CTL Options History — February 2017

In February 2017, CTL traded between $24.24 and $25.49. ATM implied volatility averaged 24.8%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 12.3% (HV 20d: 12.5%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.20.

Notable Days

  • 2017-02-28: Highest Volume — 14,541 contracts
  • 2017-02-08: Largest IV drop — 24.4% change
  • 2017-02-01: Highest IV Rank — 45.6%
  • 2017-02-01: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.70$24.24$25.49$25.49$24.25
Max Pain$24.68$24.00$25.00$25.00$24.00
ATM IV24.8%15.8%36.2%32.5%21.2%
Expected Move6.8%4.5%9.3%9.3%6.1%
HV 20d12.5%10.1%13.9%10.1%13.4%
HV 60d22.0%19.2%24.5%24.4%19.2%
IV Rank19.4%0.0%45.6%45.6%17.8%
IV Percentile25.3%0.0%85.7%85.7%6.7%
Term Structure-1.2%-4.0%1.2%-2.2%-0.9%
VWIV23.5%19.6%30.6%30.6%22.1%
Skew 25d4.1%0.9%8.8%3.1%0.9%
Skew 10d6.0%-2.8%16.9%6.1%-2.8%
Call IV 25d21.4%15.3%29.5%29.5%20.7%
Put IV 25d25.5%21.4%32.6%32.6%21.6%
Bid-Ask Spread %24.8013.7770.1723.2670.17
Gamma HHI0.190.160.330.190.17
Net GEX1.6M-839.9K3.3M3.2M1.2M
Net DEX-20.7M-64.3M16.2M-64.3M-8.6M
Net VEX-665.7K-752.9K-609.7K-752.9K-609.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.233.350.440.23
Total Volume6,299.1053,33214,5416,68014,541
Total OI171,887.421151,414189,337170,506156,934

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$25.49$25.0032.5%9.3%10.1%45.6%30.6%3.1%-2.2%3.2M-64.3M-752.9K0.4423.26N/AN/A4,6382,042107,05163,455
2017-02-02$25.28$25.0032.1%8.0%10.5%31.6%27.6%5.5%-3.7%3.1M-53.3M-746.1K1.0521.25N/AN/A2,2642,370108,20263,823
2017-02-03$25.42$25.0031.9%8.0%10.7%31.0%27.4%3.7%-3.5%3.3M-59.4M-733.6K1.1522.87N/AN/A2,0752,396108,61164,242
2017-02-06$25.05$25.0035.3%8.1%11.9%31.9%27.4%3.9%-2.5%3.0M-45.8M-704.6K1.2423.04N/AN/A2,3212,871108,60764,770
2017-02-07$24.89$25.0036.2%8.0%12.0%30.9%28.3%3.4%-4.0%2.7M-36.3M-708.5K0.6919.63N/AN/A4,0722,821109,36965,778
2017-02-08$24.64$25.0027.4%7.9%12.4%29.4%26.6%4.1%-2.8%2.5M-22.8M-695.0K0.9321.71N/AN/A5,9685,527110,24366,145
2017-02-09$24.39$25.0023.4%6.7%12.8%18.1%21.9%3.5%-1.2%1.0M-4.5M-668.0K0.4831.74N/AN/A6,0322,877112,10969,490
2017-02-10$24.47$25.0023.1%6.6%12.9%17.5%22.1%3.2%-1.7%697.4K-3.0M-664.8K1.2717.15N/AN/A1,8202,310112,21770,233
2017-02-13$24.63$25.0021.5%6.2%13.0%11.6%23.0%2.8%0.3%1.0M-12.9M-643.6K3.3518.82N/AN/A1,7685,923112,19569,913
2017-02-14$24.52$25.0021.9%6.3%12.5%13.3%23.0%3.9%0.6%206.5K-2.3M-661.8K1.4617.83N/AN/A1,7182,514112,52673,758
2017-02-15$24.40$25.0022.8%6.5%12.5%16.2%22.7%3.8%-1.5%-127.6K6.6M-650.6K2.5717.09N/AN/A1,2013,090112,88474,233
2017-02-16$24.24$25.0021.7%6.2%12.6%12.5%19.9%4.0%-1.5%-839.9K16.2M-613.0K1.8919.18N/AN/A1,7683,333112,89075,128
2017-02-17$24.28$25.0021.2%6.1%12.5%10.7%20.4%5.4%-1.7%1.1M12.1M-617.9K0.7113.77N/AN/A5,0113,576113,32976,008
2017-02-21$24.69$24.0021.8%6.3%13.8%12.8%21.5%5.0%-0.9%1.4M-20.7M-634.1K0.5314.24N/AN/A3,7551,99191,02860,386
2017-02-22$24.84$24.0020.7%5.9%13.9%8.8%19.6%8.8%0.7%1.6M-28.1M-644.1K0.8261.06N/AN/A2,9652,44692,86860,744
2017-02-23$24.67$24.0015.8%4.5%13.9%0.0%20.9%8.0%0.8%1.7M-25.7M-645.5K1.5416.29N/AN/A1,8742,87893,64561,225
2017-02-24$24.58$24.0019.4%5.6%12.7%11.8%19.8%2.7%1.2%1.4M-19.3M-635.2K1.1621.95N/AN/A1,5401,79294,04361,616
2017-02-27$24.61$24.0021.3%6.1%12.8%18.0%20.8%2.9%0.7%1.4M-20.9M-620.0K1.2520.06N/AN/A1,5971,99894,38161,782
2017-02-28$24.25$24.0021.2%6.1%13.4%17.8%22.1%0.9%-0.9%1.2M-8.6M-609.7K0.2370.17N/AN/A11,7892,75294,84462,090