CTL Options History — April 2017

In April 2017, CTL traded between $23.61 and $25.93. ATM implied volatility averaged 23.3%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.6% (HV 20d: 16.8%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.82.

Notable Days

  • 2017-04-21: Highest Volume — 19,817 contracts
  • 2017-04-12: Largest IV spike — 43.3% change
  • 2017-04-17: Highest IV Rank — 36.7%
  • 2017-04-17: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.04$23.61$25.93$23.61$25.56
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV23.3%17.8%27.0%19.9%24.9%
Expected Move7.1%5.5%7.8%5.7%7.1%
HV 20d16.8%10.7%23.2%23.2%11.7%
HV 60d17.8%17.1%18.1%17.1%17.9%
IV Rank29.0%10.6%36.7%13.3%29.7%
IV Percentile46.0%2.8%64.3%5.2%47.2%
Term Structure-1.7%-4.0%6.7%4.5%-2.7%
VWIV25.2%18.9%28.5%20.3%27.2%
Skew 25d2.9%1.5%4.2%2.0%4.1%
Skew 10d8.0%-1.5%15.8%5.8%7.3%
Call IV 25d23.6%18.6%25.4%20.0%24.4%
Put IV 25d26.5%20.1%28.6%22.0%28.6%
Bid-Ask Spread %19.0312.0726.8914.3719.62
Gamma HHI0.180.140.210.180.15
Net GEX4.2M2.5M5.6M2.5M5.4M
Net DEX-83.0M-116.1M-14.0M-14.0M-97.8M
Net VEX-721.1K-790.6K-662.3K-662.3K-790.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.222.660.760.58
Total Volume8,983.4214,39119,8174,3915,520
Total OI193,167.579175,894217,512177,025188,207

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$23.61$24.0019.9%5.7%23.2%13.3%20.3%2.0%4.5%2.5M-14.0M-662.3K0.7614.37N/AN/A2,4911,900112,48364,542
2017-04-04$23.91$24.0019.7%5.7%20.7%12.9%19.9%1.9%5.0%2.9M-25.5M-664.0K0.7913.59N/AN/A2,7452,161113,13364,539
2017-04-05$24.15$24.0019.0%5.5%20.7%10.6%18.9%1.5%6.7%3.9M-46.2M-694.9K0.4220.93N/AN/A8,2083,447114,55064,880
2017-04-06$24.47$24.0018.7%6.8%20.7%26.1%23.8%1.9%-0.5%4.0M-57.7M-695.1K0.7522.75N/AN/A4,5493,430118,74765,433
2017-04-07$24.58$24.0018.4%7.1%20.3%29.5%26.2%2.8%-2.5%4.2M-64.4M-710.8K2.6624.82N/AN/A3,97610,587120,49566,566
2017-04-10$24.83$24.0019.9%7.4%20.1%32.3%25.7%4.2%-3.7%3.4M-73.0M-735.8K1.0323.99N/AN/A4,1184,248121,66474,643
2017-04-11$24.90$24.0017.8%7.5%19.8%33.4%26.3%3.0%-3.2%3.4M-77.6M-718.5K0.7926.89N/AN/A2,7482,164123,38276,492
2017-04-12$25.06$24.0025.5%7.3%19.0%31.6%25.1%3.5%-2.7%3.6M-86.5M-723.0K0.5113.80N/AN/A3,9042,010123,69976,700
2017-04-13$25.15$24.0025.7%7.4%17.4%32.4%26.7%3.2%-3.5%3.9M-94.5M-737.9K1.3820.07N/AN/A4,4516,156125,26976,843
2017-04-17$25.26$24.0027.0%7.8%17.1%36.7%28.5%3.4%-4.0%4.0M-98.4M-721.1K1.9222.35N/AN/A2,9455,661126,93278,669
2017-04-18$25.07$24.0026.1%7.5%17.6%33.7%26.7%3.2%-2.7%4.0M-93.4M-730.4K0.8724.59N/AN/A3,7643,293129,43479,275
2017-04-19$25.25$24.0026.3%7.5%16.8%34.4%26.5%3.0%-3.1%4.2M-102.3M-714.7K0.7912.07N/AN/A3,4822,734130,74079,751
2017-04-20$25.49$24.0025.9%7.4%12.8%33.2%26.0%3.2%-3.9%4.7M-112.9M-728.1K0.2423.04N/AN/A12,0302,907131,90079,744
2017-04-21$25.33$24.0025.6%7.3%12.6%31.9%26.2%2.8%-3.4%4.1M-112.5M-732.4K0.2218.65N/AN/A16,2743,543137,53179,981
2017-04-24$25.43$24.0025.7%7.4%12.6%32.2%24.8%3.4%-2.4%4.7M-85.6M-749.2K0.5617.22N/AN/A5,0102,798117,42158,473
2017-04-25$25.89$24.0025.2%7.2%12.6%30.8%26.9%2.9%-3.4%5.0M-105.0M-722.1K0.3115.01N/AN/A8,5042,630118,81659,583
2017-04-26$25.93$24.0025.4%7.3%12.0%31.5%25.4%2.4%-2.9%5.3M-114.0M-711.7K0.3013.34N/AN/A8,1362,429121,65460,029
2017-04-27$25.81$24.0026.4%7.6%10.7%34.7%27.5%1.8%-3.6%5.6M-116.1M-758.5K0.6114.50N/AN/A3,5552,177127,67860,306
2017-04-28$25.56$24.0024.9%7.1%11.7%29.7%27.2%4.1%-2.7%5.4M-97.8M-790.6K0.5819.62N/AN/A3,4942,026127,68860,519