CTL Options History — January 2016

In January 2016, CTL traded between $22.25 and $25.14. ATM implied volatility averaged 37.3%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 5.2% (HV 20d: 32.1%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.97.

Notable Days

2016-01-26: Highest Volume — 6,202 contracts
2016-01-07: Largest IV spike — 18.0% change
2016-01-20: Highest IV Rank — 78.9%
2016-01-20: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.98	$22.25	$25.14	$25.14	$25.00
Max Pain	$24.47	$24.00	$26.00	$26.00	$24.00
ATM IV	37.3%	32.5%	44.9%	35.1%	35.4%
Expected Move	10.3%	9.2%	12.0%	9.6%	10.1%
HV 20d	32.1%	26.0%	36.6%	32.6%	36.2%
HV 60d	29.1%	27.1%	31.7%	28.0%	31.7%
IV Rank	60.3%	48.5%	78.9%	52.5%	58.7%
IV Percentile	91.9%	82.5%	98.4%	86.1%	90.1%
Term Structure	-1.7%	-2.9%	-0.1%	-0.9%	-1.8%
VWIV	35.5%	32.2%	39.6%	34.7%	32.2%
Skew 25d	8.0%	6.6%	10.0%	7.1%	6.8%
Skew 10d	17.8%	11.7%	24.0%	18.0%	17.7%
Call IV 25d	33.1%	29.4%	38.1%	30.6%	32.4%
Put IV 25d	41.1%	37.2%	47.2%	37.7%	39.2%
Bid-Ask Spread %	40.46	21.26	63.21	38.04	25.05
Gamma HHI	0.13	0.09	0.19	0.17	0.09
Net GEX	-1.6M	-2.5M	-488.3K	-2.2M	-488.3K
Net DEX	97.8M	54.9M	131.7M	110.9M	54.9M
Net VEX	-836.7K	-906.7K	-755.7K	-833.0K	-905.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.55	2.73	0.94	0.87
Total Volume	5,274.053	3,602	6,202	5,631	5,117
Total OI	173,575.053	129,702	209,850	204,652	142,728

Daily Data (19 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
2016-01-04	$25.14	$26.00	35.1%	9.6%	32.6%	52.5%	34.7%	7.1%	-0.9%	-2.2M	110.9M	-833.0K	0.94	38.04	N/A	N/A	2,898	2,733	85,771	118,881
2016-01-05	$24.98	$26.00	32.5%	9.2%	32.4%	48.5%	32.3%	8.0%	-1.0%	-2.4M	115.7M	-906.7K	0.73	56.64	N/A	N/A	3,219	2,357	86,150	119,178
2016-01-06	$24.68	$25.00	33.4%	9.3%	31.7%	49.6%	32.3%	6.8%	-1.7%	-2.4M	119.9M	-884.7K	0.75	60.96	N/A	N/A	3,239	2,431	87,046	119,242
2016-01-07	$24.32	$25.00	39.4%	10.1%	31.3%	58.7%	36.9%	8.0%	-1.7%	-2.4M	122.6M	-877.1K	0.86	62.10	N/A	N/A	2,615	2,260	87,302	118,433
2016-01-08	$23.93	$25.00	38.5%	10.2%	31.5%	58.9%	36.4%	8.2%	-2.5%	-2.4M	125.3M	-860.0K	1.13	61.10	N/A	N/A	2,642	2,988	87,552	118,699
2016-01-11	$24.16	$25.00	41.4%	9.8%	31.7%	54.8%	33.8%	8.0%	-0.8%	-2.5M	125.5M	-853.3K	0.72	60.46	N/A	N/A	3,283	2,355	87,967	118,890
2016-01-12	$23.40	$25.00	44.9%	10.3%	30.4%	60.4%	35.6%	7.5%	-1.7%	-2.2M	129.8M	-760.5K	0.79	63.21	N/A	N/A	2,538	2,007	88,444	119,105
2016-01-13	$23.05	$24.00	37.2%	10.7%	29.8%	64.4%	35.4%	8.1%	-2.3%	-2.2M	131.7M	-763.4K	0.55	58.02	N/A	N/A	3,936	2,181	88,870	118,576
2016-01-14	$23.88	$24.00	34.9%	10.0%	28.9%	57.4%	34.6%	7.4%	-2.0%	-2.0M	124.1M	-773.0K	1.08	48.69	N/A	N/A	1,733	1,869	90,247	119,096
2016-01-15	$23.30	$24.00	38.3%	11.0%	27.1%	67.9%	36.4%	10.0%	-2.2%	-1.0M	129.3M	-757.8K	2.73	26.15	N/A	N/A	1,486	4,050	90,616	119,234
2016-01-19	$23.27	$24.00	37.4%	10.7%	26.0%	65.2%	34.6%	9.0%	-0.1%	-1.1M	73.2M	-755.7K	0.83	26.92	N/A	N/A	3,002	2,477	37,813	91,889
2016-01-20	$22.25	$24.00	41.8%	12.0%	29.6%	78.9%	39.6%	9.1%	-1.7%	-1.2M	85.3M	-784.9K	0.82	22.46	N/A	N/A	2,740	2,234	39,732	92,574
2016-01-21	$22.65	$24.00	39.6%	11.3%	30.7%	72.0%	39.4%	9.6%	-2.6%	-1.2M	83.2M	-799.4K	1.19	23.74	N/A	N/A	2,295	2,735	40,280	92,906
2016-01-22	$23.79	$24.00	34.8%	10.0%	36.3%	57.0%	35.6%	8.1%	-0.6%	-1.0M	73.4M	-848.2K	0.81	23.08	N/A	N/A	3,280	2,645	41,330	93,553
2016-01-25	$23.74	$24.00	36.9%	10.6%	33.7%	63.6%	36.5%	7.4%	-2.2%	-1.0M	71.9M	-849.4K	1.16	21.26	N/A	N/A	1,761	2,048	42,922	93,944
2016-01-26	$24.55	$24.00	35.3%	10.1%	36.3%	58.6%	36.3%	6.9%	-1.6%	-831.7K	62.9M	-878.8K	0.78	25.54	N/A	N/A	3,486	2,716	43,524	94,202
2016-01-27	$24.63	$24.00	35.2%	10.1%	36.4%	58.1%	35.8%	6.6%	-1.9%	-697.1K	60.2M	-902.0K	1.10	36.39	N/A	N/A	2,405	2,647	45,555	94,760
2016-01-28	$24.83	$24.00	36.2%	10.4%	36.6%	61.3%	35.9%	8.8%	-2.9%	-645.3K	58.7M	-903.7K	0.68	28.84	N/A	N/A	3,449	2,350	45,977	94,938
2016-01-29	$25.00	$24.00	35.4%	10.1%	36.2%	58.7%	32.2%	6.8%	-1.8%	-488.3K	54.9M	-905.1K	0.87	25.05	N/A	N/A	2,743	2,374	47,674	95,054