CTL Options History — March 2015

In March 2015, CTL traded between $34.04 and $37.68. ATM implied volatility averaged 19.9%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 4.7% (HV 20d: 24.6%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-03-13: Highest Volume — 10,876 contracts
  • 2015-03-04: Largest IV spike — 23.1% change
  • 2015-03-09: Highest IV Rank — 49.7%
  • 2015-03-09: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.26$34.04$37.68$37.62$34.63
Max Pain$37.05$36.00$38.00$38.00$36.00
ATM IV19.9%17.3%23.3%18.3%17.3%
Expected Move5.7%5.0%6.4%5.2%5.0%
HV 20d24.6%20.1%31.6%31.6%21.5%
HV 60d23.9%23.3%24.8%23.6%23.8%
IV Rank34.5%19.1%49.7%25.0%19.2%
IV Percentile55.1%34.1%74.2%46.8%34.1%
Term Structure2.1%-0.4%5.2%1.4%5.2%
VWIV19.4%14.6%21.9%20.2%19.4%
Skew 25d3.8%1.7%5.6%5.6%3.5%
Skew 10d9.4%4.5%14.4%9.6%6.3%
Call IV 25d18.4%16.0%20.4%17.0%16.9%
Put IV 25d22.2%19.4%24.6%22.6%20.4%
Bid-Ask Spread %18.1714.3625.1324.0820.79
Gamma HHI0.130.090.180.120.11
Net GEX833.9K-334.7K2.0M2.0M912.8K
Net DEX18.9M-16.0M36.6M-13.2M24.4M
Net VEX-622.9K-676.9K-545.1K-639.8K-590.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.062.291.350.89
Total Volume3,113.59175110,8763,6754,216
Total OI109,650.636102,394118,409102,394113,057

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$37.62$38.0018.3%5.2%31.6%25.0%20.2%5.6%1.4%2.0M-13.2M-639.8K1.3524.08N/AN/A1,5662,10960,60541,789
2015-03-03$37.68$38.0017.3%5.0%30.1%19.1%14.6%1.7%-0.2%1.8M-16.0M-643.7K1.1214.68N/AN/A1,8592,08060,83441,913
2015-03-04$36.23$38.0021.3%6.1%30.0%43.6%21.1%3.7%-0.4%829.8K2.3M-652.0K0.5625.13N/AN/A4,7012,62661,20941,701
2015-03-05$36.14$38.0020.5%5.9%30.0%40.0%21.2%3.8%1.2%747.0K4.3M-650.6K1.2915.97N/AN/A1,9592,52062,46642,433
2015-03-06$35.41$38.0022.8%6.4%29.5%49.6%21.9%4.4%0.3%131.3K19.2M-676.9K1.5318.99N/AN/A1,6772,57062,70842,911
2015-03-09$35.23$38.0023.3%6.4%29.4%49.7%21.3%3.9%0.3%-164.6K24.4M-648.9K1.9915.17N/AN/A7861,56162,57442,817
2015-03-10$35.13$38.0023.0%6.3%26.2%48.4%21.9%4.3%0.2%-243.7K25.0M-644.6K0.7914.45N/AN/A72757562,72742,635
2015-03-11$35.29$38.0021.9%6.3%25.7%47.5%20.8%3.7%0.6%-126.1K21.8M-654.6K0.5315.27N/AN/A1,86698363,02542,803
2015-03-12$35.21$38.0021.2%6.1%25.3%43.3%21.1%4.4%1.0%-130.0K23.7M-641.4K1.0516.30N/AN/A36738463,77243,365
2015-03-13$34.42$38.0021.5%6.2%24.4%44.9%18.3%3.2%1.1%-334.7K36.6M-592.0K0.0620.62N/AN/A10,25062663,96743,572
2015-03-16$34.50$37.0021.7%6.2%24.4%46.0%20.8%4.1%1.0%576.2K33.7M-597.5K2.2917.92N/AN/A43499471,78043,615
2015-03-17$35.13$37.0020.2%5.8%25.9%36.8%20.5%4.4%2.0%1.3M22.2M-633.6K0.6915.33N/AN/A1,5311,05571,87243,970
2015-03-18$35.12$37.0019.2%5.5%21.2%30.9%19.1%4.1%2.8%1.4M21.1M-648.3K0.1722.07N/AN/A1,76329372,75444,581
2015-03-19$34.86$36.0019.3%5.5%21.2%31.7%18.6%4.3%2.5%1.3M26.9M-625.5K1.5118.80N/AN/A60791873,50844,600
2015-03-20$35.30$36.0018.1%5.2%21.5%24.0%17.1%3.2%3.2%1.9M16.8M-593.8K1.1814.36N/AN/A53563373,64444,765
2015-03-23$35.32$36.0017.9%5.1%21.3%23.0%16.9%3.4%3.9%1.9M11.8M-633.2K0.3020.51N/AN/A93328067,81641,296
2015-03-24$35.19$36.0017.5%5.0%20.6%20.4%17.4%3.6%4.4%1.7M15.2M-627.3K0.2815.63N/AN/A1,16832268,44641,455
2015-03-25$34.64$36.0018.2%5.2%20.8%25.0%17.5%4.1%3.7%996.9K24.0M-604.5K0.3915.92N/AN/A1,67564869,34341,679
2015-03-26$34.58$36.0018.5%5.3%20.7%26.3%20.9%4.0%3.7%1.0M24.6M-597.0K1.7019.36N/AN/A1,2432,10769,53041,766
2015-03-27$34.10$36.0019.8%5.7%20.1%34.3%15.8%2.3%3.7%540.3K31.9M-562.5K0.9320.05N/AN/A40237569,59841,779
2015-03-30$34.04$36.0019.0%5.5%20.1%29.7%21.2%3.0%4.3%323.0K34.8M-545.1K0.6618.27N/AN/A2,7621,81369,69441,940
2015-03-31$34.63$36.0017.3%5.0%21.5%19.2%19.4%3.5%5.2%912.8K24.4M-590.4K0.8920.79N/AN/A2,2321,98470,90542,152