CTL Options History — June 2016

In June 2016, CTL traded between $26.66 and $28.98. ATM implied volatility averaged 24.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 2.7% (HV 20d: 21.5%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.51.

Notable Days

  • 2016-06-08: Highest Volume — 22,372 contracts
  • 2016-06-28: Largest IV drop — 18.9% change
  • 2016-06-16: Highest IV Rank — 30.1%
  • 2016-06-27: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.47$26.66$28.98$26.90$28.98
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV24.2%21.2%29.2%22.1%21.2%
Expected Move7.0%6.1%8.4%6.3%6.1%
HV 20d21.5%15.2%37.8%37.8%27.6%
HV 60d27.9%26.7%30.4%28.1%30.4%
IV Rank18.9%0.0%30.1%15.6%0.0%
IV Percentile14.5%0.0%41.3%7.5%0.0%
Term Structure4.2%1.4%6.2%1.4%4.8%
VWIV24.2%18.7%28.5%27.4%21.4%
Skew 25d5.9%3.7%7.7%6.0%5.3%
Skew 10d12.2%6.0%16.7%11.6%13.8%
Call IV 25d22.1%19.2%26.4%20.0%19.2%
Put IV 25d28.0%24.5%32.9%26.0%24.5%
Bid-Ask Spread %19.6413.9529.3520.1324.41
Gamma HHI0.150.120.190.130.13
Net GEX-677.2K-1.5M271.1K-618.9K271.1K
Net DEX65.0M19.7M96.2M74.5M19.7M
Net VEX-805.1K-887.2K-763.6K-772.9K-763.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.434.341.651.80
Total Volume8,642.3185,35422,3729,9225,354
Total OI210,872202,087218,736202,087215,503

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$26.90$30.0022.1%6.3%37.8%15.6%27.4%6.0%1.4%-618.9K74.5M-772.9K1.6520.13N/AN/A3,7466,17684,338117,749
2016-06-02$27.09$30.0021.6%6.6%37.6%18.1%25.6%6.4%3.9%-518.2K72.4M-776.1K1.7014.91N/AN/A3,3475,69485,004118,161
2016-06-03$27.36$30.0022.0%6.6%21.5%18.6%18.7%5.5%3.9%-320.6K66.6M-800.4K1.4416.04N/AN/A3,5555,13385,127118,390
2016-06-06$27.14$30.0021.6%6.6%21.2%18.0%23.6%5.6%4.1%-344.7K69.6M-773.5K1.8715.68N/AN/A3,2346,03585,347118,390
2016-06-07$27.28$30.0022.8%6.6%21.1%18.0%27.2%5.4%4.5%-113.6K64.2M-784.9K1.8513.95N/AN/A3,0735,68685,601118,652
2016-06-08$27.04$30.0024.0%6.9%20.1%21.4%22.4%4.7%5.0%-312.3K71.4M-772.3K4.3417.15N/AN/A4,19318,17985,830118,724
2016-06-09$27.03$30.0024.0%6.9%19.6%21.4%21.6%6.2%4.4%-1.2M82.8M-804.0K1.7714.73N/AN/A3,6476,44985,881129,437
2016-06-10$26.94$30.0024.7%7.1%19.4%23.6%22.5%6.6%4.5%-1.2M86.3M-781.3K1.6920.20N/AN/A3,8576,52586,187129,728
2016-06-13$26.90$30.0025.5%7.3%18.3%25.9%21.1%5.9%4.3%-1.3M90.1M-864.8K1.5217.97N/AN/A4,1676,32985,952130,045
2016-06-14$26.66$30.0025.7%7.4%18.5%26.5%24.3%6.7%4.2%-1.5M96.2M-854.8K1.6721.25N/AN/A3,8106,36886,600130,048
2016-06-15$27.21$30.0026.4%7.6%20.1%28.7%26.3%7.5%4.6%-678.6K80.3M-887.2K0.7329.35N/AN/A5,3443,92086,996130,023
2016-06-16$27.24$30.0026.8%7.7%15.2%30.1%25.4%5.5%3.1%-349.0K75.3M-807.2K0.6516.81N/AN/A3,9822,60788,169130,189
2016-06-17$27.47$30.0025.9%7.4%15.4%27.3%26.5%7.2%4.4%-1.3M72.3M-808.3K0.4619.33N/AN/A3,9411,80288,542130,194
2016-06-20$27.57$30.0023.0%6.6%15.4%18.3%24.6%7.1%4.4%-1.1M59.3M-805.1K0.5217.13N/AN/A4,1812,17181,427124,471
2016-06-21$28.10$30.0023.5%6.7%16.5%19.8%24.1%5.2%4.7%-885.2K50.7M-810.1K1.2019.07N/AN/A2,5953,12482,232124,735
2016-06-22$27.93$30.0024.5%7.0%16.4%17.1%24.3%5.8%4.3%-937.0K51.4M-825.0K0.4316.61N/AN/A5,0242,16783,120125,595
2016-06-23$28.49$30.0024.4%7.0%17.7%10.1%23.1%4.4%3.8%-181.1K34.6M-797.5K1.6323.47N/AN/A2,9864,87984,700125,941
2016-06-24$28.02$30.0025.6%7.4%16.8%14.7%26.1%5.5%4.4%-629.9K47.3M-849.9K0.6724.28N/AN/A4,2782,87285,196127,219
2016-06-27$26.83$30.0029.2%8.4%23.3%27.5%28.5%6.4%2.5%-1.1M71.9M-791.8K1.8925.93N/AN/A2,3914,51086,562125,915
2016-06-28$27.81$30.0023.7%6.8%26.3%7.8%24.1%7.7%6.2%-520.7K55.0M-794.9K2.1522.35N/AN/A1,9644,21586,795125,955
2016-06-29$28.42$30.0023.4%6.7%26.9%6.9%22.4%3.7%4.6%-195.8K38.7M-787.5K1.6221.28N/AN/A2,5254,09687,003127,511
2016-06-30$28.98$30.0021.2%6.1%27.6%0.0%21.4%5.3%4.8%271.1K19.7M-763.6K1.8024.41N/AN/A1,9133,44187,442128,061