CTL Options History — April 2016

In April 2016, CTL traded between $31.03 and $32.85. ATM implied volatility averaged 29.5%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 10.2% (HV 20d: 19.3%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2016-04-29: Highest Volume — 19,106 contracts
  • 2016-04-21: Largest IV spike — 18.2% change
  • 2016-04-29: Highest IV Rank — 69.6%
  • 2016-04-29: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.93$31.03$32.85$32.15$31.03
Max Pain$32.05$31.00$33.00$31.00$32.00
ATM IV29.5%22.8%39.6%22.8%39.6%
Expected Move8.9%6.5%11.3%6.5%11.3%
HV 20d19.3%13.5%21.5%19.9%21.0%
HV 60d36.4%33.6%39.1%39.1%33.6%
IV Rank44.0%18.3%69.6%18.3%69.6%
IV Percentile61.5%17.5%96.0%17.5%96.0%
Term Structure-2.6%-8.0%6.5%6.5%-8.0%
VWIV30.9%23.9%41.8%23.9%41.8%
Skew 25d6.7%2.8%8.3%2.8%7.6%
Skew 10d15.9%7.6%18.4%7.6%13.8%
Call IV 25d28.5%22.9%35.4%22.9%35.4%
Put IV 25d35.2%25.7%43.0%25.7%43.0%
Bid-Ask Spread %21.2017.2937.0318.1923.70
Gamma HHI0.130.110.220.120.11
Net GEX2.6M438.1K4.6M3.1M438.1K
Net DEX-75.7M-130.2M-8.1M-98.3M-8.1M
Net VEX-1.1M-1.2M-993.8K-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.338.290.357.48
Total Volume8,8114,47719,1067,87419,106
Total OI211,622.524179,922236,433224,551204,491

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$32.15$31.0022.8%6.5%19.9%18.3%23.9%2.8%6.5%3.1M-98.3M-1.2M0.3518.19N/AN/A5,8172,05795,105129,446
2016-04-04$32.19$32.0024.5%8.8%19.8%42.5%31.1%7.7%-2.3%3.3M-106.3M-1.2M0.3821.26N/AN/A5,9672,26595,730129,819
2016-04-05$32.16$32.0025.8%8.8%19.8%42.9%32.1%6.3%-2.0%3.3M-103.1M-1.1M0.3921.27N/AN/A5,5982,19696,302130,267
2016-04-06$32.50$32.0026.1%8.9%19.8%43.6%30.9%6.5%-2.0%3.6M-116.6M-1.1M0.4921.00N/AN/A5,8372,84596,467130,492
2016-04-07$31.87$32.0025.7%9.1%21.1%45.4%31.9%7.5%-2.4%3.2M-90.2M-1.1M0.3319.08N/AN/A8,3622,72496,992131,536
2016-04-08$31.88$32.0023.8%8.9%21.0%43.0%30.8%7.5%-2.4%3.3M-92.0M-1.2M0.3417.71N/AN/A6,9372,38297,972131,983
2016-04-11$32.10$32.0026.9%9.0%21.1%44.5%32.6%7.4%-3.2%3.4M-108.7M-1.1M0.4618.81N/AN/A5,3632,48298,711132,221
2016-04-12$31.99$32.0028.0%8.8%21.1%42.3%30.6%7.6%-2.3%3.5M-102.9M-1.1M0.4718.26N/AN/A5,3432,51599,022132,455
2016-04-13$32.20$32.0030.6%8.8%19.8%42.1%31.1%6.8%-3.2%4.2M-123.9M-1.1M0.3921.49N/AN/A6,2802,425101,719133,128
2016-04-14$32.11$32.0030.1%8.6%17.2%40.8%30.8%6.0%-2.4%4.6M-123.7M-1.1M0.5120.81N/AN/A5,8062,962102,503133,239
2016-04-15$32.26$32.0029.5%8.5%14.0%38.8%30.0%6.4%-3.1%1.9M-130.2M-1.1M0.4422.33N/AN/A7,0893,097102,643133,790
2016-04-18$32.20$32.0028.9%8.3%13.5%37.0%28.3%6.1%-0.9%2.2M-61.0M-993.8K0.6719.71N/AN/A3,2872,21274,603105,319
2016-04-19$32.69$32.0028.2%8.1%14.4%34.9%28.6%5.3%-2.3%2.6M-70.7M-1.0M0.8624.26N/AN/A3,5413,04176,208105,759
2016-04-20$32.85$33.0027.8%8.0%14.4%33.6%27.9%6.7%-2.5%2.6M-74.0M-1.1M0.6819.61N/AN/A3,4992,36677,742107,089
2016-04-21$31.36$33.0032.9%9.4%21.4%49.0%30.7%7.3%-3.6%1.8M-34.7M-1.1M2.4423.46N/AN/A2,9227,12079,276107,637
2016-04-22$31.41$32.0032.6%9.4%21.3%48.3%30.2%8.3%-3.1%1.5M-29.3M-1.1M3.6517.29N/AN/A1,8576,78480,189111,475
2016-04-25$31.17$32.0034.2%9.8%21.5%53.1%31.7%6.6%-4.8%1.4M-25.3M-1.0M3.2117.31N/AN/A2,0216,49680,384111,894
2016-04-26$31.40$32.0034.1%9.8%20.9%52.8%32.4%6.5%-3.2%1.6M-30.7M-1.0M1.9822.62N/AN/A1,7643,49680,639112,333
2016-04-27$31.62$32.0032.1%9.2%20.7%46.8%29.3%6.6%-3.3%1.8M-36.5M-1.0M8.2937.03N/AN/A1,58213,11181,029112,391
2016-04-28$31.36$32.0034.4%9.9%20.9%53.8%33.1%7.4%-3.8%782.1K-22.9M-1.0M1.5019.90N/AN/A1,7882,68981,043123,030
2016-04-29$31.03$32.0039.6%11.3%21.0%69.6%41.8%7.6%-8.0%438.1K-8.1M-1.1M7.4823.70N/AN/A2,25416,85281,205123,286