CTL Options History — September 2015

In September 2015, CTL traded between $24.61 and $26.96. ATM implied volatility averaged 33.7%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 0.8% (HV 20d: 34.5%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 3.14.

Notable Days

  • 2015-09-28: Highest Volume — 45,817 contracts
  • 2015-09-04: Largest IV spike — 12.7% change
  • 2015-09-01: Highest IV Rank — 73.6%
  • 2015-09-01: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.92$24.61$26.96$25.89$25.13
Max Pain$28.43$28.00$29.00$28.00$28.00
ATM IV33.7%30.6%39.5%39.5%33.9%
Expected Move9.7%8.8%11.3%11.3%9.7%
HV 20d34.5%27.3%38.4%35.2%27.3%
HV 60d29.4%28.0%30.6%28.3%28.8%
IV Rank56.6%47.0%73.6%73.6%56.8%
IV Percentile93.7%89.3%97.6%97.6%93.3%
Term Structure0.7%-3.0%4.2%-0.5%3.3%
VWIV33.4%24.3%47.9%40.0%43.6%
Skew 25d8.9%6.9%12.5%8.9%10.1%
Skew 10d17.9%7.0%38.6%12.5%14.0%
Call IV 25d30.9%28.1%37.6%37.6%30.5%
Put IV 25d39.7%35.6%46.5%46.5%40.6%
Bid-Ask Spread %27.5516.7174.8674.8623.78
Gamma HHI0.160.110.260.120.23
Net GEX-1.5M-2.4M-686.0K-1.3M-2.3M
Net DEX115.6M85.5M153.6M116.7M136.1M
Net VEX-873.4K-1.2M-793.2K-793.2K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.5116.320.708.45
Total Volume13,493.6192,16245,8179,41626,045
Total OI192,586.81177,869231,120177,869220,116

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$25.89$28.0039.5%11.3%35.2%73.6%40.0%8.9%-0.5%-1.3M116.7M-793.2K0.7074.86N/AN/A5,5253,89188,74389,126
2015-09-02$26.93$28.0036.4%10.4%38.4%64.4%47.9%12.5%0.1%-1.2M106.6M-835.5K0.6065.11N/AN/A5,3493,18389,97089,229
2015-09-03$26.79$29.0032.3%9.7%38.0%56.7%30.7%8.6%-0.9%-1.0M97.8M-878.0K0.5121.69N/AN/A5,5152,82691,94389,739
2015-09-04$26.25$29.0036.4%10.7%38.3%67.2%36.5%9.2%-3.0%-889.4K101.4M-850.7K1.3317.26N/AN/A2,6853,56393,70389,810
2015-09-08$26.96$29.0032.9%9.5%36.9%54.5%29.5%8.9%-0.5%-866.9K94.3M-862.6K1.4022.52N/AN/A9001,26292,97389,872
2015-09-09$26.93$29.0034.3%9.8%36.5%58.0%30.5%7.7%-1.1%-686.0K85.5M-881.5K1.4020.76N/AN/A3,2834,58693,63589,744
2015-09-10$26.75$29.0033.7%9.6%36.3%56.2%30.8%8.4%-0.6%-769.9K92.4M-880.5K3.4021.36N/AN/A3,73112,67595,85890,974
2015-09-11$26.24$29.0035.1%10.1%36.3%60.6%31.2%7.9%-1.1%-1.1M103.1M-843.2K1.3123.24N/AN/A3,5374,62695,86290,755
2015-09-14$26.06$29.0034.5%9.9%36.0%58.7%32.2%9.1%-0.3%-1.2M111.0M-815.4K0.9123.40N/AN/A3,9133,57595,90291,184
2015-09-15$26.47$29.0033.5%9.6%36.5%55.6%35.1%8.0%-0.8%-1.3M106.8M-830.6K4.1728.86N/AN/A1,0574,41295,41591,282
2015-09-16$26.13$29.0032.2%9.2%36.6%51.9%34.3%8.4%0.6%-1.6M114.7M-819.2K3.3226.67N/AN/A4,20413,94596,10695,019
2015-09-17$26.01$28.0031.2%8.9%36.3%48.9%30.9%7.4%1.1%-1.4M120.2M-831.9K1.4130.25N/AN/A5,6938,00995,918101,648
2015-09-18$25.65$28.0030.6%8.8%35.9%47.0%32.8%6.9%1.4%-1.3M131.3M-828.3K2.1028.50N/AN/A5,38111,28797,794103,798
2015-09-21$25.87$28.0030.8%8.8%35.6%47.8%29.8%7.5%2.4%-1.7M116.1M-858.1K2.3721.05N/AN/A3,5558,42788,66398,040
2015-09-22$25.42$28.0032.7%9.4%33.2%53.3%31.8%8.3%2.0%-1.9M121.6M-853.2K2.4516.71N/AN/A2,8526,99189,804100,254
2015-09-23$25.15$28.0033.1%9.5%32.2%54.6%31.8%7.6%0.9%-2.0M126.5M-860.7K1.8919.62N/AN/A4,1167,78989,955102,318
2015-09-24$25.07$28.0032.6%9.3%29.4%53.0%32.6%7.5%4.2%-2.0M131.2M-858.3K1.9220.57N/AN/A3,4926,71791,437104,040
2015-09-25$25.35$28.0032.2%9.2%29.3%51.9%29.3%10.2%3.5%-2.0M123.0M-899.3K4.0624.34N/AN/A3,20913,02691,667104,421
2015-09-28$24.61$28.0035.3%10.1%30.3%60.9%24.3%10.2%2.2%-2.1M137.1M-869.4K16.3224.53N/AN/A2,64643,17193,096113,390
2015-09-29$24.65$28.0034.1%9.8%30.2%57.4%34.6%12.3%1.3%-2.4M153.6M-1.2M5.9723.39N/AN/A3,25919,45893,482137,638
2015-09-30$25.13$28.0033.9%9.7%27.3%56.8%43.6%10.1%3.3%-2.3M136.1M-1.0M8.4523.78N/AN/A2,75723,28894,276125,840