CTL Options History — July 2016

In July 2016, CTL traded between $28.91 and $31.46. ATM implied volatility averaged 26.5%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.8% (HV 20d: 27.3%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.30.

Notable Days

  • 2016-07-15: Highest Volume — 10,473 contracts
  • 2016-07-08: Largest IV drop — 17.7% change
  • 2016-07-29: Highest IV Rank — 37.1%
  • 2016-07-29: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.49$28.91$31.46$29.39$31.46
Max Pain$28.95$28.00$30.00$30.00$29.00
ATM IV26.5%19.9%31.7%21.5%31.7%
Expected Move8.0%6.2%9.1%6.2%9.1%
HV 20d27.3%18.7%30.5%27.7%18.7%
HV 60d30.5%29.4%31.5%30.3%29.6%
IV Rank23.9%0.9%37.1%0.9%37.1%
IV Percentile35.8%0.4%63.9%0.4%63.9%
Term Structure-2.9%-5.8%5.1%5.1%-5.8%
VWIV28.3%21.8%32.4%21.8%32.4%
Skew 25d5.7%3.5%7.2%3.5%7.0%
Skew 10d14.1%6.9%19.8%6.9%15.5%
Call IV 25d25.6%19.9%28.7%19.9%27.8%
Put IV 25d31.3%23.5%34.8%23.5%34.8%
Bid-Ask Spread %20.9313.2925.5119.4521.37
Gamma HHI0.160.120.300.120.13
Net GEX1.9M-88.9K4.8M593.2K2.8M
Net DEX-35.3M-86.4M28.6M5.2M-62.0M
Net VEX-830.2K-900.4K-790.6K-817.5K-818.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.322.421.392.23
Total Volume6,086.554,02910,4735,5144,997
Total OI205,721.85180,561231,330216,353192,211

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$29.39$30.0021.5%6.2%27.7%0.9%21.8%3.5%5.1%593.2K5.2M-817.5K1.3919.45N/AN/A2,3083,20687,896128,457
2016-07-05$28.91$28.0023.4%8.1%28.4%25.1%29.8%7.2%-2.2%-88.9K28.6M-900.4K2.3223.42N/AN/A1,5823,66888,690129,221
2016-07-06$29.47$28.0024.9%8.3%28.9%27.5%28.4%6.6%-2.7%553.2K2.0M-812.2K1.1024.51N/AN/A2,2762,51488,888130,256
2016-07-07$29.36$29.0024.1%8.3%28.7%27.2%28.4%6.6%-3.2%369.0K7.3M-802.0K0.7125.51N/AN/A4,1332,92089,380131,070
2016-07-08$30.19$29.0019.9%7.5%29.8%18.1%27.1%6.3%-2.2%1.3M-26.8M-833.2K0.6321.74N/AN/A2,9711,85892,039131,210
2016-07-11$30.31$29.0022.8%7.9%29.6%22.2%26.1%6.0%-3.1%1.5M-33.6M-839.7K0.9822.72N/AN/A3,3413,29191,716131,240
2016-07-12$30.72$29.0022.3%7.5%29.6%17.9%26.6%5.2%-3.7%3.2M-57.7M-818.9K1.0819.69N/AN/A2,9183,16193,333132,463
2016-07-13$30.89$29.0025.7%7.4%29.1%15.8%27.2%6.3%-3.2%4.0M-60.5M-817.1K0.8022.27N/AN/A4,6073,68193,314133,393
2016-07-14$31.30$29.0026.8%7.7%28.7%19.6%28.0%6.7%-3.4%4.8M-78.5M-844.1K0.8922.84N/AN/A3,4493,08495,989134,393
2016-07-15$31.29$29.0026.8%7.7%28.8%19.8%27.7%5.7%-3.3%1.4M-86.4M-833.8K0.4025.40N/AN/A7,4782,99596,467134,863
2016-07-18$30.95$29.0026.9%7.7%29.5%20.2%28.1%5.3%-2.3%1.6M-41.2M-790.6K0.3224.81N/AN/A7,5812,43667,968112,593
2016-07-19$30.46$29.0029.0%8.3%30.5%27.5%28.7%5.6%-2.1%1.6M-30.2M-842.9K0.8219.06N/AN/A3,1542,57672,156113,015
2016-07-20$30.57$29.0027.8%8.0%30.0%23.3%27.3%6.0%-2.5%1.7M-30.8M-849.3K0.7213.29N/AN/A2,3421,68772,808113,419
2016-07-21$30.60$29.0028.4%8.2%29.8%25.5%27.9%4.9%-3.0%1.7M-31.8M-872.3K0.5622.78N/AN/A3,3531,88473,169113,495
2016-07-22$30.89$29.0027.7%7.9%29.3%23.0%28.4%5.4%-2.6%2.1M-45.3M-816.8K2.4118.66N/AN/A1,5803,80273,968113,657
2016-07-25$30.83$29.0029.7%8.5%28.4%29.8%30.2%5.5%-3.9%2.2M-45.0M-803.5K2.2516.74N/AN/A1,7043,82774,762115,547
2016-07-26$30.61$29.0029.7%8.5%22.5%30.1%30.5%3.6%-4.3%2.0M-36.1M-867.0K2.2715.50N/AN/A1,4733,34875,646114,090
2016-07-27$30.69$29.0030.5%8.7%19.7%32.7%30.6%5.7%-5.2%2.0M-37.0M-823.2K1.6620.68N/AN/A2,1513,57275,958114,132
2016-07-28$30.84$29.0030.9%8.8%18.7%34.0%30.7%5.4%-4.8%2.3M-45.8M-801.7K2.4218.15N/AN/A1,4113,41277,030114,535
2016-07-29$31.46$29.0031.7%9.1%18.7%37.1%32.4%7.0%-5.8%2.8M-62.0M-818.5K2.2321.37N/AN/A1,5483,44977,607114,604