CTL Options History — February 2016

In February 2016, CTL traded between $24.59 and $30.66. ATM implied volatility averaged 38.2%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 11.1% (HV 20d: 49.3%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 1.58.

Notable Days

  • 2016-02-05: Highest Volume — 25,383 contracts
  • 2016-02-05: Largest IV spike — 41.8% change
  • 2016-02-09: Highest IV Rank — 100.0%
  • 2016-02-09: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.02$24.59$30.66$25.94$30.66
Max Pain$25.00$24.00$26.00$24.00$26.00
ATM IV38.2%30.1%71.3%33.6%30.1%
Expected Move10.2%8.6%14.2%9.6%8.6%
HV 20d49.3%38.5%57.6%38.5%53.5%
HV 60d38.6%32.6%42.3%32.6%42.3%
IV Rank58.0%40.5%100.0%53.2%40.5%
IV Percentile79.3%57.9%100.0%81.3%57.9%
Term Structure-2.2%-6.5%-0.1%-1.1%-1.8%
VWIV37.6%30.5%56.2%34.1%37.0%
Skew 25d9.2%6.6%13.7%6.7%7.6%
Skew 10d21.2%6.8%36.7%25.7%27.2%
Call IV 25d32.6%27.9%45.3%32.5%28.8%
Put IV 25d41.8%35.2%58.4%39.1%36.3%
Bid-Ask Spread %37.9720.2371.2227.2371.22
Gamma HHI0.120.080.290.090.12
Net GEX484.2K-2.6M2.7M-185.8K2.7M
Net DEX-5.3M-71.0M84.4M39.1M-65.3M
Net VEX-994.4K-1.2M-854.8K-914.3K-973.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.206.761.050.20
Total Volume10,603.53,95325,3834,82813,977
Total OI175,805.15143,775211,475143,775184,787

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$25.94$24.0033.6%9.6%38.5%53.2%34.1%6.7%-1.1%-185.8K39.1M-914.3K1.0527.23N/AN/A2,3552,47348,42795,348
2016-02-02$25.19$24.0038.6%11.1%40.0%69.0%36.7%7.1%-3.7%-392.4K52.0M-907.8K1.0931.84N/AN/A2,0582,24649,06495,783
2016-02-03$26.06$24.0037.9%10.9%41.7%66.7%38.6%6.6%-3.4%-132.5K33.5M-854.8K1.1820.23N/AN/A1,8102,14349,72895,994
2016-02-04$26.51$25.0036.2%9.5%41.6%51.6%34.8%8.1%-2.1%4.2K25.1M-883.4K0.6630.26N/AN/A3,3742,23950,20596,398
2016-02-05$26.60$25.0051.4%11.0%41.1%68.5%40.3%12.1%-3.4%-29.9K22.3M-925.8K6.4135.11N/AN/A3,42721,95651,69796,978
2016-02-08$25.61$25.0061.6%13.2%43.2%92.6%45.3%10.8%-5.4%-1.6M54.9M-935.7K1.0125.83N/AN/A3,7123,74353,345115,581
2016-02-09$24.79$25.0071.3%14.2%45.0%100.0%56.2%13.0%-6.5%-1.8M74.0M-984.1K6.7624.32N/AN/A2,83019,14454,461115,934
2016-02-10$24.59$25.0047.1%13.5%43.4%92.7%46.3%12.7%-5.6%-2.6M84.4M-922.2K0.6127.19N/AN/A5,3853,31055,633126,142
2016-02-11$27.44$25.0038.0%10.9%57.1%64.8%38.3%13.7%-1.6%-1.1M9.1M-1.0M0.4131.11N/AN/A8,2513,34258,865126,940
2016-02-12$28.62$25.0033.7%9.7%57.6%51.6%35.1%9.8%-0.4%677.5K-28.7M-1.0M0.3432.59N/AN/A6,0632,03763,945127,574
2016-02-16$28.87$25.0033.4%9.6%56.2%50.7%34.7%8.7%-1.5%1.4M-38.1M-1.0M0.7027.15N/AN/A3,2772,29267,105128,102
2016-02-17$29.71$25.0030.5%8.7%56.4%41.9%34.2%9.0%-0.8%1.6M-57.2M-1.0M0.4625.85N/AN/A4,7352,16268,692128,564
2016-02-18$30.33$25.0033.4%9.6%52.2%50.8%37.7%8.7%-1.5%1.6M-71.0M-1.1M1.4726.08N/AN/A7,33710,79170,277129,192
2016-02-19$29.68$25.0032.3%9.3%53.8%47.4%35.0%8.9%-1.4%1.1M-49.0M-1.1M0.8946.62N/AN/A6,4905,77374,415137,060
2016-02-22$29.96$25.0030.8%8.8%52.2%42.7%30.5%9.0%-0.4%1.4M-34.8M-1.1M1.0855.84N/AN/A3,7694,08167,391106,356
2016-02-23$29.24$25.0032.6%9.3%53.5%48.3%31.9%7.2%-1.1%1.4M-21.6M-1.1M1.1057.61N/AN/A3,6724,03768,638106,593
2016-02-24$30.02$25.0030.6%8.8%53.2%42.3%38.3%9.1%-0.1%1.8M-38.8M-1.1M1.1554.73N/AN/A3,5874,11970,623106,837
2016-02-25$30.42$26.0031.3%9.0%53.1%44.2%33.8%7.1%-1.3%2.2M-58.9M-948.4K4.5661.85N/AN/A4,02718,37271,384107,324
2016-02-26$30.19$26.0030.1%8.6%53.5%40.7%33.2%7.1%-0.4%1.8M-36.8M-1.2M0.4446.79N/AN/A5,3202,35473,082121,639
2016-02-29$30.66$26.0030.1%8.6%53.5%40.5%37.0%7.6%-1.8%2.7M-65.3M-973.2K0.2071.22N/AN/A11,6512,32675,819108,968