CTL Options History — April 2015

In April 2015, CTL traded between $34.63 and $36.77. ATM implied volatility averaged 22.7%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 3.1% (HV 20d: 19.7%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2015-04-21: Highest Volume — 8,339 contracts
  • 2015-04-08: Largest IV spike — 25.4% change
  • 2015-04-30: Highest IV Rank — 79.0%
  • 2015-04-30: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.83$34.63$36.77$35.50$35.94
Max Pain$35.05$35.00$36.00$36.00$35.00
ATM IV22.7%17.9%27.0%18.6%27.0%
Expected Move6.7%5.3%7.7%5.3%7.7%
HV 20d19.7%15.9%22.8%19.6%20.7%
HV 60d24.4%23.7%25.6%24.0%23.7%
IV Rank56.5%27.0%79.0%27.0%79.0%
IV Percentile79.1%43.7%96.8%43.7%96.8%
Term Structure-2.0%-4.6%4.3%4.3%-4.5%
VWIV23.6%18.4%27.5%18.4%27.5%
Skew 25d3.9%2.7%4.9%2.7%4.1%
Skew 10d8.7%6.8%11.2%10.0%7.4%
Call IV 25d21.9%17.0%25.5%17.0%25.5%
Put IV 25d25.8%19.7%29.6%19.7%29.6%
Bid-Ask Spread %19.0711.9527.8321.3115.20
Gamma HHI0.150.100.240.210.12
Net GEX2.6M835.5K3.9M2.7M3.2M
Net DEX-6.0M-34.1M34.4M-855.8K-15.8M
Net VEX-603.5K-647.5K-519.1K-564.0K-605.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.482.680.760.94
Total Volume5,038.5711,7028,3395,9333,954
Total OI110,208.42991,801121,079114,101104,884

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$35.50$36.0018.6%5.3%19.6%27.0%18.4%2.7%4.3%2.7M-855.8K-564.0K0.7621.31N/AN/A3,3652,56871,62342,478
2015-04-02$35.46$35.0017.9%6.5%19.6%52.1%22.7%3.9%-1.2%2.6M4.6M-645.9K1.3017.46N/AN/A1,6552,15073,07142,893
2015-04-06$35.40$35.0019.3%6.6%18.2%54.8%22.5%4.7%-1.9%2.2M8.3M-625.0K1.1120.91N/AN/A1,7841,97873,17842,991
2015-04-07$35.42$35.0018.4%6.6%18.1%54.6%22.6%3.5%-1.3%1.9M5.0M-618.4K0.8421.33N/AN/A2,1621,81973,33243,230
2015-04-08$35.50$35.0023.0%6.6%18.1%54.3%21.5%4.1%-1.3%2.3M7.1M-626.2K1.5021.94N/AN/A6821,02073,53843,227
2015-04-09$35.87$35.0022.2%6.4%18.4%49.0%24.0%4.1%-1.7%3.4M-5.8M-603.6K1.3318.57N/AN/A2,1682,88973,71842,603
2015-04-10$35.81$35.0021.3%6.1%18.4%43.9%22.4%4.3%-0.9%2.9M-3.2M-595.1K1.5321.93N/AN/A1,8132,77974,50042,958
2015-04-13$35.58$35.0022.1%6.4%16.4%49.0%24.4%3.7%-1.8%2.0M2.7M-583.4K1.6920.52N/AN/A1,5282,58974,60443,045
2015-04-14$35.67$35.0022.3%6.4%16.4%49.8%24.5%4.9%-2.4%1.7M3.1M-568.5K1.6417.22N/AN/A1,9773,23974,63743,080
2015-04-15$36.17$35.0022.9%6.6%15.9%53.7%22.6%3.7%-3.1%3.5M-14.2M-603.3K1.2620.24N/AN/A2,9173,68274,88343,304
2015-04-16$35.23$35.0023.9%6.8%18.7%59.7%23.8%4.1%-2.9%835.5K18.8M-576.0K2.4715.52N/AN/A1,6924,17375,43944,176
2015-04-17$34.63$35.0023.4%6.7%19.5%56.5%24.8%4.1%-1.9%1.2M34.4M-556.3K2.6816.76N/AN/A1,5874,25875,58845,491
2015-04-20$35.23$35.0024.1%6.9%20.0%60.8%23.2%3.4%-1.8%1.5M6.0M-519.1K0.4816.38N/AN/A4,8672,35254,11537,686
2015-04-21$36.32$35.0024.1%6.9%22.8%60.7%22.9%3.6%-2.7%2.9M-20.8M-589.3K0.4918.74N/AN/A5,6142,72557,92337,800
2015-04-22$36.28$35.0023.6%6.8%22.7%58.0%23.6%3.7%-2.0%3.1M-19.6M-644.9K0.5311.95N/AN/A3,1831,68461,07438,559
2015-04-23$36.67$35.0023.3%6.7%22.0%55.8%22.9%4.0%-2.7%3.5M-29.8M-629.8K0.6718.14N/AN/A3,7852,55061,45738,822
2015-04-24$36.42$35.0024.1%6.9%22.2%60.8%23.2%3.0%-2.3%3.5M-25.6M-626.7K0.7921.02N/AN/A2,6852,12763,12739,609
2015-04-27$36.25$35.0025.5%7.3%21.5%69.7%25.3%4.2%-3.3%3.4M-22.0M-620.7K0.7719.90N/AN/A2,5892,00663,42740,041
2015-04-28$36.77$35.0024.2%6.9%21.8%61.5%25.0%4.0%-2.9%3.9M-34.1M-647.5K0.7417.67N/AN/A2,8132,08963,99339,834
2015-04-29$36.29$35.0026.6%7.6%22.0%76.5%26.7%4.3%-4.6%3.5M-23.9M-625.0K1.0427.83N/AN/A2,1142,19964,50839,931
2015-04-30$35.94$35.0027.0%7.7%20.7%79.0%27.5%4.1%-4.5%3.2M-15.8M-605.6K0.9415.20N/AN/A2,0331,92164,64940,235