CTL Options History — June 2017

In June 2017, CTL traded between $24.04 and $27.24. ATM implied volatility averaged 22.0%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.3% (HV 20d: 23.3%). 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 21 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-06-01: Highest Volume — 31,881 contracts
  • 2017-06-13: Largest IV spike — 33.4% change
  • 2017-06-21: Highest IV Rank — 30.0%
  • 2017-06-21: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.48$24.04$27.24$25.89$24.04
Max Pain$24.09$24.00$25.00$25.00$24.00
ATM IV22.0%18.2%25.0%21.3%23.3%
Expected Move6.2%5.4%7.2%6.1%6.7%
HV 20d23.3%15.0%36.4%36.4%25.7%
HV 60d25.7%24.5%27.0%25.3%26.9%
IV Rank19.6%9.8%30.0%18.1%24.5%
IV Percentile26.1%2.0%53.6%20.6%43.7%
Term Structure4.3%-0.9%5.9%-0.9%4.3%
VWIV21.9%18.7%25.7%21.8%22.9%
Skew 25d2.3%0.4%6.0%2.6%1.2%
Skew 10d4.8%-4.4%9.4%9.3%3.0%
Call IV 25d21.3%18.5%25.2%19.9%23.2%
Put IV 25d23.6%20.8%29.8%22.5%24.4%
Bid-Ask Spread %16.249.3284.5012.5110.27
Gamma HHI0.150.130.190.190.15
Net GEX8.2M4.6M11.1M8.0M4.6M
Net DEX-118.0M-241.2M-23.4M-131.2M-23.4M
Net VEX-942.3K-1.1M-793.8K-988.4K-801.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.104.160.160.22
Total Volume10,932.6363,25931,88131,88110,972
Total OI248,101.864233,498263,443233,498260,411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$25.89$25.0021.3%6.1%36.4%18.1%21.8%2.6%-0.9%8.0M-131.2M-988.4K0.1612.51N/AN/A27,4954,386158,48675,012
2017-06-02$25.85$25.0019.5%5.6%25.0%12.1%20.0%1.2%0.8%8.3M-136.4M-1.0M0.349.32N/AN/A5,6551,946164,06875,920
2017-06-05$25.84$24.0019.8%5.9%24.7%16.0%20.8%1.9%4.7%8.4M-133.0M-980.3K0.109.53N/AN/A13,9591,364161,47675,966
2017-06-06$25.78$24.0020.7%5.8%18.7%14.4%19.7%1.9%4.7%8.9M-133.6M-988.2K0.1013.67N/AN/A8,541895167,44576,007
2017-06-07$25.81$24.0020.0%5.8%18.4%14.1%20.2%2.9%5.0%9.0M-134.8M-993.6K0.4910.26N/AN/A2,1861,073169,55676,029
2017-06-08$25.94$24.0020.3%5.5%18.4%11.4%19.2%1.8%5.7%9.5M-143.7M-993.0K0.4113.22N/AN/A2,6101,068170,16275,998
2017-06-09$26.04$24.0018.2%5.4%15.0%9.8%18.7%2.1%5.9%9.8M-150.6M-1.0M0.1511.29N/AN/A9,6521,468170,61676,111
2017-06-12$26.51$24.0018.7%5.6%15.9%12.7%19.7%2.2%4.9%10.9M-192.2M-1.0M0.5117.75N/AN/A7,1663,675178,65276,113
2017-06-13$27.21$24.0025.0%5.7%17.8%13.3%19.5%2.8%4.8%10.1M-229.8M-1.0M0.1211.74N/AN/A19,6002,265175,85876,876
2017-06-14$27.24$24.0020.8%6.0%17.8%16.5%21.1%2.0%4.0%11.1M-241.2M-1.1M0.8115.37N/AN/A5,8764,756186,68476,759
2017-06-15$26.98$24.0020.3%5.8%17.8%14.9%20.6%2.0%4.7%10.4M-219.1M-1.0M0.3814.82N/AN/A8,5323,234179,49275,533
2017-06-16$25.90$24.0024.5%7.0%24.0%28.5%25.7%6.0%3.3%9.6M-149.4M-1.0M1.0684.50N/AN/A11,67712,400180,25475,802
2017-06-19$25.33$24.0024.3%7.0%25.1%27.8%24.5%2.0%4.3%8.0M-107.1M-960.6K1.0518.91N/AN/A3,8654,076174,63363,425
2017-06-20$24.70$24.0024.8%7.1%26.8%29.3%25.5%1.7%4.9%6.7M-71.7M-908.3K0.5017.49N/AN/A7,2373,614175,53264,566
2017-06-21$24.44$24.0025.0%7.2%26.8%30.0%24.6%4.0%4.6%6.3M-53.6M-863.1K0.4310.63N/AN/A6,0912,609179,59165,207
2017-06-22$24.36$24.0024.4%7.0%26.5%28.2%24.4%1.3%3.6%6.4M-55.0M-883.7K0.5715.01N/AN/A3,3191,902182,65865,510
2017-06-23$24.42$24.0023.1%6.6%26.4%23.8%22.4%2.9%5.9%6.5M-50.5M-863.1K0.8514.28N/AN/A2,6772,273182,87366,009
2017-06-26$24.53$24.0022.0%6.3%26.5%20.4%22.6%2.6%4.6%7.0M-58.9M-850.3K0.6010.35N/AN/A3,6392,184183,28565,932
2017-06-27$24.59$24.0022.3%6.4%26.4%21.3%22.8%2.6%4.3%7.1M-59.9M-831.4K0.8711.19N/AN/A2,8422,486184,13566,138
2017-06-28$24.93$24.0021.4%6.2%26.9%18.5%22.9%0.4%5.4%8.4M-83.2M-875.2K0.5815.72N/AN/A3,9442,268185,00366,387
2017-06-29$24.19$24.0023.5%6.7%25.7%25.3%23.2%2.9%4.6%6.2M-37.9M-793.8K4.169.44N/AN/A2,52710,514185,58566,486
2017-06-30$24.04$24.0023.3%6.7%25.7%24.5%22.9%1.2%4.3%4.6M-23.4M-801.6K0.2210.27N/AN/A8,9881,984185,41574,996