CTL Options History — May 2015

In May 2015, CTL traded between $33.29 and $36.14. ATM implied volatility averaged 20.7%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 2.7% (HV 20d: 23.4%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-05-26: Highest Volume — 11,446 contracts
  • 2015-05-06: Largest IV drop — 27.6% change
  • 2015-05-01: Highest IV Rank — 86.7%
  • 2015-05-01: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.50$33.29$36.14$36.14$33.29
Max Pain$34.55$34.00$35.00$35.00$34.00
ATM IV20.7%16.8%34.0%28.3%17.7%
Expected Move5.6%4.8%8.1%8.1%5.1%
HV 20d23.4%20.7%27.2%20.7%22.2%
HV 60d22.4%20.7%23.7%23.7%20.7%
IV Rank33.4%16.2%86.7%86.7%21.7%
IV Percentile47.1%21.4%99.2%99.2%32.9%
Term Structure-0.7%-5.6%1.6%-5.6%0.7%
VWIV20.2%17.3%28.8%28.8%17.3%
Skew 25d4.3%2.9%5.0%4.4%2.9%
Skew 10d9.3%4.2%14.4%6.5%5.4%
Call IV 25d17.8%15.2%26.3%26.3%16.4%
Put IV 25d22.1%19.2%30.7%30.7%19.3%
Bid-Ask Spread %20.1516.0525.0818.7020.11
Gamma HHI0.110.100.170.120.10
Net GEX381.5K-902.7K3.4M3.4M-902.7K
Net DEX26.5M-20.2M42.8M-19.7M42.8M
Net VEX-523.1K-609.9K-452.4K-609.9K-545.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.213.701.200.77
Total Volume5,054.380711,4469,0202,956
Total OI113,863.9104,868122,289104,868122,289

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$36.14$35.0028.3%8.1%20.7%86.7%28.8%4.4%-5.6%3.4M-19.7M-609.9K1.2018.70N/AN/A4,1014,91964,81340,055
2015-05-04$36.02$35.0031.5%6.6%20.8%55.3%23.7%4.9%-2.5%3.3M-20.2M-606.0K0.6422.79N/AN/A49331466,45042,692
2015-05-05$35.54$35.0034.0%6.6%21.4%54.4%25.2%4.8%-1.6%2.7M-7.3M-579.0K1.9725.08N/AN/A2,2974,52766,83842,820
2015-05-06$34.22$35.0024.6%6.2%25.2%46.4%23.0%5.0%-1.5%108.8K35.8M-509.9K0.5821.93N/AN/A4,2062,45667,01446,218
2015-05-07$34.62$35.0019.8%5.8%25.3%36.7%19.9%4.4%-1.0%90.4K33.4M-562.6K0.8422.36N/AN/A4,1323,47967,82646,654
2015-05-08$34.95$35.0017.3%5.5%25.6%31.2%18.8%4.5%-0.2%444.6K25.9M-532.9K0.5319.88N/AN/A57030068,62047,155
2015-05-11$34.40$35.0021.6%5.9%26.1%39.0%19.3%4.3%-1.3%-99.5K38.1M-488.3K0.3820.14N/AN/A1,34751468,80247,224
2015-05-12$35.03$35.0020.7%5.5%27.0%31.0%20.4%4.6%-0.5%440.7K24.6M-525.2K0.8019.64N/AN/A2,1461,72668,85747,451
2015-05-13$34.34$35.0020.0%5.7%27.2%35.8%20.2%4.2%-1.1%-228.2K39.7M-483.6K0.3822.06N/AN/A4,7521,78969,38047,666
2015-05-14$34.34$35.0019.4%5.6%25.7%32.2%19.7%4.5%-0.8%-618.6K39.6M-481.3K1.0319.23N/AN/A1,5671,62170,80447,826
2015-05-15$34.50$35.0018.8%5.4%25.1%28.3%18.6%3.7%-0.7%956.5K33.7M-491.9K3.3918.05N/AN/A1,9966,77070,95447,189
2015-05-18$34.40$34.0018.5%5.3%24.3%26.3%17.3%3.7%-1.4%98.7K26.1M-491.9K0.2118.78N/AN/A1,84639162,05644,034
2015-05-19$33.96$34.0018.2%5.2%21.5%24.6%19.3%4.1%-1.0%-78.5K33.0M-472.3K1.1317.88N/AN/A1,9162,15863,42544,299
2015-05-20$34.37$34.0018.5%5.3%22.2%26.4%20.0%4.1%-1.1%49.1K28.1M-539.2K0.5922.84N/AN/A3,3441,98564,47745,712
2015-05-21$34.26$34.0017.1%4.9%21.6%18.0%18.3%4.0%0.3%-19.8K27.1M-496.5K0.9318.87N/AN/A2,5552,38865,61746,157
2015-05-22$33.92$34.0017.0%4.9%21.7%17.4%18.0%4.0%0.7%-202.4K33.0M-477.8K0.8017.16N/AN/A2,4851,99266,25546,071
2015-05-26$33.62$34.0017.9%5.1%21.8%22.8%19.7%4.4%0.5%-496.5K39.0M-452.4K3.7016.05N/AN/A2,4369,01066,57046,252
2015-05-27$33.94$34.0016.9%4.8%21.3%16.7%18.6%4.9%1.4%-616.2K39.2M-554.2K2.3821.54N/AN/A1,6323,89066,93352,784
2015-05-28$34.06$34.0016.8%4.8%21.2%16.2%17.8%4.6%1.6%-641.1K38.5M-562.6K0.6519.86N/AN/A2,4781,60267,13953,900
2015-05-29$33.29$34.0017.7%5.1%22.2%21.7%17.3%2.9%0.7%-902.7K42.8M-545.5K0.7720.11N/AN/A1,6701,28668,27654,013