CTL Options History — June 2015

In June 2015, CTL traded between $29.39 and $33.04. ATM implied volatility averaged 20.5%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.1% (HV 20d: 18.4%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.09.

Notable Days

2015-06-23: Highest Volume — 28,221 contracts
2015-06-29: Largest IV spike — 16.2% change
2015-06-30: Highest IV Rank — 78.0%
2015-06-30: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.98	$29.39	$33.04	$32.90	$29.39
Max Pain	$33.82	$33.00	$34.00	$34.00	$33.00
ATM IV	20.5%	17.1%	27.0%	18.3%	27.0%
Expected Move	5.9%	4.9%	7.7%	5.3%	7.7%
HV 20d	18.4%	14.3%	25.6%	22.1%	25.2%
HV 60d	20.7%	19.7%	23.3%	20.8%	22.9%
IV Rank	38.5%	17.6%	78.0%	25.6%	78.0%
IV Percentile	53.6%	19.4%	96.0%	38.5%	96.0%
Term Structure	1.5%	0.5%	3.7%	0.7%	1.4%
VWIV	20.7%	17.2%	27.3%	18.8%	27.3%
Skew 25d	3.4%	2.0%	4.2%	2.8%	3.9%
Skew 10d	6.8%	2.9%	11.2%	2.9%	4.1%
Call IV 25d	19.6%	16.8%	25.6%	17.4%	24.9%
Put IV 25d	23.0%	20.1%	29.5%	20.2%	28.8%
Bid-Ask Spread %	19.00	10.59	37.35	20.52	34.59
Gamma HHI	0.13	0.09	0.25	0.09	0.17
Net GEX	-887.0K	-3.6M	697.1K	-961.6K	-2.8M
Net DEX	64.9M	36.0M	131.5M	47.7M	130.8M
Net VEX	-587.8K	-634.5K	-547.8K	-553.0K	-588.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.14	6.00	0.24	6.00
Total Volume	8,010.409	3,785	28,221	5,743	15,221
Total OI	137,060.045	122,591	164,138	122,591	164,138

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2015-06-01	$32.90	$34.00	18.3%	5.3%	22.1%	25.6%	18.8%	2.8%	0.7%	-961.6K	47.7M	-553.0K	0.24	20.52	N/A	N/A	4,614	1,129	68,521	54,070
2015-06-02	$32.96	$34.00	18.5%	5.3%	22.2%	26.3%	18.8%	3.3%	0.8%	-582.9K	44.6M	-590.2K	0.14	20.53	N/A	N/A	4,720	658	70,760	53,154
2015-06-03	$33.04	$34.00	18.5%	5.3%	22.1%	26.6%	18.3%	2.0%	0.5%	-23.9K	36.2M	-575.7K	0.39	18.17	N/A	N/A	4,605	1,808	74,956	53,375
2015-06-04	$32.80	$34.00	20.0%	5.5%	18.1%	31.8%	20.4%	3.2%	1.5%	-95.2K	42.1M	-634.2K	0.41	17.29	N/A	N/A	5,204	2,130	76,533	53,999
2015-06-05	$32.21	$34.00	19.6%	6.0%	18.2%	41.1%	21.1%	3.4%	1.2%	-304.8K	54.7M	-603.0K	0.59	20.43	N/A	N/A	3,277	1,930	77,287	54,479
2015-06-08	$32.24	$34.00	21.4%	6.0%	17.6%	42.0%	21.1%	3.4%	1.0%	-317.6K	53.3M	-595.1K	0.59	16.89	N/A	N/A	2,597	1,544	77,620	54,879
2015-06-09	$32.05	$34.00	20.6%	6.0%	17.1%	41.2%	20.1%	3.8%	0.7%	-445.5K	60.4M	-614.0K	0.40	17.39	N/A	N/A	4,153	1,675	77,700	55,008
2015-06-10	$32.30	$34.00	20.6%	5.9%	15.7%	39.4%	19.9%	3.1%	0.8%	-206.5K	54.0M	-597.1K	0.56	10.59	N/A	N/A	3,067	1,727	78,609	55,144
2015-06-11	$32.74	$34.00	18.9%	5.4%	15.7%	29.2%	19.5%	3.7%	2.0%	-272.6K	43.7M	-588.4K	0.63	17.00	N/A	N/A	2,719	1,722	77,664	55,217
2015-06-12	$32.55	$34.00	19.3%	5.5%	15.7%	31.5%	19.8%	2.9%	1.3%	-257.1K	49.5M	-608.5K	0.49	17.95	N/A	N/A	2,921	1,421	77,738	55,431
2015-06-15	$32.37	$34.00	21.0%	6.0%	15.5%	42.0%	21.0%	3.0%	0.9%	-466.9K	55.8M	-578.4K	0.63	13.22	N/A	N/A	2,320	1,465	77,945	55,565
2015-06-16	$32.24	$34.00	20.6%	5.9%	15.5%	39.2%	20.6%	3.3%	1.1%	-391.6K	58.5M	-571.1K	0.66	11.79	N/A	N/A	2,299	1,525	78,048	55,602
2015-06-17	$32.18	$34.00	20.3%	5.8%	15.0%	37.7%	20.0%	3.3%	1.1%	-500.0K	62.2M	-584.8K	0.55	19.75	N/A	N/A	2,993	1,650	78,064	55,779
2015-06-18	$32.34	$34.00	19.2%	5.5%	14.3%	31.1%	19.9%	4.1%	1.8%	-390.2K	57.1M	-572.6K	0.76	15.69	N/A	N/A	2,267	1,719	78,696	55,793
2015-06-19	$32.57	$34.00	17.3%	5.0%	14.8%	19.2%	18.7%	3.2%	2.6%	677.2K	51.2M	-547.8K	1.14	11.02	N/A	N/A	2,367	2,691	78,858	56,157
2015-06-22	$32.53	$34.00	17.1%	4.9%	14.5%	17.6%	17.2%	3.3%	3.1%	455.6K	37.3M	-565.2K	0.64	12.35	N/A	N/A	2,636	1,693	74,858	49,605
2015-06-23	$32.54	$34.00	19.4%	5.5%	14.3%	29.7%	21.5%	3.5%	1.4%	697.1K	36.0M	-574.0K	4.20	16.57	N/A	N/A	5,426	22,795	75,688	49,797
2015-06-24	$31.91	$34.00	21.8%	6.3%	15.0%	45.3%	21.8%	3.9%	1.6%	-3.4M	72.8M	-634.5K	1.50	22.83	N/A	N/A	7,304	10,924	78,882	69,249
2015-06-25	$29.98	$33.00	22.5%	6.5%	25.6%	49.7%	19.5%	3.6%	2.8%	-3.6M	131.5M	-550.6K	1.41	25.41	N/A	N/A	8,152	11,471	82,886	74,902
2015-06-26	$30.07	$33.00	22.6%	6.5%	25.1%	50.0%	22.6%	4.2%	3.7%	-3.5M	121.3M	-611.5K	1.03	20.61	N/A	N/A	5,262	5,434	84,297	75,689
2015-06-29	$29.55	$33.00	26.2%	7.5%	25.3%	73.1%	26.6%	3.9%	1.5%	-2.9M	127.2M	-593.9K	0.99	37.35	N/A	N/A	2,514	2,480	86,449	76,230
2015-06-30	$29.39	$33.00	27.0%	7.7%	25.2%	78.0%	27.3%	3.9%	1.4%	-2.8M	130.8M	-588.0K	6.00	34.59	N/A	N/A	2,175	13,046	87,072	77,066