CTL Options History — August 2016

In August 2016, CTL traded between $27.82 and $30.95. ATM implied volatility averaged 23.6%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.2% (HV 20d: 16.4%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.83.

Notable Days

  • 2016-08-01: Highest Volume — 17,495 contracts
  • 2016-08-04: Largest IV drop — 40.7% change
  • 2016-08-02: Highest IV Rank — 64.4%
  • 2016-08-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.56$27.82$30.95$30.95$27.82
Max Pain$29.70$29.00$31.00$29.00$29.00
ATM IV23.6%19.8%39.5%38.2%20.7%
Expected Move6.8%5.7%11.3%11.0%5.9%
HV 20d16.4%13.2%19.7%19.7%15.3%
HV 60d22.2%21.3%23.3%23.1%22.0%
IV Rank10.6%0.0%64.4%60.1%2.9%
IV Percentile14.2%0.0%93.7%92.5%1.2%
Term Structure-0.6%-9.4%3.6%-9.4%1.4%
VWIV24.8%20.1%38.5%37.3%20.6%
Skew 25d5.3%1.7%6.7%5.0%1.7%
Skew 10d9.2%-3.8%17.6%17.1%-3.8%
Call IV 25d21.7%17.5%38.1%36.7%18.8%
Put IV 25d26.9%20.5%43.7%41.7%20.5%
Bid-Ask Spread %24.9614.3872.9724.0714.38
Gamma HHI0.150.120.230.130.12
Net GEX1.8M-577.7K3.5M2.4M-226.1K
Net DEX-8.1M-52.3M32.3M-52.3M32.3M
Net VEX-769.0K-863.4K-678.8K-808.0K-716.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.830.222.230.400.80
Total Volume5,810.3481,00817,49517,4957,245
Total OI205,769.261181,489225,454193,302188,122

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$30.95$29.0038.2%11.0%19.7%60.1%37.3%5.0%-9.4%2.4M-52.3M-808.0K0.4024.07N/AN/A12,4825,01378,235115,067
2016-08-02$30.55$30.0039.5%11.3%19.3%64.4%38.5%5.6%-8.2%2.7M-41.4M-856.6K0.6343.01N/AN/A5,6643,54687,436116,254
2016-08-03$30.49$30.0037.4%10.7%18.3%57.1%38.1%4.4%-6.5%3.1M-41.6M-863.4K1.3272.97N/AN/A4,7466,27491,229116,631
2016-08-04$30.26$31.0022.1%6.5%18.5%5.6%24.4%5.9%-0.5%3.2M-26.5M-813.3K0.8232.77N/AN/A5,5404,55593,650118,536
2016-08-05$29.86$30.0020.2%6.2%16.4%1.7%22.6%4.4%-0.3%2.7M-14.5M-800.0K0.9730.96N/AN/A2,5292,44494,372119,754
2016-08-08$30.27$30.0022.2%6.4%17.1%4.0%23.8%6.7%-1.0%2.7M-23.4M-795.5K0.6222.91N/AN/A2,1991,36994,553119,884
2016-08-09$30.15$30.0021.1%6.3%16.4%2.5%24.2%6.5%-0.4%2.9M-24.5M-788.3K1.7322.24N/AN/A1,4742,54595,056120,098
2016-08-10$30.30$30.0021.6%6.2%16.3%1.6%25.2%5.8%-0.4%3.0M-27.8M-797.0K2.2318.35N/AN/A1,1652,59595,317121,300
2016-08-11$30.43$30.0022.3%6.4%15.6%4.0%23.2%5.4%-1.0%3.2M-35.6M-767.9K0.2220.43N/AN/A7,3991,63295,446121,494
2016-08-12$29.98$30.0020.9%6.0%16.3%0.0%23.6%3.8%0.5%3.2M-25.0M-833.3K0.5823.77N/AN/A4,0602,366101,020121,868
2016-08-15$30.02$30.0020.9%6.0%16.0%0.0%23.4%5.8%0.9%3.5M-26.8M-825.5K0.7618.16N/AN/A2,5981,979102,340122,091
2016-08-16$29.42$30.0023.7%6.8%16.6%9.8%22.5%4.4%-1.3%2.1M-3.6M-786.0K0.6025.95N/AN/A3,4672,070102,379122,131
2016-08-17$29.25$30.0023.0%6.6%16.5%7.5%23.9%5.8%-1.0%687.6K7.4M-746.4K0.3021.76N/AN/A1,663497102,507122,432
2016-08-18$29.13$30.0023.3%6.7%16.5%8.3%23.8%4.7%-0.3%-577.7K15.7M-784.7K1.9620.62N/AN/A5691,115102,848122,509
2016-08-19$28.85$30.0021.7%6.2%16.1%2.9%24.2%5.6%-0.2%432.8K32.2M-756.7K1.0720.66N/AN/A2,2082,362102,737122,717
2016-08-22$28.93$30.0021.1%6.0%16.2%0.8%20.6%5.3%2.0%736.0K9.0M-691.7K0.4520.70N/AN/A4,9682,22576,217105,272
2016-08-23$29.11$29.0021.3%6.1%16.5%1.6%22.3%6.3%-0.1%1.3M3.7M-729.7K0.8618.40N/AN/A1,6961,46379,198106,222
2016-08-24$29.05$29.0019.8%5.7%16.3%0.0%20.1%6.5%2.6%1.3M6.1M-726.3K0.3417.68N/AN/A75125779,474106,392
2016-08-25$29.12$29.0020.9%6.0%16.2%3.7%21.3%5.2%0.8%1.3M6.2M-720.1K0.9218.75N/AN/A1,6421,50479,890106,574
2016-08-26$28.73$29.0021.0%6.0%14.2%3.8%23.2%5.4%2.7%998.0K13.4M-713.1K0.6230.39N/AN/A2,4321,50080,440106,762
2016-08-29$28.73$29.0019.8%5.7%13.6%0.0%21.0%5.5%3.6%834.9K16.2M-689.2K0.6917.43N/AN/A1,8641,29080,939106,891
2016-08-30$28.54$29.0020.4%5.9%13.2%2.0%22.2%6.0%2.5%819.7K14.1M-678.8K0.2317.78N/AN/A5,4471,22981,264107,145
2016-08-31$27.82$29.0020.7%5.9%15.3%2.9%20.6%1.7%1.4%-226.1K32.3M-716.7K0.8014.38N/AN/A4,0353,21080,397107,725