CTL Options History — October 2016

In October 2016, CTL traded between $26.56 and $31.10. ATM implied volatility averaged 31.7%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 10.0% (HV 20d: 21.7%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2016-10-31: Highest Volume — 41,700 contracts
  • 2016-10-11: Largest IV spike — 62.4% change
  • 2016-10-27: Highest IV Rank — 90.0%
  • 2016-10-27: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.95$26.56$31.10$27.46$26.56
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV31.7%22.3%46.4%23.2%31.3%
Expected Move9.0%6.3%13.3%6.6%9.0%
HV 20d21.7%16.2%63.2%17.3%63.2%
HV 60d18.7%16.0%38.3%16.2%38.3%
IV Rank42.1%12.5%90.0%15.9%41.9%
IV Percentile65.5%9.5%99.2%18.3%72.6%
Term Structure-3.3%-10.7%6.5%6.0%-0.6%
VWIV31.7%22.1%47.9%22.2%31.5%
Skew 25d5.9%1.3%10.3%4.2%1.3%
Skew 10d12.8%-6.7%28.0%3.4%-6.7%
Call IV 25d28.9%20.7%40.1%20.7%31.9%
Put IV 25d34.8%24.9%50.4%24.9%33.2%
Bid-Ask Spread %72.9635.25132.8376.7052.45
Gamma HHI0.120.110.150.120.12
Net GEX-218.7K-1.7M2.4M-1.1M-1.1M
Net DEX22.6M-73.1M58.8M48.1M46.5M
Net VEX-655.7K-716.3K-598.1K-651.3K-598.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.221.901.900.50
Total Volume8,385.1433,93141,7004,44541,700
Total OI200,409.619172,737213,679200,686188,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$27.46$28.0023.2%6.6%17.3%15.9%22.2%4.2%6.0%-1.1M48.1M-651.3K1.9076.70N/AN/A1,5312,91485,168115,518
2016-10-04$27.08$28.0022.9%6.6%17.5%15.1%22.1%4.3%4.9%-1.5M56.1M-642.6K1.1672.60N/AN/A1,9962,31985,457115,614
2016-10-05$27.08$28.0022.6%6.5%17.0%14.1%22.5%3.0%6.5%-1.6M57.2M-643.9K0.6635.25N/AN/A2,4071,59185,908115,842
2016-10-06$26.93$28.0022.3%8.5%17.1%36.7%28.0%5.9%-2.7%-1.7M58.8M-652.5K1.8371.70N/AN/A1,7813,26486,372115,973
2016-10-07$27.76$28.0027.8%7.1%20.1%20.6%35.1%6.3%0.9%-123.5K23.1M-658.8K0.4596.67N/AN/A10,6174,73186,754116,049
2016-10-10$27.81$28.0024.2%8.6%20.0%37.9%33.5%8.2%-4.0%-168.9K32.3M-698.7K0.5870.84N/AN/A3,3691,94589,622118,690
2016-10-11$27.82$28.0039.3%6.3%17.9%12.5%27.7%6.1%6.1%-47.4K26.9M-716.3K0.22132.83N/AN/A8,9261,97689,848118,975
2016-10-12$27.60$28.0032.9%9.4%18.2%47.0%35.0%7.2%-5.8%-275.2K35.1M-684.7K0.7482.46N/AN/A2,6351,96292,387118,990
2016-10-13$27.39$28.0034.5%9.9%17.5%52.2%35.5%8.4%-6.1%-481.4K39.4M-669.7K0.6663.70N/AN/A2,7961,83392,415119,036
2016-10-14$27.36$28.0036.3%10.4%17.4%57.7%31.5%7.6%-10.7%-723.2K41.2M-634.8K0.6482.30N/AN/A3,3292,12192,447119,180
2016-10-17$27.34$28.0036.0%10.3%17.3%57.0%33.0%7.3%-8.5%-981.9K48.1M-649.2K1.2875.56N/AN/A2,0132,56892,942118,976
2016-10-18$27.88$28.0032.9%9.4%18.0%46.9%32.3%5.3%-6.1%-131.4K26.0M-669.5K0.7684.61N/AN/A2,2301,70193,112119,656
2016-10-19$28.23$28.0032.1%9.2%18.4%44.4%30.8%5.4%-5.3%706.2K13.4M-668.1K0.7781.11N/AN/A2,6952,08393,481119,696
2016-10-20$27.96$28.0033.6%9.6%16.4%49.1%32.5%5.3%-6.8%-201.6K23.8M-648.3K0.8884.77N/AN/A2,1191,87193,873119,806
2016-10-21$28.22$28.0031.2%8.9%16.3%41.4%30.7%2.6%-4.7%-36.6K4.5M-612.3K0.6867.15N/AN/A3,7542,55393,956119,304
2016-10-24$28.34$28.0031.2%8.9%16.2%41.4%29.2%5.4%-3.1%161.8K8.7M-607.3K0.4064.10N/AN/A3,3581,33665,863106,874
2016-10-25$28.46$28.0031.9%9.2%16.2%43.9%31.7%7.9%-4.2%222.1K7.3M-647.9K0.8658.92N/AN/A3,8293,28668,260107,250
2016-10-26$28.23$28.0034.0%9.8%16.6%50.5%32.4%7.0%-6.5%82.8K12.0M-646.1K1.7453.88N/AN/A1,7913,11770,838107,934
2016-10-27$31.10$28.0046.4%13.3%37.8%90.0%47.9%10.3%-10.6%2.1M-73.1M-678.6K0.5355.81N/AN/A10,0765,33771,479108,154
2016-10-28$30.40$28.0039.5%11.3%39.0%67.8%41.5%5.3%-7.4%2.4M-61.5M-690.6K0.3368.83N/AN/A10,9883,64077,901110,182
2016-10-31$26.56$28.0031.3%9.0%63.2%41.9%31.5%1.3%-0.6%-1.1M46.5M-598.1K0.5052.45N/AN/A27,73813,96278,313110,507