CTL Options History — February 2015

In February 2015, CTL traded between $36.61 and $40.50. ATM implied volatility averaged 23.0%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 4.6% (HV 20d: 27.7%). Max pain ranged from $38.00 to $39.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 1.45.

Notable Days

  • 2015-02-11: Highest Volume — 13,200 contracts
  • 2015-02-11: Largest IV drop — 28.0% change
  • 2015-02-02: Highest IV Rank — 68.6%
  • 2015-02-02: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.47$36.61$40.50$38.22$37.86
Max Pain$38.16$38.00$39.00$39.00$38.00
ATM IV23.0%18.3%32.4%26.5%18.3%
Expected Move6.2%5.3%7.6%7.6%5.3%
HV 20d27.7%19.5%32.5%19.5%31.6%
HV 60d22.5%19.9%24.0%22.8%23.6%
IV Rank45.0%25.5%68.6%68.6%25.5%
IV Percentile69.9%48.4%93.3%93.3%48.4%
Term Structure-1.2%-3.4%0.4%-2.8%0.4%
VWIV23.1%18.9%28.9%25.9%19.0%
Skew 25d5.4%3.7%6.6%6.1%4.4%
Skew 10d12.1%6.6%18.8%13.5%14.0%
Call IV 25d19.8%17.1%24.5%24.5%17.4%
Put IV 25d25.1%21.8%30.6%30.6%21.8%
Bid-Ask Spread %25.0716.8934.9826.1523.78
Gamma HHI0.160.120.290.130.12
Net GEX2.1M-2.4M5.5M1.9M2.3M
Net DEX-27.8M-80.2M18.8M-20.4M-17.9M
Net VEX-688.4K-784.1K-608.9K-691.5K-664.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.114.640.110.69
Total Volume5,985.1582,16913,2002,1695,222
Total OI101,187.05389,783112,28589,783100,833

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$38.22$39.0026.5%7.6%19.5%68.6%25.9%6.1%-2.8%1.9M-20.4M-691.5K0.1126.15N/AN/A1,94922050,96638,817
2015-02-03$39.57$39.0024.3%7.0%21.7%56.4%25.9%5.4%-3.4%3.6M-53.4M-700.5K1.5025.95N/AN/A3,0184,54052,66638,927
2015-02-04$39.40$39.0026.3%7.5%21.2%67.0%28.9%5.3%-2.8%3.4M-51.8M-734.8K1.8026.62N/AN/A2,1613,89253,82539,617
2015-02-05$38.41$38.0028.6%6.9%23.2%55.9%24.1%6.4%-2.2%2.5M-31.3M-707.9K2.4131.07N/AN/A1,4453,48254,35540,134
2015-02-06$38.53$38.0025.6%6.6%23.0%50.5%26.5%5.8%-1.7%2.6M-32.6M-702.3K4.6421.97N/AN/A7383,42254,63040,409
2015-02-09$39.77$38.0030.1%6.6%25.3%53.4%25.1%5.7%-2.4%3.8M-58.1M-747.5K0.8825.90N/AN/A6,9636,13154,83640,471
2015-02-10$40.19$38.0032.4%6.5%25.5%51.6%22.9%6.2%-1.6%4.8M-69.8M-772.6K1.2027.03N/AN/A2,5403,04760,13043,536
2015-02-11$40.50$38.0023.4%6.7%25.4%56.4%25.9%6.6%-2.3%5.5M-80.2M-784.1K0.2525.24N/AN/A10,5492,65161,44143,628
2015-02-12$39.28$38.0020.7%5.9%27.9%40.2%21.2%5.4%-0.7%3.9M-46.7M-732.0K0.7434.98N/AN/A3,6052,66165,23344,760
2015-02-13$39.40$38.0020.0%5.7%27.9%35.5%21.6%5.4%-0.8%4.2M-49.7M-742.9K0.8033.07N/AN/A2,9792,38565,62845,354
2015-02-17$39.25$38.0019.6%5.6%28.0%33.4%22.5%5.2%-0.8%3.3M-41.1M-714.6K0.9124.40N/AN/A2,5522,33165,65245,483
2015-02-18$37.51$38.0020.5%5.9%32.3%38.7%21.7%5.0%-0.3%-1.0M1.3M-618.7K1.8425.70N/AN/A3,2565,98865,75045,576
2015-02-19$37.59$38.0020.0%5.7%32.3%35.7%21.1%5.3%0.3%-1.7M3.9M-632.2K2.3417.73N/AN/A1,0212,38765,96045,344
2015-02-20$37.02$38.0020.9%6.0%31.8%41.2%22.7%5.5%-0.3%-2.4M18.8M-638.8K1.7425.88N/AN/A1,1952,07765,91046,375
2015-02-23$36.61$38.0020.2%5.8%31.9%36.8%23.5%5.0%0.3%616.6K8.3M-608.9K2.0122.47N/AN/A1,4922,99954,42039,441
2015-02-24$37.06$38.0019.9%5.7%32.4%35.3%21.2%4.8%-0.7%598.7K3.6M-633.3K1.4524.39N/AN/A1,8822,72454,85440,697
2015-02-25$37.29$38.0020.1%5.7%32.5%36.1%18.9%3.7%-0.7%1.0M-4.8M-619.1K0.5617.14N/AN/A4,4902,49755,69741,074
2015-02-26$37.40$38.0020.2%5.8%32.4%37.2%20.5%4.5%-0.3%1.5M-7.2M-633.1K1.7316.89N/AN/A1,1832,04458,74241,383
2015-02-27$37.86$38.0018.3%5.3%31.6%25.5%19.0%4.4%0.4%2.3M-17.9M-664.5K0.6923.78N/AN/A3,0902,13259,13541,698