CTL Options History — January 2015

In January 2015, CTL traded between $37.21 and $39.69. ATM implied volatility averaged 23.7%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 5.8% (HV 20d: 17.9%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2015-01-22: Highest Volume — 6,394 contracts
  • 2015-01-05: Largest IV spike — 15.4% change
  • 2015-01-30: Highest IV Rank — 77.1%
  • 2015-01-30: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.57$37.21$39.69$39.69$37.21
Max Pain$39.50$39.00$41.00$40.00$39.00
ATM IV23.7%19.8%28.1%19.8%28.1%
Expected Move7.1%6.2%8.0%6.6%8.0%
HV 20d17.9%14.7%21.9%20.1%16.5%
HV 60d22.2%21.7%23.4%23.2%22.0%
IV Rank57.2%31.2%77.1%31.2%77.1%
IV Percentile83.9%56.7%96.4%56.7%96.4%
Term Structure-1.4%-2.9%3.2%3.2%-2.8%
VWIV24.9%22.2%28.7%23.5%28.7%
Skew 25d4.7%3.1%5.5%4.7%5.0%
Skew 10d9.6%6.3%12.2%6.3%10.2%
Call IV 25d22.6%18.1%25.7%18.1%25.7%
Put IV 25d27.2%22.9%30.7%22.9%30.7%
Bid-Ask Spread %24.1117.9129.7323.6020.05
Gamma HHI0.160.120.180.170.12
Net GEX1.6M-550.6K4.5M4.5M1.1M
Net DEX-17.6M-50.3M4.0M-50.3M-4.3M
Net VEX-681.6K-716.6K-644.1K-703.3K-644.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.043.461.211.95
Total Volume3,794.44826,3942,9325,797
Total OI113,449.4577,298141,384131,86188,767

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$39.69$40.0019.8%6.6%20.1%31.2%23.5%4.7%3.2%4.5M-50.3M-703.3K1.2123.60N/AN/A1,3251,60763,61068,251
2015-01-05$38.75$41.0022.9%7.1%21.7%59.5%24.6%4.7%-1.7%1.8M-17.8M-699.8K0.8126.77N/AN/A1,02182963,56468,264
2015-01-06$38.27$40.0024.1%7.5%21.9%66.1%26.2%4.9%-2.0%177.9K-2.3M-673.8K1.1321.38N/AN/A1,8772,11863,98068,406
2015-01-07$38.47$40.0023.5%7.3%21.9%62.6%24.7%4.7%-1.9%747.3K-5.2M-702.6K0.8623.58N/AN/A1,00486764,83769,978
2015-01-08$38.83$40.0020.2%6.8%21.5%53.8%24.6%3.6%-2.0%2.2M-17.2M-716.6K1.7625.52N/AN/A1,4562,56465,79070,273
2015-01-09$38.47$40.0021.7%7.0%20.7%57.7%25.8%4.6%-1.5%527.9K-4.0M-692.0K1.9926.68N/AN/A1,9913,96865,92870,682
2015-01-12$38.70$40.0023.3%7.0%20.7%57.7%26.5%5.0%-2.2%2.2M-11.5M-697.2K1.2124.97N/AN/A1,5211,83366,59172,209
2015-01-13$38.49$40.0024.0%7.5%17.8%65.8%26.2%4.1%-1.8%1.2M-5.7M-680.6K2.0929.73N/AN/A1,8583,88466,75672,378
2015-01-14$38.31$40.0026.2%7.5%17.8%66.5%26.8%4.9%-2.1%-550.6K4.0M-685.9K2.3622.65N/AN/A1,7004,01267,34873,796
2015-01-15$38.30$39.0026.0%7.5%17.8%65.7%26.9%4.6%-1.7%1.0M-3.6M-690.5K3.0627.51N/AN/A1,2823,92567,55573,477
2015-01-16$38.40$39.0025.4%7.3%16.3%62.4%24.7%5.5%-2.1%390.6K1.5M-673.9K0.4423.48N/AN/A1,39161167,68573,699
2015-01-20$38.74$39.0023.7%6.8%14.9%52.7%23.7%4.5%-0.9%1.3M-25.1M-646.2K0.1320.81N/AN/A3,27441140,10637,192
2015-01-21$38.63$39.0022.9%6.6%14.7%48.1%22.2%5.2%-0.4%1.6M-27.3M-655.1K0.0424.47N/AN/A3,21313942,55937,515
2015-01-22$39.35$39.0022.7%6.5%15.6%47.4%22.9%5.0%-0.7%2.4M-36.8M-676.8K0.8217.91N/AN/A3,5122,88245,40037,567
2015-01-23$39.20$39.0021.6%6.2%15.6%41.0%22.3%3.1%0.0%2.8M-39.5M-691.0K1.7823.48N/AN/A1,5202,70347,91037,776
2015-01-26$39.00$39.0021.8%6.2%15.7%42.3%23.5%5.3%-0.6%2.6M-34.5M-681.9K0.1819.64N/AN/A89016048,46837,881
2015-01-27$38.79$39.0023.2%6.6%15.3%49.8%23.5%3.7%-1.5%2.5M-33.6M-683.5K0.3427.66N/AN/A36112149,16738,023
2015-01-28$38.37$39.0025.2%7.2%15.5%61.0%23.8%5.3%-1.6%2.2M-26.8M-663.1K2.5327.36N/AN/A1,1502,90649,48338,061
2015-01-29$37.50$39.0027.8%8.0%16.7%75.4%26.5%4.7%-2.9%1.4M-12.6M-673.6K3.4624.94N/AN/A9423,26349,82638,231
2015-01-30$37.21$39.0028.1%8.0%16.5%77.1%28.7%5.0%-2.8%1.1M-4.3M-644.1K1.9520.05N/AN/A1,9653,83250,11338,654