CTL Options History — December 2014

In December 2014, CTL traded between $37.59 and $41.10. ATM implied volatility averaged 19.2%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.3% (HV 20d: 21.5%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.90.

Notable Days

  • 2014-12-05: Highest Volume — 11,434 contracts
  • 2014-12-10: Largest IV spike — 15.4% change
  • 2014-12-16: Highest IV Rank — 52.6%
  • 2014-12-16: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.55$37.59$41.10$41.10$39.58
Max Pain$39.29$38.00$41.00$38.00$40.00
ATM IV19.2%16.2%23.6%17.0%18.4%
Expected Move6.2%5.6%7.0%5.7%6.5%
HV 20d21.5%16.3%28.8%28.2%20.9%
HV 60d22.8%21.8%23.5%22.7%23.4%
IV Rank27.5%11.0%52.6%15.5%23.2%
IV Percentile53.5%23.4%84.9%34.9%50.0%
Term Structure2.1%-0.3%4.8%0.4%4.5%
VWIV21.0%17.5%24.6%20.7%23.0%
Skew 25d3.8%2.6%5.5%2.6%3.3%
Skew 10d8.8%5.0%14.5%7.1%5.3%
Call IV 25d18.3%15.9%23.2%16.9%18.5%
Put IV 25d22.1%19.5%27.3%19.5%21.8%
Bid-Ask Spread %26.4720.7535.5926.9925.34
Gamma HHI0.170.150.270.150.16
Net GEX2.7M-1.8M5.8M5.8M4.0M
Net DEX-43.7M-102.1M21.2M-102.1M-48.4M
Net VEX-742.5K-781.4K-700.3K-749.3K-707.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.747.191.370.83
Total Volume5,067.09147611,4346,630730
Total OI132,105.364126,107137,485126,107131,524

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$41.10$38.0017.0%5.7%28.2%15.5%20.7%2.6%0.4%5.8M-102.1M-749.3K1.3726.99N/AN/A2,7933,83763,48762,620
2014-12-02$40.72$39.0017.0%5.6%28.2%15.6%20.6%3.8%-0.3%5.3M-86.1M-771.5K1.6725.22N/AN/A2,3673,96164,04763,073
2014-12-03$40.01$39.0017.4%5.8%28.8%17.9%20.3%3.5%0.2%4.7M-66.1M-746.1K1.0524.89N/AN/A3,6943,86364,62263,277
2014-12-04$40.05$39.0017.2%5.7%28.8%16.6%19.4%3.3%1.0%5.1M-68.4M-746.1K2.0720.75N/AN/A45093165,31863,277
2014-12-05$39.66$39.0016.9%5.7%16.7%19.4%20.1%3.7%2.0%4.3M-48.6M-765.8K4.8124.68N/AN/A1,9679,46765,32964,133
2014-12-08$39.78$39.0018.4%5.8%16.3%22.3%20.2%3.2%2.3%2.9M-54.2M-745.7K5.1322.00N/AN/A1,8379,42665,38869,268
2014-12-09$39.12$39.0019.8%6.0%17.0%28.7%20.5%3.3%1.4%750.2K-22.5M-781.4K1.6324.69N/AN/A2,7954,54565,57869,284
2014-12-10$38.41$39.0022.8%6.4%18.0%40.9%19.1%4.2%0.7%-564.6K-1.6M-730.1K1.8324.24N/AN/A2,3484,30865,15469,555
2014-12-11$38.70$39.0020.1%6.2%17.3%33.0%19.3%3.5%1.9%-594.9K-8.6M-769.2K1.9530.51N/AN/A2,2104,30264,86369,777
2014-12-12$37.59$39.0023.0%6.7%19.1%48.9%17.5%4.1%0.4%-1.2M18.7M-719.0K1.6625.18N/AN/A2,1583,58865,15669,701
2014-12-15$37.80$39.0023.6%6.8%19.4%52.1%19.8%4.9%-0.1%-1.5M21.2M-744.5K1.2623.10N/AN/A1,6812,12065,23570,304
2014-12-16$37.91$39.0023.6%7.0%19.4%52.6%19.2%3.6%1.2%-1.5M14.7M-754.6K0.7822.74N/AN/A2,8842,25365,55870,458
2014-12-17$38.67$39.0021.9%6.5%21.0%43.1%22.1%4.8%0.7%-1.8M-765.1K-766.5K1.0832.96N/AN/A2,0102,16667,00270,483
2014-12-18$39.44$39.0020.3%6.5%22.5%33.7%21.7%3.5%2.0%508.7K-38.5M-762.2K1.3726.03N/AN/A1,7422,38166,86470,262
2014-12-19$39.70$39.0018.8%6.1%22.1%25.5%24.6%3.7%2.3%4.3M-56.7M-700.3K7.1933.32N/AN/A4603,30766,88470,380
2014-12-22$40.16$0.0018.7%6.4%22.5%24.9%22.2%5.5%3.4%3.8M-58.6M-733.4K0.8635.59N/AN/A2,4002,07361,25966,015
2014-12-23$40.24$41.0018.0%6.3%22.5%21.0%24.0%3.1%4.0%4.9M-71.3M-732.8K1.1525.59N/AN/A2,1832,51662,11466,651
2014-12-24$40.18$40.0017.8%6.3%21.8%20.3%22.0%3.8%4.6%4.9M-67.2M-732.1K1.1126.02N/AN/A1,5591,72462,59267,390
2014-12-26$40.52$40.0016.2%6.1%20.6%11.0%22.2%3.3%4.8%5.4M-77.3M-730.3K1.1826.63N/AN/A1,3651,61462,77967,641
2014-12-29$40.60$40.0016.9%6.2%20.5%15.2%22.6%5.4%4.4%5.0M-76.7M-731.3K1.1629.48N/AN/A1,3811,60463,08667,776
2014-12-30$40.09$40.0018.3%6.4%20.7%22.7%22.0%3.5%3.8%4.7M-61.7M-715.9K0.7426.29N/AN/A27320363,22267,932
2014-12-31$39.58$40.0018.4%6.5%20.9%23.2%23.0%3.3%4.5%4.0M-48.4M-707.9K0.8325.34N/AN/A39933163,45268,072