CTL Options History — September 2016

In September 2016, CTL traded between $26.80 and $28.42. ATM implied volatility averaged 22.9%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.0% (HV 20d: 16.8%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2016-09-22: Highest Volume — 8,831 contracts
  • 2016-09-13: Largest IV spike — 34.4% change
  • 2016-09-13: Highest IV Rank — 22.5%
  • 2016-09-13: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.54$26.80$28.42$27.74$27.50
Max Pain$28.90$28.00$29.00$29.00$28.00
ATM IV22.9%18.2%32.8%21.1%22.7%
Expected Move6.5%5.2%7.2%6.0%6.5%
HV 20d16.8%14.7%19.8%15.3%17.5%
HV 60d20.6%17.3%22.4%22.0%17.3%
IV Rank14.1%0.0%22.5%4.2%14.4%
IV Percentile12.9%0.0%26.6%3.2%11.9%
Term Structure3.8%0.9%6.5%1.5%6.5%
VWIV23.1%18.8%26.9%20.6%21.4%
Skew 25d4.5%1.4%6.3%1.4%3.7%
Skew 10d10.0%-1.9%17.3%-1.9%13.7%
Call IV 25d21.0%18.6%23.6%20.2%20.3%
Put IV 25d25.6%21.4%28.7%21.6%24.0%
Bid-Ask Spread %43.4015.9587.2118.4280.65
Gamma HHI0.120.110.130.120.11
Net GEX-651.4K-2.0M1.1M-82.3K-991.9K
Net DEX40.6M16.5M61.0M33.6M43.9M
Net VEX-683.7K-747.3K-626.0K-714.6K-684.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.323.820.642.23
Total Volume5,003.4762,3098,8313,7904,457
Total OI193,769.048185,707200,429189,937200,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$27.74$29.0021.1%6.0%15.3%4.2%20.6%1.4%1.5%-82.3K33.6M-714.6K0.6418.42N/AN/A2,3161,47481,668108,269
2016-09-02$27.93$29.0018.2%5.2%15.4%0.0%18.8%2.2%3.9%-88.0K29.4M-715.2K0.7221.53N/AN/A1,6561,19781,812108,677
2016-09-06$28.16$29.0019.1%6.2%14.7%10.6%22.0%4.4%2.8%561.3K21.5M-710.3K0.4421.57N/AN/A2,8071,24681,925108,699
2016-09-07$28.42$29.0020.6%6.2%15.4%11.2%21.6%5.8%2.7%1.1M16.5M-720.2K0.7821.33N/AN/A1,6291,26383,008108,689
2016-09-08$28.34$29.0020.3%6.1%15.1%10.3%21.9%6.3%2.8%841.9K23.0M-747.3K0.8321.07N/AN/A1,2631,04683,526108,755
2016-09-09$27.93$29.0024.1%6.8%15.3%17.7%23.7%4.4%0.9%-49.8K29.5M-710.7K0.3225.55N/AN/A4,4211,42583,623110,855
2016-09-12$28.07$29.0024.4%6.7%15.1%16.0%23.0%4.5%2.7%126.6K27.0M-698.6K1.2126.61N/AN/A1,5701,89985,103110,717
2016-09-13$27.40$29.0032.8%7.2%16.7%22.5%24.8%6.2%2.2%-1.3M48.8M-700.0K0.9122.07N/AN/A2,3312,11285,017110,941
2016-09-14$27.40$29.0025.2%7.2%15.7%22.4%24.7%5.8%1.7%-1.2M46.1M-707.8K0.9315.95N/AN/A1,7211,60085,456111,114
2016-09-15$26.99$29.0024.4%7.0%16.2%19.8%25.9%3.8%1.6%-2.0M58.8M-675.0K0.8119.27N/AN/A1,6621,35486,092111,186
2016-09-16$26.87$29.0022.8%6.5%16.2%14.6%23.5%4.9%2.9%-2.0M61.0M-638.6K1.1645.02N/AN/A2,0372,36986,418111,219
2016-09-19$27.07$29.0023.8%6.8%16.6%18.0%24.2%4.8%5.5%-1.0M46.8M-633.9K1.1534.38N/AN/A2,5392,90978,890106,817
2016-09-20$26.80$29.0023.9%6.8%16.6%18.1%25.4%5.6%4.3%-1.4M57.6M-639.6K1.0226.76N/AN/A3,2393,30979,516107,238
2016-09-21$26.91$29.0022.2%6.4%16.4%12.8%26.9%5.6%5.9%-1.3M52.9M-626.0K3.5787.21N/AN/A1,6265,80280,933108,329
2016-09-22$27.65$29.0021.1%6.0%19.8%9.3%22.5%4.1%5.3%-501.5K35.2M-656.6K2.5363.29N/AN/A2,5046,32781,322109,680
2016-09-23$27.43$29.0022.9%6.6%19.8%15.1%23.1%4.2%4.3%-992.6K42.6M-653.8K2.2266.19N/AN/A2,6265,83582,163112,138
2016-09-26$27.32$29.0023.3%6.7%19.4%16.3%24.4%4.8%5.9%-969.3K46.5M-676.7K2.1872.46N/AN/A1,4463,15783,297112,459
2016-09-27$27.35$29.0022.7%6.5%19.4%14.4%21.1%4.2%5.4%-1.0M46.5M-669.1K3.8274.81N/AN/A1,2754,86783,405112,647
2016-09-28$27.49$29.0022.7%6.5%19.5%14.5%21.9%4.2%5.7%-662.5K42.2M-685.2K1.7571.43N/AN/A2,7754,85583,596113,461
2016-09-29$27.57$28.0022.4%6.4%17.5%13.5%22.9%4.7%4.9%-780.0K42.3M-695.1K2.4875.92N/AN/A1,4743,65384,767115,294
2016-09-30$27.50$28.0022.7%6.5%17.5%14.4%21.4%3.7%6.5%-991.9K43.9M-684.3K2.2380.65N/AN/A1,3823,07584,917115,512