CTL Options History — October 2015 In October 2015, CTL traded between $24.59 and $28.32. ATM implied volatility averaged 32.0%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 4.1% (HV 20d: 27.9%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 2.13.
Notable Days 2015-10-26 : Highest Volume — 21,406 contracts2015-10-12 : Largest IV spike — 26.8% change2015-10-07 : Highest IV Rank — 66.0%2015-10-07 : Largest Expected Move — 10.6%Monthly Statistics Metric Avg Min Max Open Close Price $26.72 $24.59 $28.32 $24.68 $28.26 Max Pain $26.00 $25.00 $28.00 $28.00 $27.00 ATM IV 32.0% 29.3% 37.1% 33.5% 31.3% Expected Move 9.5% 8.5% 10.6% 9.6% 9.0% HV 20d 27.9% 23.2% 30.4% 23.2% 27.2% HV 60d 30.3% 28.8% 30.8% 28.9% 30.6% IV Rank 54.2% 44.2% 66.0% 55.6% 49.2% IV Percentile 87.6% 77.0% 96.8% 91.7% 80.6% Term Structure -1.8% -4.9% 3.5% 3.5% -2.3% VWIV 35.4% 26.4% 49.7% 39.2% 32.8% Skew 25d 8.6% 5.9% 11.1% 10.8% 7.3% Skew 10d 22.0% 10.3% 39.9% 12.7% 19.3% Call IV 25d 29.8% 26.5% 33.3% 30.6% 27.6% Put IV 25d 38.3% 33.3% 42.9% 41.4% 34.9% Bid-Ask Spread % 36.25 22.85 52.14 23.80 28.12 Gamma HHI 0.14 0.09 0.23 0.21 0.10 Net GEX -1.3M -2.7M 362.6K -2.3M 362.6K Net DEX 93.9M 47.1M 149.1M 138.1M 47.1M Net VEX -1.1M -1.1M -996.1K -996.1K -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.13 0.70 4.52 3.69 0.97 Total Volume 8,505.227 3,829 21,406 13,447 7,983 Total OI 218,911.909 194,626 237,899 226,565 202,004
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 2015-10-01 $24.68 $28.00 33.5% 9.6% 23.2% 55.6% 39.2% 10.8% 3.5% -2.3M 138.1M -996.1K 3.69 23.80 N/A N/A 2,867 10,580 95,034 131,531 2015-10-02 $24.59 $28.00 34.2% 9.8% 23.2% 57.8% 34.8% 8.0% 2.0% -2.7M 149.1M -1.1M 3.39 22.85 N/A N/A 2,722 9,223 95,975 135,590 2015-10-05 $25.64 $25.00 32.2% 10.1% 27.6% 60.4% 34.4% 10.9% -0.6% -2.5M 131.0M -1.1M 1.15 52.14 N/A N/A 1,780 2,049 96,108 136,084 2015-10-06 $25.61 $25.00 30.9% 10.1% 25.6% 60.5% 40.3% 8.5% -1.8% -2.5M 127.5M -1.1M 2.61 31.33 N/A N/A 2,862 7,460 96,670 135,883 2015-10-07 $26.03 $25.00 31.3% 10.6% 26.4% 66.0% 43.9% 8.7% -3.4% -2.2M 120.3M -1.1M 2.62 38.22 N/A N/A 2,686 7,034 97,600 135,948 2015-10-08 $26.52 $25.00 31.6% 9.9% 27.3% 59.0% 40.6% 9.2% -3.5% -1.8M 110.3M -1.1M 2.84 42.41 N/A N/A 2,464 7,005 97,737 136,118 2015-10-09 $25.70 $25.00 29.3% 9.9% 28.7% 58.5% 39.0% 7.5% 0.4% -2.6M 122.2M -1.1M 3.92 43.87 N/A N/A 1,599 6,275 98,294 136,531 2015-10-12 $25.84 $25.00 37.1% 10.4% 28.7% 63.6% 49.7% 10.4% -4.4% -2.7M 126.0M -1.1M 4.52 34.43 N/A N/A 1,348 6,094 98,454 136,849 2015-10-13 $25.76 $25.00 34.7% 10.3% 28.1% 63.4% 43.2% 9.6% -3.5% -2.7M 123.5M -1.1M 2.03 43.35 N/A N/A 3,055 6,199 98,602 137,099 2015-10-14 $26.15 $25.00 36.9% 10.6% 28.3% 65.8% 44.0% 11.0% -4.9% -2.0M 113.3M -1.1M 1.89 50.09 N/A N/A 2,959 5,594 97,908 137,877 2015-10-15 $27.00 $25.00 31.5% 9.0% 30.4% 49.7% 32.9% 11.1% -1.0% -640.9K 97.5M -1.1M 1.47 40.98 N/A N/A 3,354 4,941 98,126 138,164 2015-10-16 $26.77 $26.00 30.3% 8.7% 30.1% 46.4% 30.2% 8.3% 0.4% -1.0M 97.8M -1.1M 1.04 43.37 N/A N/A 4,652 4,835 99,352 138,547 2015-10-19 $26.91 $26.00 30.7% 8.8% 30.0% 47.3% 31.9% 7.3% -1.3% -831.4K 82.1M -1.1M 1.70 38.79 N/A N/A 3,035 5,164 75,700 118,926 2015-10-20 $27.13 $26.00 30.8% 8.8% 29.2% 47.6% 28.9% 5.9% -0.6% -825.6K 77.0M -1.1M 1.68 26.72 N/A N/A 2,176 3,647 77,447 120,404 2015-10-21 $27.17 $26.00 31.4% 9.0% 28.8% 49.3% 26.4% 9.0% -2.6% -672.8K 74.9M -1.1M 1.50 33.43 N/A N/A 3,000 4,513 79,574 120,925 2015-10-22 $27.89 $26.00 30.5% 8.7% 29.7% 46.8% 28.7% 8.6% -1.3% -250.5K 63.6M -1.1M 1.25 42.90 N/A N/A 2,852 3,570 81,685 121,389 2015-10-23 $28.01 $26.00 29.6% 8.5% 29.6% 44.2% 30.6% 6.8% -1.8% -105.3K 56.6M -1.1M 1.50 29.62 N/A N/A 1,849 2,774 83,414 121,516 2015-10-26 $28.32 $27.00 32.0% 9.2% 26.7% 51.3% 31.3% 7.3% -3.4% 109.5K 49.1M -1.1M 4.42 35.75 N/A N/A 3,947 17,459 84,134 122,001 2015-10-27 $27.64 $27.00 31.5% 9.0% 28.9% 49.8% 32.0% 7.4% -3.0% -1.1K 57.0M -1.0M 0.98 24.00 N/A N/A 2,396 2,338 85,426 114,630 2015-10-28 $28.11 $27.00 31.9% 9.1% 28.7% 50.9% 32.3% 8.5% -3.6% 156.3K 50.8M -1.0M 0.93 46.33 N/A N/A 2,551 2,374 84,859 114,872 2015-10-29 $28.06 $27.00 31.6% 9.1% 27.5% 50.2% 32.1% 6.4% -2.9% 255.8K 50.3M -1.0M 0.70 25.03 N/A N/A 3,444 2,406 85,868 115,207 2015-10-30 $28.26 $27.00 31.3% 9.0% 27.2% 49.2% 32.8% 7.3% -2.3% 362.6K 47.1M -1.0M 0.97 28.12 N/A N/A 4,059 3,924 86,610 115,394
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