CTL Options History — August 2015

In August 2015, CTL traded between $25.44 and $28.90. ATM implied volatility averaged 35.3%, placing in the 67.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 8.0% (HV 20d: 27.3%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 2.77.

Notable Days

2015-08-05: Highest Volume — 35,953 contracts
2015-08-24: Largest IV spike — 32.5% change
2015-08-04: Highest IV Rank — 100.0%
2015-08-25: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.70	$25.44	$28.90	$28.90	$27.08
Max Pain	$28.57	$28.00	$32.00	$32.00	$28.00
ATM IV	35.3%	28.3%	48.4%	31.6%	34.4%
Expected Move	10.0%	7.7%	13.9%	9.1%	9.9%
HV 20d	27.3%	23.7%	32.6%	24.1%	32.2%
HV 60d	24.2%	21.9%	27.1%	22.4%	27.0%
IV Rank	67.3%	41.3%	100.0%	96.9%	58.4%
IV Percentile	97.1%	90.5%	100.0%	98.4%	96.8%
Term Structure	-3.2%	-10.2%	0.4%	-4.5%	-0.3%
VWIV	38.3%	29.6%	51.8%	30.8%	34.8%
Skew 25d	9.4%	5.5%	18.5%	6.9%	10.7%
Skew 10d	20.5%	12.3%	36.9%	16.3%	27.3%
Call IV 25d	30.9%	24.2%	43.7%	28.7%	31.3%
Put IV 25d	40.3%	32.6%	61.3%	35.5%	41.9%
Bid-Ask Spread %	41.38	19.23	79.55	19.23	72.01
Gamma HHI	0.15	0.11	0.24	0.11	0.12
Net GEX	-2.3M	-4.7M	-508.6K	-508.6K	-1.4M
Net DEX	106.2M	80.7M	124.2M	80.7M	104.5M
Net VEX	-888.4K	-966.5K	-778.6K	-867.3K	-837.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.77	0.49	10.24	7.23	1.33
Total Volume	10,425.81	3,153	35,953	4,845	7,996
Total OI	195,997.857	166,012	219,865	166,012	175,515

Daily Data (21 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
2015-08-03	$28.90	$32.00	31.6%	9.1%	24.1%	96.9%	30.8%	6.9%	-4.5%	-508.6K	80.7M	-867.3K	7.23	19.23	N/A	N/A	589	4,256	86,621	79,391
2015-08-04	$28.42	$32.00	40.4%	11.6%	23.9%	100.0%	44.6%	8.0%	-8.4%	-559.7K	84.1M	-870.5K	10.24	21.44	N/A	N/A	2,633	26,955	86,939	79,622
2015-08-05	$28.55	$32.00	44.1%	12.6%	23.7%	100.0%	51.8%	9.9%	-10.2%	-1.6M	89.3M	-936.5K	5.48	33.39	N/A	N/A	5,545	30,408	87,572	98,691
2015-08-06	$28.05	$28.00	33.0%	8.5%	24.3%	50.7%	34.0%	8.5%	-0.7%	-4.4M	121.9M	-914.4K	1.12	27.98	N/A	N/A	6,862	7,708	90,656	120,261
2015-08-07	$27.67	$28.00	32.9%	8.3%	24.3%	48.4%	30.5%	8.1%	-0.7%	-4.7M	124.2M	-928.2K	1.89	26.96	N/A	N/A	2,732	5,163	91,181	122,225
2015-08-10	$28.75	$28.00	28.3%	7.7%	28.3%	41.3%	30.1%	8.7%	-0.2%	-2.7M	93.4M	-936.8K	7.66	22.07	N/A	N/A	2,849	21,830	91,856	123,423
2015-08-11	$28.24	$28.00	33.2%	8.4%	28.8%	49.4%	29.6%	6.9%	-0.7%	-4.0M	111.9M	-960.4K	0.89	25.22	N/A	N/A	1,671	1,482	92,336	127,529
2015-08-12	$28.50	$28.00	30.3%	8.7%	29.0%	53.1%	34.5%	6.7%	-1.8%	-2.8M	108.3M	-966.5K	2.06	29.35	N/A	N/A	2,343	4,833	93,244	117,931
2015-08-13	$27.98	$28.00	29.8%	8.6%	27.0%	51.5%	35.0%	6.9%	-1.5%	-3.7M	114.2M	-932.2K	1.32	29.78	N/A	N/A	2,801	3,711	93,495	117,980
2015-08-14	$28.27	$28.00	29.4%	8.4%	26.8%	50.1%	38.4%	7.3%	-1.2%	-3.0M	105.1M	-927.6K	1.61	39.15	N/A	N/A	2,415	3,885	93,673	117,973
2015-08-17	$28.40	$28.00	29.6%	8.5%	26.7%	50.8%	30.6%	7.5%	-1.6%	-2.3M	100.0M	-914.0K	1.41	35.56	N/A	N/A	3,115	4,386	93,809	117,597
2015-08-18	$28.13	$28.00	29.7%	8.5%	25.3%	50.9%	40.6%	5.5%	-2.5%	-2.6M	102.2M	-882.0K	2.27	35.15	N/A	N/A	1,903	4,313	94,387	117,777
2015-08-19	$28.37	$28.00	29.5%	8.4%	25.0%	50.2%	31.8%	6.8%	-0.5%	-1.9M	98.5M	-913.1K	6.63	39.22	N/A	N/A	638	4,233	94,393	117,674
2015-08-20	$27.73	$28.00	31.5%	9.0%	26.0%	57.0%	42.4%	6.2%	-1.3%	-3.6M	112.6M	-896.7K	1.60	35.96	N/A	N/A	2,147	3,439	94,670	121,469
2015-08-21	$27.16	$28.00	35.8%	10.3%	24.6%	71.9%	37.4%	8.8%	-3.0%	-1.5M	119.5M	-876.8K	1.78	71.78	N/A	N/A	2,251	3,996	94,774	121,685
2015-08-24	$26.09	$28.00	47.5%	13.6%	28.1%	100.0%	48.3%	18.5%	-6.5%	-1.4M	112.2M	-817.5K	0.57	79.55	N/A	N/A	5,682	3,229	81,404	87,197
2015-08-25	$25.44	$28.00	48.4%	13.9%	28.9%	100.0%	46.5%	12.7%	-10.2%	-1.5M	118.5M	-778.6K	0.49	56.34	N/A	N/A	5,998	2,947	82,296	87,985
2015-08-26	$26.34	$28.00	47.0%	13.5%	32.2%	95.7%	42.7%	13.0%	-8.5%	-1.3M	114.0M	-823.4K	0.80	63.21	N/A	N/A	4,347	3,466	84,950	87,937
2015-08-27	$26.65	$28.00	39.8%	11.4%	32.6%	74.3%	47.9%	14.1%	-2.9%	-1.4M	111.2M	-828.9K	0.92	54.87	N/A	N/A	3,759	3,447	85,283	88,295
2015-08-28	$26.98	$28.00	36.0%	10.3%	32.4%	63.2%	42.2%	15.8%	0.4%	-1.3M	104.5M	-848.7K	0.77	50.80	N/A	N/A	3,933	3,046	85,775	88,484
2015-08-31	$27.08	$28.00	34.4%	9.9%	32.2%	58.4%	34.8%	10.7%	-0.3%	-1.4M	104.5M	-837.3K	1.33	72.01	N/A	N/A	3,437	4,559	86,985	88,530