CTL Options History — December 2016

In December 2016, CTL traded between $23.65 and $24.39. ATM implied volatility averaged 25.3%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.2% (HV 20d: 24.1%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2016-12-20: Highest Volume — 8,574 contracts
  • 2016-12-14: Largest IV drop — 18.4% change
  • 2016-12-01: Highest IV Rank — 28.0%
  • 2016-12-01: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.02$23.65$24.39$23.65$23.69
Max Pain$26.43$25.00$27.00$25.00$26.00
ATM IV25.3%23.1%30.6%27.0%24.1%
Expected Move7.0%6.6%7.7%7.7%6.9%
HV 20d24.1%14.2%36.6%36.6%15.2%
HV 60d44.4%44.2%44.6%44.4%44.3%
IV Rank20.3%15.7%28.0%28.0%18.9%
IV Percentile28.2%19.0%42.9%42.9%28.2%
Term Structure3.5%-0.7%6.3%-0.7%6.3%
VWIV24.6%22.6%28.1%28.1%24.7%
Skew 25d2.5%0.1%3.8%3.8%0.1%
Skew 10d5.9%0.2%14.7%5.4%1.7%
Call IV 25d24.1%22.6%26.1%26.1%25.8%
Put IV 25d26.6%24.6%29.9%29.9%25.9%
Bid-Ask Spread %20.689.2544.9720.7839.79
Gamma HHI0.160.130.200.130.16
Net GEX-718.6K-1.0M-261.6K-1.0M-703.3K
Net DEX48.1M36.7M59.6M59.6M50.9M
Net VEX-672.0K-691.1K-655.0K-655.2K-664.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.503.060.761.65
Total Volume6,239.0484,8228,5745,9755,723
Total OI251,522.238234,910264,251250,086249,944

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$23.65$25.0027.0%7.7%36.6%28.0%28.1%3.8%-0.7%-1.0M59.6M-655.2K0.7620.78N/AN/A3,4042,571130,699119,387
2016-12-02$23.94$25.0025.9%7.4%30.3%24.6%26.5%3.5%-0.7%-832.7K51.5M-676.7K1.7616.58N/AN/A2,3834,204131,641119,761
2016-12-05$24.18$27.0026.6%7.1%30.4%21.3%25.3%3.4%3.4%-546.6K43.6M-685.4K1.9812.97N/AN/A1,8263,607132,100121,465
2016-12-06$23.97$27.0025.9%7.2%30.6%22.6%25.1%3.4%2.9%-861.2K51.9M-668.3K1.7213.08N/AN/A1,8973,255132,575122,348
2016-12-07$24.24$27.0027.4%7.3%26.4%22.7%25.8%3.1%2.2%-571.8K42.6M-691.1K2.739.45N/AN/A1,6274,436133,077122,395
2016-12-08$24.11$27.0025.3%7.2%26.4%21.6%24.4%2.8%3.1%-781.3K48.4M-680.3K2.1512.93N/AN/A2,0934,504133,179123,654
2016-12-09$24.11$27.0026.1%7.2%25.7%22.6%25.2%2.2%2.6%-903.7K50.8M-686.1K3.069.64N/AN/A1,5834,851134,069123,933
2016-12-12$23.94$27.0029.5%7.2%25.8%22.2%25.6%2.6%3.2%-867.6K55.6M-660.0K2.7512.78N/AN/A1,7754,887134,415123,794
2016-12-13$24.39$27.0030.6%7.2%25.3%22.3%25.2%2.8%2.9%-261.6K38.4M-682.7K1.9011.59N/AN/A2,0353,857136,199124,243
2016-12-14$23.93$27.0025.0%7.2%25.7%21.7%25.2%3.2%1.7%-728.0K55.1M-663.2K1.7615.53N/AN/A2,3684,168136,582125,143
2016-12-15$23.97$27.0023.3%6.7%25.7%16.2%24.1%0.8%2.9%-712.2K55.6M-655.0K1.9011.31N/AN/A2,5414,831137,173125,704
2016-12-16$24.10$27.0023.5%6.7%25.6%17.0%23.7%2.2%2.9%-980.3K45.7M-659.1K1.9412.49N/AN/A2,7895,399137,551126,700
2016-12-19$24.13$27.0023.1%6.6%24.7%15.7%23.0%3.1%4.6%-1.0M49.6M-656.6K0.889.25N/AN/A3,4002,985115,473119,437
2016-12-20$24.06$26.0023.2%6.6%21.9%15.9%23.5%2.2%5.0%-928.2K48.5M-660.7K0.5011.02N/AN/A5,7072,867117,283119,539
2016-12-21$23.79$26.0023.1%6.6%22.1%15.8%22.6%2.2%5.5%-806.0K52.2M-672.9K1.139.49N/AN/A2,2602,562122,011119,839
2016-12-22$23.87$26.0023.6%6.8%18.4%17.3%23.1%2.1%4.3%-765.8K51.3M-665.8K0.5533.88N/AN/A3,8952,128122,723120,464
2016-12-23$24.07$26.0023.5%6.7%18.3%16.9%23.7%2.2%6.0%-462.0K42.7M-688.2K0.6442.26N/AN/A3,3282,129125,447120,574
2016-12-27$24.17$26.0024.6%7.1%18.4%20.6%24.0%3.1%4.9%-414.8K36.7M-686.9K0.5644.60N/AN/A3,8512,154125,800120,598
2016-12-28$24.04$26.0024.4%7.0%17.6%19.8%23.9%1.9%4.9%-496.7K42.8M-674.0K0.7244.97N/AN/A2,9112,095126,815120,761
2016-12-29$24.03$26.0025.5%7.3%14.2%23.2%24.8%2.0%4.6%-438.1K37.6M-680.0K1.3439.86N/AN/A2,6263,508126,632120,840
2016-12-30$23.69$26.0024.1%6.9%15.2%18.9%24.7%0.1%6.3%-703.3K50.9M-664.1K1.6539.79N/AN/A2,1633,560127,849122,095