CTL Options History — July 2015 In July 2015, CTL traded between $28.02 and $30.93. ATM implied volatility averaged 27.1%, placing in the 79.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.9% (HV 20d: 26.1%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.43.
Notable Days 2015-07-27 : Highest Volume — 23,691 contracts2015-07-06 : Largest IV spike — 23.6% change2015-07-27 : Highest IV Rank — 100.0%2015-07-30 : Largest Expected Move — 9.2%Monthly Statistics Metric Avg Min Max Open Close Price $29.36 $28.02 $30.93 $29.58 $28.62 Max Pain $32.27 $32.00 $33.00 $33.00 $32.00 ATM IV 27.1% 22.4% 32.1% 24.1% 29.8% Expected Move 7.9% 6.4% 9.2% 6.9% 8.5% HV 20d 26.1% 23.0% 30.6% 25.4% 23.8% HV 60d 22.8% 22.0% 23.3% 22.9% 22.4% IV Rank 79.3% 49.1% 100.0% 59.5% 86.4% IV Percentile 91.8% 67.1% 100.0% 82.9% 97.6% Term Structure -1.3% -3.2% 4.0% 3.5% -2.6% VWIV 27.2% 22.6% 31.6% 25.9% 29.9% Skew 25d 5.3% 3.6% 6.5% 3.6% 4.7% Skew 10d 10.6% 3.9% 14.8% 3.9% 9.5% Call IV 25d 25.7% 21.7% 30.0% 24.2% 29.1% Put IV 25d 31.0% 26.7% 36.1% 27.8% 33.8% Bid-Ask Spread % 20.51 14.64 38.74 38.74 23.01 Gamma HHI 0.18 0.11 0.33 0.19 0.11 Net GEX -2.7M -5.5M -508.5K -4.8M -698.7K Net DEX 111.8M 57.8M 145.9M 140.2M 85.3M Net VEX -670.5K -861.4K -595.9K -610.7K -861.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.43 0.19 10.89 1.29 1.14 Total Volume 7,005.227 3,429 23,691 4,332 5,193 Total OI 166,153.545 128,192 195,860 175,052 165,380
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 2015-07-01 $29.58 $33.00 24.1% 6.9% 25.4% 59.5% 25.9% 3.6% 3.5% -4.8M 140.2M -610.7K 1.29 38.74 N/A N/A 1,889 2,443 87,305 87,747 2015-07-02 $29.62 $33.00 22.4% 6.4% 25.5% 49.1% 22.6% 5.0% 4.0% -4.8M 141.2M -619.6K 1.51 15.57 N/A N/A 1,781 2,681 87,942 87,938 2015-07-06 $29.43 $33.00 27.7% 8.1% 25.1% 86.7% 27.6% 5.3% -2.4% -5.1M 145.9M -595.9K 1.10 14.64 N/A N/A 1,953 2,147 88,411 88,620 2015-07-07 $29.88 $33.00 25.2% 7.8% 26.0% 80.5% 27.6% 4.8% -2.0% -4.8M 136.8M -621.2K 0.38 19.59 N/A N/A 5,156 1,968 88,757 89,325 2015-07-08 $29.50 $33.00 30.8% 8.4% 26.2% 92.0% 27.4% 5.5% -2.6% -4.4M 141.4M -618.5K 3.31 18.30 N/A N/A 1,986 6,564 91,463 89,817 2015-07-09 $29.55 $33.00 25.5% 7.9% 25.9% 81.5% 26.4% 6.5% -2.5% -4.7M 143.7M -650.3K 0.72 18.01 N/A N/A 3,178 2,284 91,873 92,514 2015-07-10 $29.77 $32.00 22.8% 7.7% 25.4% 76.7% 25.2% 5.6% -2.2% -4.7M 139.1M -690.9K 0.56 15.99 N/A N/A 4,635 2,600 93,454 95,447 2015-07-13 $30.02 $32.00 24.9% 7.6% 25.8% 74.9% 26.6% 5.3% -1.5% -4.0M 130.9M -684.3K 1.07 18.57 N/A N/A 2,017 2,152 96,467 96,167 2015-07-14 $29.97 $32.00 24.1% 7.2% 25.8% 66.9% 27.1% 4.8% -1.2% -4.1M 131.5M -680.6K 0.86 18.95 N/A N/A 1,845 1,584 96,849 96,481 2015-07-15 $29.63 $32.00 25.1% 7.2% 26.0% 65.8% 25.1% 6.1% -1.2% -5.5M 145.5M -643.7K 0.56 18.53 N/A N/A 2,789 1,568 97,042 96,526 2015-07-16 $30.51 $32.00 23.4% 6.7% 28.6% 55.3% 23.8% 4.2% -1.1% -1.9M 111.6M -705.6K 0.65 20.64 N/A N/A 3,020 1,951 98,558 96,976 2015-07-17 $30.93 $32.00 24.1% 6.9% 29.0% 59.8% 25.6% 4.9% -1.2% -508.5K 95.8M -724.4K 1.49 23.97 N/A N/A 2,942 4,375 98,689 97,171 2015-07-20 $30.49 $32.00 26.0% 7.4% 29.1% 71.4% 25.5% 5.1% 0.1% -623.2K 57.8M -703.8K 0.59 21.79 N/A N/A 3,050 1,804 66,285 61,907 2015-07-21 $29.67 $32.00 25.7% 7.4% 30.3% 69.7% 26.1% 5.4% -0.3% -821.3K 70.1M -657.3K 0.71 17.20 N/A N/A 3,846 2,713 67,927 62,233 2015-07-22 $29.16 $32.00 27.7% 7.9% 30.6% 82.6% 25.9% 6.1% -1.3% -914.1K 77.8M -637.3K 0.37 22.17 N/A N/A 4,263 1,581 69,168 62,597 2015-07-23 $28.93 $32.00 28.4% 8.1% 30.1% 86.7% 31.6% 5.9% -1.5% -831.2K 79.8M -630.1K 1.71 20.38 N/A N/A 2,172 3,717 71,383 62,825 2015-07-24 $28.02 $32.00 30.3% 8.7% 23.7% 98.9% 28.1% 5.5% -1.7% -1.1M 90.7M -604.2K 0.94 25.04 N/A N/A 2,810 2,655 71,930 64,388 2015-07-27 $28.10 $32.00 31.9% 9.2% 23.7% 100.0% 29.9% 6.1% -2.5% -1.1M 91.3M -611.5K 10.89 17.75 N/A N/A 1,992 21,699 72,857 65,309 2015-07-28 $28.20 $32.00 32.0% 9.2% 23.2% 100.0% 29.7% 5.8% -3.2% -1.4M 99.6M -738.1K 0.55 21.17 N/A N/A 4,847 2,684 73,528 77,207 2015-07-29 $28.14 $32.00 31.9% 9.2% 23.2% 99.4% 30.5% 5.9% -2.8% -1.3M 101.9M -722.2K 0.83 25.05 N/A N/A 2,938 2,434 75,449 77,914 2015-07-30 $28.19 $32.00 32.1% 9.2% 23.0% 100.0% 29.9% 5.1% -3.2% -1.3M 101.5M -740.1K 0.19 16.06 N/A N/A 15,350 2,859 76,757 78,795 2015-07-31 $28.62 $32.00 29.8% 8.5% 23.8% 86.4% 29.9% 4.7% -2.6% -698.7K 85.3M -861.4K 1.14 23.01 N/A N/A 2,429 2,764 86,118 79,262
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