CTL Options History — November 2016

In November 2016, CTL traded between $22.97 and $25.52. ATM implied volatility averaged 30.1%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 36.7% (HV 20d: 66.8%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-11-03: Highest Volume — 42,658 contracts
  • 2016-11-03: Largest IV spike — 11.5% change
  • 2016-11-02: Highest IV Rank — 55.0%
  • 2016-11-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.29$22.97$25.52$25.05$23.58
Max Pain$24.24$23.00$27.00$27.00$25.00
ATM IV30.1%25.0%39.5%32.2%26.5%
Expected Move8.4%7.2%10.2%9.2%7.6%
HV 20d66.8%37.9%73.2%66.3%37.9%
HV 60d42.9%39.8%44.5%39.8%44.5%
IV Rank35.1%21.8%55.0%44.8%26.5%
IV Percentile56.3%30.6%89.3%76.6%38.5%
Term Structure-0.4%-2.4%1.4%-1.8%-1.8%
VWIV31.7%27.1%38.6%33.4%27.4%
Skew 25d3.6%-0.2%6.8%2.3%1.6%
Skew 10d5.8%-2.4%12.5%2.7%-2.4%
Call IV 25d28.4%25.0%35.4%32.2%27.6%
Put IV 25d32.0%25.7%38.0%34.5%29.2%
Bid-Ask Spread %25.3911.0060.4860.4819.56
Gamma HHI0.200.110.440.120.12
Net GEX864.8K-1.5M4.5M-1.2M-1.0M
Net DEX49.4M10.4M114.5M79.3M56.0M
Net VEX-725.2K-788.5K-535.5K-577.0K-677.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.201.420.560.78
Total Volume12,477.4765,68742,65832,3407,482
Total OI264,956.19213,180295,920213,180248,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$25.05$27.0032.2%9.2%66.3%44.8%33.4%2.3%-1.8%-1.2M79.3M-577.0K0.5660.48N/AN/A20,71611,62499,449113,731
2016-11-02$24.33$27.0035.4%10.2%66.9%55.0%36.4%2.0%-2.4%-1.2M88.6M-634.7K0.3354.91N/AN/A18,8426,272110,579120,010
2016-11-03$22.97$25.0039.5%10.0%69.4%53.2%34.9%5.3%-1.3%-1.5M114.5M-535.5K0.2026.91N/AN/A35,4457,213119,084120,884
2016-11-04$23.05$25.0035.2%9.4%68.1%47.0%33.0%4.6%-1.5%-32.8K95.7M-698.0K0.3622.25N/AN/A13,2534,749146,365123,065
2016-11-07$23.24$24.0037.0%8.9%68.3%40.8%34.4%6.8%-0.2%440.4K89.6M-704.2K0.6925.60N/AN/A5,9954,153153,310124,015
2016-11-08$24.30$24.0035.1%8.4%70.8%35.5%31.6%6.1%-1.2%1.9M48.9M-784.2K0.7123.53N/AN/A5,6534,025156,162124,975
2016-11-09$24.33$24.0031.4%9.0%70.9%42.1%31.8%6.0%-1.3%2.1M46.4M-777.0K0.7424.42N/AN/A4,2283,127158,575125,338
2016-11-10$23.92$24.0031.4%9.0%71.0%42.0%32.4%6.1%-1.4%2.1M57.9M-780.8K1.4027.56N/AN/A2,8633,999160,196125,808
2016-11-11$23.83$23.0028.8%8.3%70.9%34.0%30.1%3.2%1.4%2.2M66.8M-762.3K0.5424.77N/AN/A5,8873,191160,569127,291
2016-11-14$24.38$23.0031.2%8.9%71.7%41.4%31.9%4.8%-1.4%3.3M36.7M-788.5K1.2521.00N/AN/A2,8163,506163,601127,810
2016-11-15$24.70$23.0028.4%8.1%71.4%32.6%29.5%3.4%1.4%3.6M19.9M-778.9K1.2022.76N/AN/A2,8803,460164,557128,572
2016-11-16$24.56$23.0027.4%7.9%71.1%29.4%29.1%3.0%0.1%4.0M25.0M-764.0K1.2723.41N/AN/A2,5023,185165,437129,089
2016-11-17$24.35$23.0028.1%8.1%71.1%31.6%32.3%5.5%-0.0%4.5M38.1M-742.3K1.4225.66N/AN/A3,1844,511164,719130,137
2016-11-18$24.79$23.0026.7%7.7%71.4%27.3%27.5%1.2%0.4%-159.9K17.2M-766.6K0.9814.19N/AN/A4,8654,774165,711130,209
2016-11-21$25.52$23.0027.1%7.8%72.5%28.3%27.1%3.6%1.0%258.1K10.4M-765.1K0.6224.31N/AN/A4,8703,001128,983117,973
2016-11-22$25.30$23.0025.7%7.4%72.4%24.0%38.6%3.3%1.0%395.7K12.6M-772.3K0.2828.79N/AN/A9,7682,696130,639117,992
2016-11-23$24.41$25.0025.9%7.4%73.2%24.8%29.7%-0.2%0.5%-482.6K38.2M-736.2K0.4823.21N/AN/A6,4963,098125,450118,051
2016-11-25$24.66$25.0025.0%7.2%62.5%21.8%30.1%2.3%0.2%-305.1K30.1M-731.2K0.3514.73N/AN/A8,0572,849125,854118,090
2016-11-28$24.65$25.0026.5%7.6%62.5%26.6%31.9%2.2%-0.5%-130.4K26.5M-743.8K0.5011.00N/AN/A5,0072,525128,479118,203
2016-11-29$24.25$25.0026.9%7.7%41.9%27.9%31.6%1.9%-0.3%-613.5K39.2M-708.8K0.4114.07N/AN/A6,5522,708128,817118,267
2016-11-30$23.58$25.0026.5%7.6%37.9%26.5%27.4%1.6%-1.8%-1.0M56.0M-677.6K0.7819.56N/AN/A4,2093,273129,503118,531