CTL Options History — May 2017

In May 2017, CTL traded between $23.59 and $25.94. ATM implied volatility averaged 23.4%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 8.3% (HV 20d: 31.8%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.77.

Notable Days

2017-05-04: Highest Volume — 45,148 contracts
2017-05-04: Largest IV drop — 26.5% change
2017-05-03: Highest IV Rank — 58.7%
2017-05-03: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.85	$23.59	$25.94	$25.45	$25.02
Max Pain	$24.09	$24.00	$25.00	$24.00	$24.00
ATM IV	23.4%	20.3%	33.8%	29.5%	20.3%
Expected Move	6.8%	5.8%	9.7%	8.5%	5.8%
HV 20d	31.8%	11.9%	35.8%	11.9%	34.7%
HV 60d	24.4%	17.9%	25.9%	17.9%	25.2%
IV Rank	25.4%	14.6%	58.7%	44.9%	14.6%
IV Percentile	35.4%	8.3%	94.8%	84.5%	8.3%
Term Structure	-0.7%	-5.8%	1.5%	-4.6%	1.4%
VWIV	24.8%	19.6%	37.3%	28.0%	31.4%
Skew 25d	4.1%	1.3%	8.6%	1.3%	8.6%
Skew 10d	7.4%	-0.4%	14.8%	10.6%	13.0%
Call IV 25d	21.3%	15.7%	31.0%	27.6%	15.7%
Put IV 25d	25.4%	21.4%	36.8%	28.9%	24.3%
Bid-Ask Spread %	18.99	8.27	36.88	17.65	13.29
Gamma HHI	0.14	0.13	0.15	0.15	0.15
Net GEX	6.1M	1.9M	7.7M	5.3M	7.7M
Net DEX	-80.5M	-121.3M	570.9K	-95.1M	-92.1M
Net VEX	-932.0K	-1.0M	-787.5K	-787.5K	-915.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.07	2.10	0.22	0.07
Total Volume	12,254.591	3,694	45,148	14,240	23,610
Total OI	251,769.545	188,395	278,188	188,395	251,088

Daily Data (22 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
2017-05-01	$25.45	$24.00	29.5%	8.5%	11.9%	44.9%	28.0%	1.3%	-4.6%	5.3M	-95.1M	-787.5K	0.22	17.65	N/A	N/A	11,653	2,587	127,733	60,662
2017-05-02	$25.94	$24.00	29.0%	8.3%	13.0%	43.0%	29.0%	3.0%	-5.8%	5.9M	-121.3M	-787.5K	0.18	21.84	N/A	N/A	10,737	1,937	136,410	61,465
2017-05-03	$25.49	$25.00	33.8%	9.7%	14.8%	58.7%	37.3%	5.8%	-5.8%	5.0M	-95.1M	-888.2K	2.10	29.53	N/A	N/A	5,665	11,920	145,935	70,962
2017-05-04	$23.76	$25.00	24.8%	7.3%	29.8%	31.6%	25.6%	5.2%	-1.2%	1.9M	570.9K	-807.7K	0.70	32.18	N/A	N/A	26,625	18,523	150,644	81,296
2017-05-05	$23.59	$24.00	24.0%	7.4%	29.4%	32.8%	25.3%	2.3%	-1.9%	2.9M	-828.0K	-851.4K	1.38	36.88	N/A	N/A	7,328	10,086	167,658	80,800
2017-05-08	$24.75	$24.00	24.8%	7.2%	34.3%	30.9%	26.3%	4.3%	0.3%	5.7M	-87.0M	-999.4K	0.31	34.88	N/A	N/A	27,608	8,636	173,294	85,555
2017-05-09	$25.00	$24.00	24.2%	6.9%	34.3%	27.4%	23.7%	4.7%	-1.4%	7.2M	-105.4M	-1.0M	0.46	18.94	N/A	N/A	13,751	6,287	179,307	85,553
2017-05-10	$25.15	$24.00	22.4%	6.4%	34.3%	21.6%	24.1%	4.0%	-0.9%	7.5M	-108.3M	-1.0M	1.71	17.45	N/A	N/A	3,156	5,397	178,932	88,640
2017-05-11	$24.48	$24.00	23.5%	6.8%	35.6%	25.3%	24.1%	3.6%	-1.7%	5.6M	-65.0M	-967.5K	1.11	20.65	N/A	N/A	2,383	2,644	180,491	89,757
2017-05-12	$24.62	$24.00	22.4%	6.4%	35.6%	21.6%	23.8%	3.6%	1.3%	6.0M	-71.6M	-995.5K	0.49	19.03	N/A	N/A	4,911	2,418	186,470	90,166
2017-05-15	$24.78	$24.00	22.9%	6.6%	35.7%	23.3%	23.7%	3.0%	0.4%	6.4M	-82.9M	-991.0K	1.00	17.06	N/A	N/A	2,250	2,253	186,282	90,580
2017-05-16	$24.81	$24.00	22.5%	6.5%	35.6%	22.0%	24.5%	5.1%	0.8%	6.4M	-83.4M	-981.5K	0.72	19.67	N/A	N/A	2,713	1,954	186,844	90,807
2017-05-17	$24.58	$24.00	22.4%	6.4%	35.6%	21.7%	25.4%	4.6%	0.8%	5.6M	-68.2M	-977.2K	1.59	20.33	N/A	N/A	2,037	3,246	186,572	90,863
2017-05-18	$24.57	$24.00	22.0%	6.3%	35.4%	20.4%	22.3%	3.7%	1.4%	5.7M	-64.2M	-957.2K	0.81	18.38	N/A	N/A	2,046	1,648	187,349	90,520
2017-05-19	$24.92	$24.00	20.8%	6.0%	35.8%	16.4%	20.8%	4.4%	1.5%	7.3M	-94.5M	-961.8K	1.32	15.06	N/A	N/A	3,144	4,145	187,610	90,578
2017-05-22	$24.99	$24.00	20.9%	6.0%	35.8%	16.6%	19.6%	3.0%	0.5%	6.6M	-88.9M	-939.2K	0.39	13.01	N/A	N/A	5,469	2,120	167,611	73,507
2017-05-23	$25.20	$24.00	22.5%	6.5%	35.3%	21.9%	22.0%	2.5%	-2.3%	7.3M	-103.6M	-957.2K	0.31	14.80	N/A	N/A	5,575	1,751	170,302	73,987
2017-05-24	$24.88	$24.00	20.6%	5.9%	35.5%	15.6%	21.8%	4.6%	0.9%	7.1M	-85.1M	-933.8K	0.94	11.60	N/A	N/A	3,007	2,826	172,854	73,693
2017-05-25	$24.96	$24.00	20.9%	6.0%	35.5%	16.7%	21.4%	2.8%	0.3%	7.1M	-86.0M	-933.2K	0.50	8.92	N/A	N/A	2,973	1,495	173,133	74,647
2017-05-26	$24.85	$24.00	20.6%	5.9%	35.4%	15.9%	21.5%	5.6%	-0.3%	7.2M	-82.5M	-913.8K	0.31	8.39	N/A	N/A	3,892	1,192	173,466	74,451
2017-05-30	$25.00	$24.00	21.0%	6.0%	35.5%	16.9%	23.1%	4.9%	0.8%	7.5M	-91.5M	-921.8K	0.34	8.27	N/A	N/A	4,477	1,526	175,899	74,557
2017-05-31	$25.02	$24.00	20.3%	5.8%	34.7%	14.6%	31.4%	8.6%	1.4%	7.7M	-92.1M	-915.4K	0.07	13.29	N/A	N/A	22,064	1,546	176,488	74,600