CTL Options History — August 2017 In August 2017, CTL traded between $19.19 and $23.70. ATM implied volatility averaged 34.5%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 1.8% (HV 20d: 36.4%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.05.
Notable Days 2017-08-22 : Highest Volume — 88,791 contracts2017-08-18 : Largest IV spike — 30.0% change2017-08-18 : Highest IV Rank — 100.0%2017-08-18 : Largest Expected Move — 13.5%Monthly Statistics Metric Avg Min Max Open Close Price $21.10 $19.19 $23.70 $23.37 $19.73 Max Pain $21.65 $20.00 $24.00 $23.00 $20.00 ATM IV 34.5% 27.5% 47.2% 40.0% 30.4% Expected Move 9.9% 8.1% 13.5% 11.5% 8.7% HV 20d 36.4% 25.4% 44.4% 25.4% 41.1% HV 60d 28.9% 23.6% 33.2% 25.4% 33.2% IV Rank 60.5% 41.2% 100.0% 79.1% 46.7% IV Percentile 89.0% 73.8% 100.0% 99.2% 77.8% Term Structure 0.5% -10.8% 8.7% -8.0% 6.1% VWIV 35.7% 29.6% 45.9% 39.4% 30.6% Skew 25d 2.5% -2.6% 5.3% 5.0% -2.6% Skew 10d 3.1% -2.9% 17.5% 1.1% -2.4% Call IV 25d 33.5% 26.6% 47.2% 37.8% 31.7% Put IV 25d 36.1% 29.1% 50.6% 42.7% 29.1% Bid-Ask Spread % 15.67 8.00 64.02 13.71 8.00 Gamma HHI 0.16 0.09 0.24 0.15 0.19 Net GEX 1.4M -1.5M 6.4M 5.7M -1.5M Net DEX 63.0M -59.3M 135.3M -36.8M 112.9M Net VEX -931.7K -1.3M -658.8K -958.5K -1.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.05 0.17 2.82 1.42 1.18 Total Volume 25,754.304 5,424 88,791 11,989 11,744 Total OI 368,750.348 300,384 471,378 300,384 453,801
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 2017-08-01 $23.37 $23.00 40.0% 11.5% 25.4% 79.1% 39.4% 5.0% -8.0% 5.7M -36.8M -958.5K 1.42 13.71 N/A N/A 4,957 7,032 207,558 92,826 2017-08-02 $23.70 $23.00 41.6% 11.9% 25.7% 84.3% 42.9% 4.9% -10.8% 6.4M -59.3M -987.3K 0.73 64.02 N/A N/A 12,999 9,447 210,062 93,101 2017-08-03 $22.43 $24.00 31.0% 9.0% 32.2% 50.8% 32.2% 2.8% 0.1% 4.9M 16.2M -855.0K 0.92 20.92 N/A N/A 20,648 18,968 212,961 94,097 2017-08-04 $22.48 $23.00 33.1% 9.1% 32.1% 51.7% 31.6% 2.0% -0.6% 5.1M 6.9M -914.2K 1.01 16.07 N/A N/A 11,347 11,455 219,191 101,566 2017-08-07 $22.33 $23.00 30.5% 8.5% 32.1% 44.9% 30.6% 3.7% 1.1% 4.7M 25.3M -857.8K 1.41 18.21 N/A N/A 5,679 8,010 223,178 101,820 2017-08-08 $21.93 $23.00 27.5% 8.5% 32.5% 44.9% 29.9% 2.9% -0.8% 2.9M 49.4M -779.7K 0.51 16.82 N/A N/A 25,553 12,907 223,907 102,228 2017-08-09 $21.81 $23.00 29.5% 8.5% 30.4% 44.9% 35.5% 5.3% 0.3% -177.5K 67.5M -758.1K 2.40 12.65 N/A N/A 3,386 8,138 206,308 109,788 2017-08-10 $21.67 $23.00 30.3% 8.7% 30.1% 47.5% 37.4% 4.4% -1.3% -614.7K 74.0M -760.1K 0.64 11.02 N/A N/A 4,384 2,803 207,114 111,533 2017-08-11 $21.68 $23.00 29.2% 8.4% 29.7% 43.8% 37.1% 3.1% 0.0% -849.7K 76.8M -741.9K 0.85 11.01 N/A N/A 2,927 2,497 207,526 111,512 2017-08-14 $21.99 $23.00 28.4% 8.1% 30.3% 41.2% 29.6% 4.3% -0.0% -605.6K 68.0M -747.0K 1.14 10.84 N/A N/A 2,630 2,994 207,306 112,344 2017-08-15 $20.72 $23.00 35.1% 10.1% 35.7% 63.1% 35.6% 1.6% -1.4% -1.2M 100.2M -699.4K 1.74 15.22 N/A N/A 16,007 27,912 207,610 112,312 2017-08-16 $20.92 $22.00 34.3% 9.8% 35.4% 60.3% 35.0% 3.6% -0.6% -1.3M 105.1M -743.2K 1.90 16.29 N/A N/A 7,850 14,917 219,570 124,044 2017-08-17 $19.55 $22.00 36.3% 10.4% 40.1% 66.9% 35.9% 0.3% -0.8% -1.3M 135.3M -658.8K 0.41 15.09 N/A N/A 16,802 6,950 224,945 124,748 2017-08-18 $19.30 $20.00 47.2% 13.5% 39.9% 100.0% 45.9% 3.4% -1.3% -29.9K 120.7M -748.8K 0.25 21.62 N/A N/A 54,304 13,621 237,656 128,149 2017-08-21 $19.19 $20.00 43.6% 12.5% 39.6% 88.6% 45.0% 2.3% 0.1% 1.7M 80.2M -844.1K 0.53 13.69 N/A N/A 13,929 7,338 251,100 122,953 2017-08-22 $19.85 $20.00 42.0% 12.0% 42.1% 83.5% 42.5% 4.1% -0.4% 2.2M 57.3M -922.5K 2.82 10.54 N/A N/A 23,253 65,538 254,365 126,392 2017-08-23 $20.49 $20.00 38.2% 11.0% 44.3% 71.4% 37.7% 0.3% 2.7% 2.5M 40.6M -1.2M 2.26 9.77 N/A N/A 13,452 30,415 265,503 159,165 2017-08-24 $20.05 $20.00 34.1% 9.8% 42.7% 58.4% 34.5% 0.8% 3.3% -341.1K 122.0M -1.3M 0.39 13.03 N/A N/A 10,394 4,073 264,400 206,978 2017-08-25 $20.27 $20.00 34.2% 9.8% 43.2% 58.6% 33.8% -1.0% 3.7% 621.8K 81.5M -1.2M 0.62 11.78 N/A N/A 5,259 3,259 268,395 188,120 2017-08-28 $20.72 $20.00 33.6% 9.6% 44.4% 56.9% 34.8% 1.6% 6.4% 1.3M 57.3M -1.2M 0.37 9.20 N/A N/A 9,832 3,626 269,659 189,185 2017-08-29 $20.67 $20.00 34.7% 9.9% 44.3% 60.3% 34.3% 2.3% 4.1% 1.4M 62.1M -1.2M 0.54 11.04 N/A N/A 7,193 3,848 273,438 189,227 2017-08-30 $20.40 $20.00 29.8% 8.5% 43.7% 44.6% 29.8% 3.3% 8.7% 1.4M 86.4M -1.2M 0.17 9.76 N/A N/A 35,973 6,099 274,797 188,820 2017-08-31 $19.73 $20.00 30.4% 8.7% 41.1% 46.7% 30.6% -2.6% 6.1% -1.5M 112.9M -1.1M 1.18 8.00 N/A N/A 5,383 6,361 261,971 191,830
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