CTL Options History — December 2015

In December 2015, CTL traded between $24.34 and $27.13. ATM implied volatility averaged 28.2%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.5% (HV 20d: 29.7%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.70.

Notable Days

2015-12-11: Highest Volume — 12,244 contracts
2015-12-11: Largest IV spike — 23.4% change
2015-12-14: Highest IV Rank — 60.1%
2015-12-14: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.84	$24.34	$27.13	$27.03	$25.23
Max Pain	$29.45	$28.00	$30.00	$28.00	$29.00
ATM IV	28.2%	23.1%	35.5%	24.1%	27.8%
Expected Move	8.1%	6.9%	10.2%	6.9%	8.0%
HV 20d	29.7%	24.7%	33.7%	26.3%	32.6%
HV 60d	27.8%	25.7%	29.8%	26.1%	28.3%
IV Rank	37.6%	24.7%	60.1%	24.7%	34.8%
IV Percentile	68.0%	50.8%	94.0%	50.8%	65.5%
Term Structure	1.9%	-1.1%	3.5%	0.2%	3.5%
VWIV	32.4%	24.3%	43.8%	25.3%	33.1%
Skew 25d	7.0%	3.9%	9.5%	6.2%	7.5%
Skew 10d	15.4%	9.5%	25.5%	14.8%	19.5%
Call IV 25d	26.1%	21.9%	31.7%	21.9%	27.0%
Put IV 25d	33.1%	28.1%	40.4%	28.1%	34.5%
Bid-Ask Spread %	38.10	18.97	59.22	23.77	59.22
Gamma HHI	0.14	0.11	0.17	0.11	0.17
Net GEX	-1.6M	-2.3M	-597.0K	-868.8K	-2.3M
Net DEX	99.1M	76.7M	115.4M	84.4M	110.6M
Net VEX	-922.7K	-972.4K	-863.3K	-932.1K	-917.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.44	0.91	0.64	0.71
Total Volume	6,592.727	1,016	12,244	3,929	6,391
Total OI	201,067.364	193,638	206,784	193,638	203,646

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
2015-12-01	$27.03	$28.00	24.1%	6.9%	26.3%	24.7%	25.3%	6.2%	0.2%	-868.8K	84.4M	-932.1K	0.64	23.77	N/A	N/A	2,394	1,535	79,722	113,916
2015-12-02	$26.48	$28.00	25.6%	7.3%	26.9%	29.4%	28.3%	3.9%	1.4%	-1.3M	97.4M	-968.9K	0.89	26.00	N/A	N/A	5,510	4,922	80,986	114,164
2015-12-03	$26.49	$30.00	28.1%	8.0%	26.3%	36.9%	30.1%	7.7%	1.9%	-1.2M	95.0M	-903.2K	0.66	22.59	N/A	N/A	6,203	4,068	82,247	114,936
2015-12-04	$26.70	$30.00	23.1%	7.0%	24.7%	26.0%	24.3%	5.4%	3.3%	-997.6K	83.8M	-936.0K	0.57	20.18	N/A	N/A	4,954	2,813	83,148	114,910
2015-12-07	$27.13	$30.00	25.1%	7.2%	25.7%	27.6%	24.9%	5.9%	3.4%	-597.0K	76.7M	-941.8K	0.81	22.84	N/A	N/A	561	455	82,780	114,664
2015-12-08	$26.55	$30.00	24.5%	7.3%	26.2%	29.2%	35.7%	4.9%	2.2%	-1.1M	85.5M	-922.6K	0.78	19.86	N/A	N/A	3,985	3,104	83,432	114,931
2015-12-09	$26.35	$30.00	27.7%	8.0%	26.1%	35.9%	36.0%	5.8%	2.8%	-1.2M	88.2M	-922.3K	0.73	20.72	N/A	N/A	3,940	2,859	84,019	115,233
2015-12-10	$25.95	$30.00	27.2%	7.8%	26.1%	34.3%	38.9%	6.4%	2.7%	-1.6M	95.5M	-909.0K	0.64	29.30	N/A	N/A	4,098	2,622	84,767	115,483
2015-12-11	$24.91	$30.00	33.6%	9.6%	28.0%	54.1%	37.9%	9.5%	-0.8%	-1.9M	109.7M	-865.9K	0.91	30.23	N/A	N/A	6,406	5,838	85,075	115,465
2015-12-14	$24.34	$30.00	35.5%	10.2%	28.6%	60.1%	35.5%	8.7%	-1.1%	-2.0M	115.4M	-863.3K	0.56	48.08	N/A	N/A	4,504	2,530	86,124	117,475
2015-12-15	$25.34	$30.00	32.1%	9.2%	30.9%	49.3%	26.8%	8.8%	0.4%	-2.0M	112.8M	-951.3K	0.73	51.72	N/A	N/A	3,181	2,311	86,938	117,889
2015-12-16	$26.12	$30.00	28.9%	8.3%	33.3%	39.4%	40.2%	6.8%	2.5%	-1.7M	96.7M	-964.4K	0.55	54.48	N/A	N/A	4,183	2,301	87,205	118,254
2015-12-17	$25.44	$30.00	30.4%	8.7%	33.7%	44.3%	43.8%	7.4%	2.2%	-1.8M	100.2M	-972.4K	0.66	55.14	N/A	N/A	3,522	2,329	88,331	118,453
2015-12-18	$25.13	$30.00	31.1%	8.9%	33.7%	46.2%	36.6%	8.4%	0.7%	-1.9M	111.2M	-930.9K	0.85	47.36	N/A	N/A	3,308	2,818	88,319	118,455
2015-12-21	$25.14	$29.00	30.5%	8.7%	30.3%	44.4%	38.5%	8.7%	-0.0%	-2.1M	111.6M	-911.3K	0.72	44.64	N/A	N/A	3,297	2,361	83,101	116,549
2015-12-22	$25.15	$29.00	29.6%	8.5%	30.2%	41.5%	26.0%	6.5%	2.4%	-2.0M	108.7M	-940.2K	0.74	41.70	N/A	N/A	3,313	2,444	83,658	116,616
2015-12-23	$25.99	$29.00	26.4%	7.6%	32.9%	31.7%	24.6%	7.2%	2.7%	-1.7M	95.7M	-894.7K	0.76	51.41	N/A	N/A	4,439	3,386	84,092	116,955
2015-12-24	$25.87	$29.00	26.9%	7.7%	32.9%	33.4%	27.7%	7.4%	3.0%	-1.8M	97.4M	-902.0K	0.44	47.37	N/A	N/A	4,271	1,871	86,225	117,420
2015-12-28	$25.82	$29.00	27.6%	7.9%	32.8%	35.4%	29.9%	7.1%	2.6%	-1.8M	100.0M	-944.0K	0.58	18.97	N/A	N/A	3,054	1,783	84,633	117,727
2015-12-29	$25.85	$29.00	27.3%	7.8%	32.8%	33.2%	32.1%	7.0%	2.3%	-1.9M	96.6M	-875.7K	0.61	49.38	N/A	N/A	3,517	2,136	84,684	117,736
2015-12-30	$25.41	$29.00	27.9%	8.0%	33.2%	35.1%	36.7%	6.9%	2.5%	-2.1M	106.5M	-930.6K	0.84	53.36	N/A	N/A	3,005	2,518	84,905	118,214
2015-12-31	$25.23	$29.00	27.8%	8.0%	32.6%	34.8%	33.1%	7.5%	3.5%	-2.3M	110.6M	-917.0K	0.71	59.22	N/A	N/A	3,735	2,656	85,017	118,629