CTL Options History — July 2017

In July 2017, CTL traded between $22.32 and $23.97. ATM implied volatility averaged 31.8%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.3% (HV 20d: 24.5%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2017-07-13: Highest Volume — 31,720 contracts
  • 2017-07-12: Largest IV spike — 35.5% change
  • 2017-07-31: Highest IV Rank — 82.2%
  • 2017-07-31: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.18$22.32$23.97$23.97$23.31
Max Pain$23.40$23.00$24.00$24.00$23.00
ATM IV31.8%24.0%41.0%24.0%41.0%
Expected Move9.4%6.9%11.7%6.9%11.7%
HV 20d24.5%21.4%27.1%25.6%25.3%
HV 60d27.8%25.5%29.3%26.8%25.5%
IV Rank55.2%26.7%82.2%26.7%82.2%
IV Percentile89.4%48.8%99.6%48.8%99.6%
Term Structure-2.3%-8.5%4.7%4.7%-8.5%
VWIV33.1%23.8%42.3%23.8%42.3%
Skew 25d1.8%-0.3%6.3%0.2%3.2%
Skew 10d4.8%1.6%9.9%2.1%1.6%
Call IV 25d32.6%24.0%39.3%24.0%39.3%
Put IV 25d34.4%24.2%42.4%24.2%42.4%
Bid-Ask Spread %21.6312.7752.5219.7315.68
Gamma HHI0.160.120.190.150.15
Net GEX4.5M1.9M5.7M4.5M5.6M
Net DEX-4.1M-40.9M41.8M-21.7M-35.9M
Net VEX-806.4K-947.8K-658.2K-811.7K-947.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.113.010.333.01
Total Volume11,516.24,62131,7207,77510,360
Total OI295,071.45266,211346,720266,811297,745

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$23.97$24.0024.0%6.9%25.6%26.7%23.8%0.2%4.7%4.5M-21.7M-811.7K0.3319.73N/AN/A5,8271,948190,86375,948
2017-07-05$23.74$24.0025.8%7.4%25.7%32.8%27.4%-0.3%4.2%4.2M-14.3M-814.0K0.1150.66N/AN/A18,9822,120192,38576,137
2017-07-06$23.87$24.0026.3%8.5%25.9%45.4%30.4%1.3%-0.6%5.2M-25.4M-834.4K0.5321.62N/AN/A3,8212,044205,65876,704
2017-07-07$23.64$24.0025.1%8.5%25.7%45.0%31.0%1.3%-0.2%4.2M-8.1M-790.7K0.5716.96N/AN/A3,1171,765203,00976,969
2017-07-10$23.48$24.0026.8%8.7%25.5%47.8%30.6%0.6%-1.2%3.7M6.3M-733.2K0.6219.58N/AN/A2,8461,775204,14476,903
2017-07-11$23.29$24.0024.8%8.8%24.0%48.7%29.8%0.5%-2.1%3.1M17.7M-706.2K0.3116.83N/AN/A5,1781,629204,87377,024
2017-07-12$22.51$24.0033.6%9.6%22.7%58.2%35.1%0.1%-4.0%1.9M41.8M-658.2K0.7952.52N/AN/A10,5458,332207,61677,349
2017-07-13$22.77$24.0034.3%9.8%23.6%60.5%34.3%1.6%-2.3%2.9M27.5M-711.9K0.2425.45N/AN/A25,5586,162214,81179,966
2017-07-14$23.02$23.0033.9%9.7%24.6%59.0%34.6%0.7%-2.6%4.6M2.6M-779.3K0.3515.71N/AN/A10,4973,660232,25083,328
2017-07-17$22.89$23.0033.6%9.6%21.4%58.2%33.5%2.4%-2.3%4.7M8.3M-763.1K1.1436.81N/AN/A2,6202,994238,57282,754
2017-07-18$22.32$23.0033.9%9.7%21.7%59.3%34.0%2.6%-2.5%3.8M32.4M-685.9K0.4217.10N/AN/A6,4602,733244,60383,093
2017-07-19$22.67$23.0033.1%9.5%21.8%56.6%33.7%1.7%-2.2%4.9M16.6M-734.2K0.7113.40N/AN/A5,7084,036248,54184,396
2017-07-20$23.27$23.0033.4%9.6%24.2%57.5%33.1%2.3%-2.7%5.5M-191.8K-912.8K0.5813.59N/AN/A3,1331,821245,087100,212
2017-07-21$23.34$23.0033.7%9.7%24.2%58.4%33.1%2.6%-1.9%5.3M-4.3M-900.6K0.7215.40N/AN/A5,2333,757246,117100,603
2017-07-24$22.81$23.0034.9%10.0%25.2%62.3%34.2%2.7%-4.8%4.5M-13.7M-822.0K0.3112.77N/AN/A6,6322,045191,20375,008
2017-07-25$22.98$23.0032.9%9.4%25.4%56.0%32.9%0.8%-2.6%4.9M-20.3M-835.1K0.4812.93N/AN/A3,1571,521194,85076,145
2017-07-26$22.87$23.0034.2%9.8%25.3%60.1%34.1%2.8%-4.0%5.0M-18.1M-842.0K1.8921.25N/AN/A2,9655,594196,45876,634
2017-07-27$23.53$23.0033.3%9.6%27.1%57.3%34.9%6.3%-4.9%5.7M-40.9M-905.0K1.9813.13N/AN/A5,70411,315197,05280,580
2017-07-28$23.27$23.0038.0%10.9%25.4%72.7%38.0%3.3%-4.9%5.4M-33.3M-939.6K1.7221.41N/AN/A9,83116,899200,27585,564
2017-07-31$23.31$23.0041.0%11.7%25.3%82.2%42.3%3.2%-8.5%5.6M-35.9M-947.8K3.0115.68N/AN/A2,5867,774207,08890,657