CTL Options History — November 2015

In November 2015, CTL traded between $26.93 and $28.81. ATM implied volatility averaged 26.7%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 2.0% (HV 20d: 24.6%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2015-11-19: Highest Volume — 24,451 contracts
  • 2015-11-05: Largest IV drop — 22.5% change
  • 2015-11-04: Highest IV Rank — 59.0%
  • 2015-11-04: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.01$26.93$28.81$28.38$26.93
Max Pain$27.30$27.00$28.00$27.00$28.00
ATM IV26.7%23.6%34.6%33.6%25.0%
Expected Move7.6%6.8%9.9%9.6%7.2%
HV 20d24.6%21.9%28.7%23.9%26.3%
HV 60d29.0%26.4%30.5%30.5%26.4%
IV Rank34.9%26.8%59.0%56.0%29.2%
IV Percentile63.4%50.0%92.1%88.5%56.0%
Term Structure0.2%-5.5%2.4%-5.1%0.5%
VWIV27.2%23.8%34.4%33.4%25.8%
Skew 25d6.8%4.9%9.2%8.3%4.9%
Skew 10d17.9%8.5%28.3%22.8%18.3%
Call IV 25d24.2%21.7%31.2%28.2%24.2%
Put IV 25d31.0%28.0%38.3%36.5%29.2%
Bid-Ask Spread %34.1818.4070.1826.1318.42
Gamma HHI0.120.100.150.100.12
Net GEX584.6K-805.4K2.1M590.1K-805.4K
Net DEX52.2M30.1M82.5M39.7M82.5M
Net VEX-1.0M-1.1M-872.5K-1.1M-921.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.172.450.672.45
Total Volume6,386.91,50624,4516,6773,133
Total OI205,731187,979216,783204,091191,972

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$28.38$27.0033.6%9.6%23.9%56.0%33.4%8.3%-5.1%590.1K39.7M-1.1M0.6726.13N/AN/A4,0012,67688,471115,620
2015-11-03$28.52$27.0032.5%9.3%23.8%52.8%34.4%5.8%-2.6%756.6K38.5M-1.1M0.8518.81N/AN/A4,8044,06288,811116,100
2015-11-04$27.99$27.0034.6%9.9%24.9%59.0%34.4%7.1%-5.5%402.2K46.2M-1.1M0.9127.31N/AN/A3,5103,18090,060117,429
2015-11-05$28.67$27.0026.8%7.1%25.4%29.8%24.2%9.2%1.4%1.0M33.1M-1.1M0.9370.18N/AN/A3,2893,04390,198118,107
2015-11-06$28.57$27.0023.6%7.5%21.9%34.0%23.8%7.6%0.5%1.2M41.4M-1.0M0.8369.06N/AN/A98882291,662118,942
2015-11-09$28.81$27.0026.5%7.1%22.0%30.0%26.2%7.9%0.4%1.5M30.1M-1.1M2.3447.35N/AN/A4511,05592,198119,157
2015-11-10$28.57$27.0026.6%7.1%22.3%29.6%27.1%7.2%0.9%1.4M35.2M-1.0M1.6847.31N/AN/A1,4942,50492,243119,544
2015-11-11$28.78$27.0023.8%6.8%22.0%26.8%26.1%8.2%1.5%1.8M32.7M-1.0M1.6336.18N/AN/A1,4862,42292,367119,746
2015-11-12$28.02$27.0025.6%7.3%22.3%32.2%25.5%7.2%0.7%779.8K52.9M-1.0M1.7437.79N/AN/A1,7182,99492,146119,982
2015-11-13$27.70$27.0026.2%7.5%22.5%34.2%29.6%7.1%1.4%376.5K60.0M-998.9K1.3838.64N/AN/A1,6692,30192,476120,355
2015-11-16$28.48$27.0026.3%7.5%24.3%34.4%26.6%6.9%-0.9%2.1M33.0M-872.5K0.7037.94N/AN/A1,07876092,658120,387
2015-11-17$28.13$27.0025.8%7.4%24.8%33.0%28.0%6.6%1.5%1.2M50.0M-1.0M0.5134.12N/AN/A8,3034,22492,490119,882
2015-11-18$28.48$27.0025.3%7.3%25.1%31.3%26.0%7.4%1.4%1.1M42.6M-1.0M1.0436.24N/AN/A2,8102,93293,329121,642
2015-11-19$28.44$27.0024.1%6.9%23.5%27.9%28.1%7.2%2.3%1.7M42.3M-1.1M0.1734.46N/AN/A20,8233,62894,319122,464
2015-11-20$27.17$28.0026.5%7.6%28.7%35.0%25.1%5.1%0.9%-624.2K71.8M-952.0K0.4025.00N/AN/A9,9123,93184,837123,813
2015-11-23$27.31$28.0025.7%7.4%28.4%32.4%24.6%6.1%1.0%-683.3K78.0M-944.8K0.8118.40N/AN/A1,3261,07576,054111,925
2015-11-24$27.23$28.0025.8%7.4%27.1%32.9%23.8%5.8%-0.1%-698.8K77.3M-951.4K0.2318.94N/AN/A2,66461376,750112,455
2015-11-25$27.00$28.0024.0%6.9%26.4%27.6%25.2%5.3%2.4%-691.2K79.4M-936.3K1.2618.53N/AN/A2,7573,48779,169112,420
2015-11-27$27.06$28.0024.5%7.0%26.5%29.1%25.6%5.7%1.3%-625.8K78.0M-955.3K1.4222.90N/AN/A2,4033,41079,711112,729
2015-11-30$26.93$28.0025.0%7.2%26.3%29.2%25.8%4.9%0.5%-805.4K82.5M-921.9K2.4518.42N/AN/A9072,22679,333112,639