CTL Options History — January 2017

In January 2017, CTL traded between $25.16 and $26.04. ATM implied volatility averaged 26.9%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 0.1% (HV 20d: 27.0%). Max pain ranged from $24.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2017-01-13: Highest Volume — 19,658 contracts
  • 2017-01-11: Largest IV spike — 20.7% change
  • 2017-01-31: Highest IV Rank — 39.8%
  • 2017-01-31: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.53$25.16$26.04$25.39$25.88
Max Pain$25.00$24.00$26.00$26.00$25.00
ATM IV26.9%23.1%30.7%25.6%30.7%
Expected Move8.0%6.8%8.8%7.3%8.8%
HV 20d27.0%25.6%28.7%28.7%25.6%
HV 60d42.9%27.1%46.6%46.6%27.1%
IV Rank31.1%17.2%39.8%23.7%39.8%
IV Percentile54.6%24.6%74.6%38.1%74.6%
Term Structure-1.9%-4.6%5.1%3.7%-3.2%
VWIV28.1%25.3%30.4%25.8%30.4%
Skew 25d3.7%2.0%5.2%3.6%4.6%
Skew 10d9.1%6.1%13.5%11.4%8.1%
Call IV 25d26.3%22.7%28.8%23.5%28.0%
Put IV 25d30.0%24.7%33.6%27.2%32.6%
Bid-Ask Spread %23.5614.9542.5539.0914.95
Gamma HHI0.210.170.250.200.18
Net GEX1.9M238.3K3.4M238.3K3.4M
Net DEX-41.2M-83.2M-7.4M-12.5M-79.3M
Net VEX-729.4K-757.2K-705.5K-719.0K-747.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.423.550.441.06
Total Volume8,193.84,63119,65812,8196,980
Total OI231,878.45150,183286,326251,755168,414

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$25.39$26.0025.6%7.3%28.7%23.7%25.8%3.6%3.7%238.3K-12.5M-719.0K0.4439.09N/AN/A8,9283,891128,695123,060
2017-01-04$25.46$26.0023.6%6.8%28.6%17.2%25.3%2.0%5.1%874.8K-20.8M-726.3K1.0642.55N/AN/A6,4726,871132,850123,260
2017-01-05$25.48$24.0024.0%8.2%28.3%33.6%28.3%4.5%-1.3%806.0K-21.8M-745.2K0.7124.54N/AN/A4,5143,197135,948126,258
2017-01-06$25.42$24.0023.1%8.0%28.2%30.5%27.5%2.7%-1.3%959.6K-20.0M-757.2K0.8320.79N/AN/A3,4362,850137,345126,707
2017-01-09$25.32$25.0023.6%8.3%28.1%34.4%28.7%3.3%-2.2%996.0K-19.4M-732.0K1.0618.49N/AN/A2,9303,093138,856127,082
2017-01-10$25.20$25.0023.6%8.4%28.2%35.3%29.6%3.5%-2.9%650.5K-8.3M-730.1K1.7319.54N/AN/A2,3063,988139,342127,562
2017-01-11$25.21$25.0028.5%8.2%28.0%33.0%28.9%2.2%-2.6%1.1M-11.2M-737.8K2.0616.76N/AN/A1,7993,713140,520129,184
2017-01-12$25.16$25.0028.2%8.1%27.4%31.8%28.9%4.2%-2.7%707.4K-7.4M-721.2K3.5520.57N/AN/A2,3438,327140,786129,358
2017-01-13$25.30$25.0027.9%8.0%26.3%31.0%27.9%3.8%-2.7%1.5M-19.6M-716.9K1.2230.89N/AN/A8,84310,815141,860129,725
2017-01-17$25.51$25.0027.9%8.0%26.4%31.1%27.8%4.2%-2.4%2.3M-36.8M-724.5K1.7226.27N/AN/A2,0303,501148,886136,132
2017-01-18$25.47$25.0028.6%8.2%26.5%33.3%27.8%3.4%-3.3%2.6M-37.7M-721.3K0.8021.85N/AN/A2,5682,063149,233135,581
2017-01-19$25.47$25.0028.2%8.1%26.5%32.1%27.7%2.3%-3.2%2.3M-37.9M-709.6K0.5620.47N/AN/A4,2162,367149,728135,655
2017-01-20$25.56$25.0027.5%7.9%26.4%29.6%28.1%4.7%-3.9%2.3M-48.8M-719.9K0.5321.33N/AN/A6,5393,493150,489135,837
2017-01-23$25.77$25.0027.0%7.8%25.9%28.2%27.3%3.6%-1.2%2.5M-66.6M-705.5K0.5317.50N/AN/A4,9592,64492,60557,578
2017-01-24$25.59$25.0026.9%7.7%26.2%27.6%27.1%5.2%-2.4%2.8M-66.5M-715.2K0.6118.22N/AN/A4,1922,55896,41658,545
2017-01-25$25.70$25.0027.1%7.8%26.1%28.5%27.8%4.8%-3.0%2.9M-70.9M-737.7K0.8417.44N/AN/A2,6882,24998,92258,923
2017-01-26$26.04$25.0027.9%8.0%26.3%31.0%28.2%3.7%-2.5%3.1M-83.2M-734.4K0.4225.29N/AN/A5,3832,27399,82059,391
2017-01-27$25.94$25.0028.6%8.2%26.3%33.2%29.1%2.8%-2.1%3.3M-80.9M-748.4K1.4719.68N/AN/A2,2563,320102,80559,979
2017-01-30$25.78$25.0029.6%8.5%26.5%36.5%30.0%4.8%-4.6%3.2M-74.0M-738.7K0.8035.00N/AN/A5,1544,127103,35360,879
2017-01-31$25.88$25.0030.7%8.8%25.6%39.8%30.4%4.6%-3.2%3.4M-79.3M-747.9K1.0614.95N/AN/A3,3953,585106,31862,096