CTL Options History — March 2017

In March 2017, CTL traded between $22.46 and $24.11. ATM implied volatility averaged 20.2%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.3% (HV 20d: 19.9%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.74.

Notable Days

2017-03-01: Highest Volume — 14,665 contracts
2017-03-14: Largest IV spike — 32.4% change
2017-03-16: Highest IV Rank — 18.1%
2017-03-16: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.18	$22.46	$24.11	$24.11	$23.61
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	20.2%	17.7%	25.3%	19.1%	18.1%
Expected Move	5.7%	5.1%	6.1%	5.5%	5.2%
HV 20d	19.9%	13.2%	24.4%	13.2%	24.0%
HV 60d	20.5%	17.0%	22.2%	19.2%	17.1%
IV Rank	13.4%	6.1%	18.1%	10.8%	7.4%
IV Percentile	4.2%	0.4%	11.9%	0.8%	0.8%
Term Structure	3.9%	-0.1%	6.4%	1.0%	6.2%
VWIV	20.0%	17.9%	21.3%	20.1%	18.6%
Skew 25d	1.9%	-2.4%	4.5%	0.9%	0.7%
Skew 10d	3.2%	-11.1%	13.6%	11.2%	2.4%
Call IV 25d	19.7%	16.5%	21.5%	20.7%	19.0%
Put IV 25d	21.6%	19.1%	23.5%	21.6%	19.7%
Bid-Ask Spread %	17.91	10.29	70.35	23.14	11.68
Gamma HHI	0.14	0.10	0.25	0.11	0.19
Net GEX	978.4K	-72.7K	2.4M	332.6K	2.4M
Net DEX	8.7M	-13.6M	34.7M	3.3M	-12.0M
Net VEX	-615.6K	-662.7K	-552.8K	-616.3K	-649.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.27	1.46	0.27	0.43
Total Volume	6,537.783	3,617	14,665	14,665	6,588
Total OI	168,525.826	151,145	177,298	151,145	175,636

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-03-01	$24.11	$24.00	19.1%	5.5%	13.2%	10.8%	20.1%	0.9%	1.0%	332.6K	3.3M	-616.3K	0.27	23.14	N/A	N/A	11,590	3,075	88,492	62,653
2017-03-02	$23.56	$24.00	19.9%	5.7%	14.4%	13.5%	20.1%	-2.4%	-0.1%	347.8K	4.9M	-652.8K	0.85	15.83	N/A	N/A	2,486	2,114	98,085	63,138
2017-03-03	$23.54	$24.00	19.0%	5.5%	14.3%	10.5%	20.6%	4.5%	0.5%	424.4K	2.6M	-662.7K	1.34	11.84	N/A	N/A	1,770	2,367	100,713	63,255
2017-03-06	$23.16	$24.00	21.5%	6.0%	14.6%	16.8%	20.6%	1.5%	3.3%	3.5K	18.5M	-613.6K	1.37	15.04	N/A	N/A	1,856	2,542	101,091	63,760
2017-03-07	$22.51	$24.00	20.6%	5.9%	16.5%	16.1%	21.3%	1.0%	3.5%	-72.7K	34.7M	-575.2K	0.71	17.18	N/A	N/A	3,805	2,701	101,415	64,276
2017-03-08	$22.46	$24.00	23.1%	6.0%	16.5%	16.7%	20.4%	2.0%	3.9%	84.2K	30.9M	-578.4K	0.55	12.63	N/A	N/A	5,406	2,981	102,383	63,928
2017-03-09	$22.76	$24.00	21.9%	5.8%	17.7%	14.1%	21.0%	3.2%	3.7%	865.7K	25.7M	-594.0K	0.60	15.92	N/A	N/A	3,477	2,081	106,871	65,101
2017-03-10	$23.11	$24.00	18.4%	5.6%	18.7%	12.3%	19.7%	1.5%	4.7%	1.3M	14.6M	-604.1K	0.34	13.12	N/A	N/A	5,029	1,711	108,254	65,141
2017-03-13	$23.42	$24.00	19.1%	5.8%	19.5%	14.8%	20.1%	3.2%	3.9%	914.7K	2.7M	-639.3K	0.51	14.65	N/A	N/A	3,674	1,876	109,243	65,192
2017-03-14	$23.29	$24.00	25.3%	6.0%	19.3%	17.1%	20.1%	2.3%	3.3%	732.3K	6.6M	-632.5K	0.39	16.21	N/A	N/A	5,054	1,954	109,188	65,276
2017-03-15	$23.74	$24.00	19.9%	5.7%	20.7%	13.5%	20.8%	3.1%	3.0%	975.3K	-13.6M	-659.5K	0.95	21.54	N/A	N/A	5,205	4,949	109,873	64,852
2017-03-16	$23.33	$24.00	21.3%	6.1%	21.5%	18.1%	20.5%	2.4%	2.8%	614.5K	1.4M	-644.8K	0.93	70.35	N/A	N/A	1,873	1,744	110,624	66,422
2017-03-17	$23.63	$24.00	18.5%	5.3%	22.0%	8.8%	18.5%	1.4%	4.6%	1.8M	-7.7M	-641.7K	0.81	15.05	N/A	N/A	3,038	2,449	110,837	66,461
2017-03-20	$23.67	$24.00	17.7%	5.1%	22.0%	6.1%	17.9%	3.0%	5.0%	2.0M	-11.0M	-635.9K	0.49	10.29	N/A	N/A	4,383	2,161	102,880	57,683
2017-03-21	$23.41	$24.00	21.2%	6.1%	21.2%	17.6%	20.5%	2.8%	4.6%	2.0M	-5.3M	-633.8K	1.46	14.21	N/A	N/A	1,947	2,850	105,676	58,242
2017-03-22	$22.82	$24.00	20.3%	5.8%	22.4%	14.8%	21.0%	1.2%	4.5%	1.2M	12.8M	-604.2K	0.33	35.08	N/A	N/A	8,315	2,777	105,959	60,975
2017-03-23	$22.63	$24.00	20.8%	6.0%	22.5%	16.3%	20.8%	1.9%	3.6%	903.4K	18.6M	-585.3K	1.16	15.12	N/A	N/A	1,785	2,063	104,522	61,410
2017-03-24	$22.76	$24.00	20.0%	5.7%	22.7%	13.6%	20.3%	3.1%	4.9%	1.0M	16.9M	-578.5K	1.32	14.45	N/A	N/A	2,182	2,875	104,895	61,992
2017-03-27	$22.64	$24.00	20.5%	5.9%	22.7%	15.4%	20.3%	1.1%	5.2%	731.3K	23.3M	-569.7K	0.46	13.68	N/A	N/A	4,308	1,960	104,991	63,204
2017-03-28	$22.52	$24.00	19.9%	5.7%	22.3%	13.4%	19.9%	1.3%	4.5%	696.5K	24.2M	-552.8K	0.49	10.36	N/A	N/A	4,319	2,131	106,698	62,752
2017-03-29	$23.08	$24.00	18.8%	5.4%	24.4%	9.8%	19.3%	3.0%	5.9%	1.4M	8.7M	-602.6K	1.04	13.48	N/A	N/A	2,810	2,919	107,027	62,947
2017-03-30	$23.36	$24.00	19.3%	5.5%	23.6%	11.4%	18.8%	1.5%	6.4%	1.8M	-1.3M	-630.2K	0.34	10.98	N/A	N/A	5,366	1,823	107,833	64,248
2017-03-31	$23.61	$24.00	18.1%	5.2%	24.0%	7.4%	18.6%	0.7%	6.2%	2.4M	-12.0M	-649.7K	0.43	11.68	N/A	N/A	4,597	1,991	111,163	64,473