CTL Options History — May 2016

In May 2016, CTL traded between $26.60 and $31.47. ATM implied volatility averaged 28.2%, placing in the 34.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 8.5% (HV 20d: 36.7%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 2.62.

Notable Days

  • 2016-05-05: Highest Volume — 26,491 contracts
  • 2016-05-05: Largest IV drop — 25.8% change
  • 2016-05-03: Highest IV Rank — 85.6%
  • 2016-05-03: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.07$26.60$31.47$31.47$27.13
Max Pain$31.86$30.00$32.00$32.00$30.00
ATM IV28.2%21.5%44.8%44.6%22.4%
Expected Move8.1%6.2%12.8%12.8%6.4%
HV 20d36.7%21.7%40.1%21.7%38.6%
HV 60d30.1%27.7%37.6%33.6%28.1%
IV Rank34.8%13.8%85.6%85.1%16.6%
IV Percentile34.5%7.1%97.6%97.6%7.9%
Term Structure-1.0%-10.7%2.4%-10.0%0.9%
VWIV29.3%22.7%47.2%44.9%22.9%
Skew 25d7.6%4.3%10.3%10.3%5.3%
Skew 10d16.2%9.3%22.2%22.2%15.5%
Call IV 25d25.5%20.6%42.2%37.6%21.4%
Put IV 25d33.1%24.9%51.8%47.9%26.8%
Bid-Ask Spread %19.4612.9036.4319.8617.02
Gamma HHI0.130.110.200.120.14
Net GEX-1.5M-2.6M-752.1K-752.1K-977.0K
Net DEX85.5M-7.6M129.1M-7.6M78.1M
Net VEX-882.2K-1.2M-742.2K-1.1M-834.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.620.887.332.121.63
Total Volume11,098.4296,06426,4919,93011,292
Total OI213,312.81196,208228,063218,994198,382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$31.47$32.0044.6%12.8%21.7%85.1%44.9%10.3%-10.0%-752.1K-7.6M-1.1M2.1219.86N/AN/A3,1856,74581,708137,286
2016-05-03$30.60$32.0044.8%12.8%23.7%85.6%47.2%9.6%-10.7%-1.5M20.0M-1.1M4.7517.20N/AN/A2,73813,01282,518140,068
2016-05-04$30.91$32.0042.5%12.2%23.7%78.4%44.5%9.1%-9.3%-1.9M14.5M-1.2M3.9320.39N/AN/A4,61418,12783,476144,587
2016-05-05$28.25$32.0031.5%8.4%38.8%38.3%30.1%8.9%-1.5%-2.6M109.0M-849.1K1.8224.80N/AN/A9,40017,09184,550136,480
2016-05-06$28.52$32.0024.7%7.6%39.1%29.7%28.3%7.6%-0.5%-2.4M95.9M-902.2K1.2516.24N/AN/A4,2845,36685,931133,317
2016-05-09$28.21$32.0027.9%8.1%38.9%35.4%27.2%8.1%-0.8%-1.9M101.2M-888.6K2.2521.51N/AN/A3,8258,60185,398134,032
2016-05-10$28.70$32.0025.5%7.4%39.8%27.9%27.6%7.1%-0.1%-2.4M88.3M-900.4K1.6517.36N/AN/A3,1185,13184,425133,037
2016-05-11$28.29$32.0027.8%8.0%39.6%33.7%25.9%7.0%-0.6%-1.9M97.0M-885.1K1.4418.47N/AN/A2,9724,27685,513133,410
2016-05-12$28.46$32.0027.8%8.0%39.9%33.6%29.2%8.6%-0.7%-1.7M97.2M-875.1K2.6518.98N/AN/A2,7447,26885,311133,724
2016-05-13$27.91$32.0027.9%8.0%39.9%33.7%29.6%8.5%-1.2%-1.1M101.4M-850.4K1.0715.77N/AN/A3,8394,12185,578132,083
2016-05-16$27.81$32.0026.9%7.7%39.9%30.9%26.4%7.3%0.4%-1.1M106.1M-826.0K1.6019.57N/AN/A2,4023,84386,044132,694
2016-05-17$27.84$32.0026.9%7.7%39.2%30.9%26.6%8.7%0.9%-1.1M100.5M-821.4K1.5924.22N/AN/A2,3443,72086,276130,457
2016-05-18$26.84$32.0027.2%7.8%40.1%31.7%28.8%9.3%0.2%-1.4M127.4M-857.1K0.8821.38N/AN/A3,5363,11186,702130,848
2016-05-19$26.92$32.0025.8%7.4%37.9%27.4%26.4%8.6%1.6%-1.5M129.1M-854.1K1.9120.16N/AN/A3,4776,63687,020131,449
2016-05-20$27.04$32.0024.9%7.1%38.0%24.7%27.2%7.2%1.3%-1.2M126.4M-853.7K2.9513.60N/AN/A2,6337,76886,981131,986
2016-05-23$26.90$32.0023.6%6.8%38.1%20.8%26.9%6.9%2.4%-968.9K83.1M-742.2K3.0212.90N/AN/A2,2296,73178,471117,737
2016-05-24$27.17$32.0023.0%6.6%38.2%19.0%24.0%5.8%2.2%-957.5K81.0M-750.5K2.5519.17N/AN/A2,4976,35779,084117,724
2016-05-25$27.19$32.0022.8%6.5%38.0%18.1%26.2%5.9%0.8%-854.4K79.3M-750.4K2.0017.05N/AN/A2,9025,81279,870118,075
2016-05-26$26.60$32.0022.1%6.3%38.3%16.0%22.7%5.1%1.5%-1.1M87.4M-849.9K6.5616.53N/AN/A1,65210,84180,822118,514
2016-05-27$26.80$31.0021.5%6.2%38.7%13.8%22.9%4.3%1.7%-1.0M80.3M-852.6K7.3336.43N/AN/A1,53911,28881,074116,927
2016-05-31$27.13$30.0022.4%6.4%38.6%16.6%22.9%5.3%0.9%-977.0K78.1M-834.0K1.6317.02N/AN/A4,2956,99781,402116,980