CTL Options History — March 2016

In March 2016, CTL traded between $31.03 and $32.17. ATM implied volatility averaged 28.4%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 3.4% (HV 20d: 31.8%). Max pain ranged from $26.00 to $31.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2016-03-01: Highest Volume — 51,753 contracts
  • 2016-03-04: Largest IV spike — 14.9% change
  • 2016-03-08: Highest IV Rank — 47.2%
  • 2016-03-08: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.53$31.03$32.17$31.11$31.98
Max Pain$30.50$26.00$31.00$26.00$31.00
ATM IV28.4%23.2%36.3%27.5%23.2%
Expected Move8.0%6.6%9.2%7.9%6.6%
HV 20d31.8%20.1%52.6%52.6%20.1%
HV 60d40.2%39.1%42.1%42.1%39.1%
IV Rank34.0%19.4%47.2%32.7%19.4%
IV Percentile46.5%19.8%71.4%48.4%19.8%
Term Structure2.1%-2.8%6.6%1.8%6.6%
VWIV32.4%24.8%44.5%24.8%25.1%
Skew 25d6.5%4.5%8.2%7.9%5.9%
Skew 10d13.4%5.8%20.0%5.8%8.9%
Call IV 25d25.8%21.6%29.1%25.3%21.6%
Put IV 25d32.3%27.4%35.8%33.2%27.5%
Bid-Ask Spread %32.8414.6971.0770.9217.01
Gamma HHI0.140.100.270.170.12
Net GEX1.4M-2.2M3.6M3.6M3.0M
Net DEX-74.9M-103.6M-50.1M-93.8M-91.6M
Net VEX-1.2M-1.3M-920.6K-920.6K-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.211.370.260.36
Total Volume17,302.56,94951,75351,7538,430
Total OI220,667.727189,299240,632189,299223,089

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$31.11$26.0027.5%7.9%52.6%32.7%24.8%7.9%1.8%3.6M-93.8M-920.6K0.2670.92N/AN/A40,95410,79980,154109,145
2016-03-02$31.09$27.0029.3%8.4%50.8%38.3%32.9%6.7%-0.6%2.5M-76.2M-1.0M0.2671.07N/AN/A14,8793,93478,948116,590
2016-03-03$31.37$30.0028.6%8.2%50.0%36.4%34.5%7.2%0.4%2.8M-81.3M-1.1M0.3119.29N/AN/A13,8704,24779,778117,279
2016-03-04$31.58$30.0032.9%8.8%50.0%42.6%32.8%7.5%-2.8%2.5M-78.8M-1.2M1.3728.36N/AN/A14,86520,31582,721118,476
2016-03-07$31.76$31.0033.6%8.7%49.9%41.1%35.5%7.1%-1.7%483.4K-78.8M-1.1M0.5136.97N/AN/A11,8736,01885,946135,064
2016-03-08$31.50$31.0036.3%9.2%47.3%47.2%39.1%7.3%-2.0%-113.0K-62.5M-1.2M0.4439.74N/AN/A11,7685,19186,417138,586
2016-03-09$31.49$31.0031.8%9.1%44.7%45.6%41.7%7.1%-1.2%24.8K-65.2M-1.2M0.2139.44N/AN/A11,2812,36586,928138,275
2016-03-10$31.67$31.0029.6%8.5%44.2%39.0%44.5%8.2%0.3%103.0K-75.0M-1.1M0.2136.09N/AN/A16,1013,36687,177138,463
2016-03-11$31.83$31.0029.4%8.4%25.2%38.5%37.1%7.8%0.2%107.0K-79.5M-1.3M0.8634.57N/AN/A12,69410,87690,043139,422
2016-03-14$31.92$31.0030.0%8.6%21.7%40.4%29.3%7.2%-0.1%199.7K-85.8M-1.3M0.3918.68N/AN/A12,8345,00491,582139,998
2016-03-15$31.28$31.0031.6%9.1%23.5%45.1%37.8%6.8%-0.1%-462.2K-66.4M-1.2M0.6818.13N/AN/A11,0637,57093,674141,175
2016-03-16$32.17$31.0028.5%8.2%23.4%35.9%43.9%7.5%2.1%558.9K-103.6M-1.2M0.6043.17N/AN/A12,0437,19794,046143,884
2016-03-17$31.32$31.0030.3%8.7%24.9%41.4%32.5%6.4%0.1%-2.2M-68.8M-1.2M0.4064.01N/AN/A11,1634,51795,501144,620
2016-03-18$31.70$31.0027.0%7.7%23.6%31.2%27.5%5.7%1.4%1.8M-92.6M-1.2M0.3453.99N/AN/A14,0014,82095,789144,843
2016-03-21$31.65$31.0026.3%7.5%23.5%28.9%29.5%6.8%4.9%1.9M-68.2M-1.2M0.5019.73N/AN/A7,1433,58087,801127,905
2016-03-22$31.61$31.0024.1%6.9%21.3%22.4%27.0%4.5%6.2%2.1M-73.4M-1.2M1.1620.41N/AN/A6,5547,63090,377128,643
2016-03-23$31.03$31.0025.7%7.4%21.0%27.1%29.2%5.3%5.8%2.0M-50.6M-1.2M0.6220.60N/AN/A5,7093,53991,131128,510
2016-03-24$31.13$31.0025.0%7.2%20.6%25.0%24.9%5.7%6.6%2.1M-50.3M-1.2M0.4218.08N/AN/A6,5112,70591,469128,228
2016-03-28$31.07$31.0025.8%7.4%20.3%27.6%28.6%4.9%5.5%2.1M-50.1M-1.2M0.3216.96N/AN/A6,0741,95491,678128,339
2016-03-29$31.58$31.0024.3%7.0%20.4%22.8%28.5%5.4%6.4%2.5M-70.0M-1.2M0.3420.51N/AN/A5,1791,77092,324128,933
2016-03-30$31.88$31.0023.3%6.7%20.1%19.9%25.7%5.1%6.5%2.8M-84.3M-1.2M0.3914.69N/AN/A5,9652,30492,717129,022
2016-03-31$31.98$31.0023.2%6.6%20.1%19.4%25.1%5.9%6.6%3.0M-91.6M-1.2M0.3617.01N/AN/A6,1932,23794,056129,033