/A23,73990779,04369,196
2014-11-20$40.47$38.0016.8%5.7%27.5%14.7%19.0%2.4%0.8%2.6M-55.7M-774.8K0.8626.24N/AN/A5,0794,39168,34669,397
2014-11-21$40.46$38.0016.7%5.7%27.5%14.2%20.1%2.3%0.6%2.9M-56.4M-788.7K1.3924.04N/AN/A3,2554,51070,38169,446
2014-11-24$40.28$38.0016.4%5.6%27.2%12.4%19.7%3.0%0.8%4.4M-69.5M-772.5K0.5725.28N/AN/A1,02758361,34461,682
2014-11-25$39.69$38.0016.2%5.6%27.1%11.4%20.3%3.5%0.4%3.7M-53.1M-779.4K1.2024.60N/AN/A3,2613,90861,97462,059
2014-11-26$40.57$38.0014.7%5.4%28.3%3.1%18.5%2.9%1.5%5.1M-79.4M-777.5K0.1425.25N/AN/A83211462,79662,366
2014-11-28$40.77$38.0015.4%5.5%28.0%6.8%18.8%2.6%1.3%5.5M-87.0M-773.2K1.1229.53N/AN/A31234863,25862,397