CTL Options History — September 2017

In September 2017, CTL traded between $18.32 and $20.07. ATM implied volatility averaged 35.0%, placing in the 65.5% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 2.9% (HV 20d: 37.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.38.

Notable Days

  • 2017-09-08: Highest Volume — 31,226 contracts
  • 2017-09-11: Largest IV spike — 17.6% change
  • 2017-09-12: Highest IV Rank — 79.5%
  • 2017-09-12: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.93$18.32$20.07$20.07$18.90
Max Pain$20.50$20.00$21.00$20.00$20.00
ATM IV35.0%27.8%40.0%27.8%35.8%
Expected Move10.4%8.0%11.7%8.0%10.3%
HV 20d37.9%31.2%45.5%41.9%32.5%
HV 60d33.9%33.0%35.0%33.4%35.0%
IV Rank65.5%38.4%79.5%38.4%63.7%
IV Percentile91.3%64.3%97.6%64.3%90.1%
Term Structure4.2%-1.1%8.2%8.2%6.5%
VWIV36.8%28.2%40.9%28.2%36.1%
Skew 25d1.0%-0.9%4.4%-0.9%-0.4%
Skew 10d1.3%-9.3%7.9%-9.3%-0.3%
Call IV 25d37.1%29.4%42.5%29.4%36.8%
Put IV 25d38.1%28.5%43.2%28.5%36.4%
Bid-Ask Spread %15.0811.1422.0312.9211.76
Gamma HHI0.220.150.370.160.16
Net GEX-2.5M-6.4M-500.6K-500.6K-1.4M
Net DEX152.4M91.4M217.6M91.4M143.5M
Net VEX-992.2K-1.2M-866.7K-1.2M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.244.012.670.59
Total Volume13,998.74,27831,22618,48620,309
Total OI424,903.5344,442486,233457,104396,828

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$20.07$20.0027.8%8.0%41.9%38.4%28.2%-0.9%8.2%-500.6K91.4M-1.2M2.6712.92N/AN/A5,04113,445263,447193,657
2017-09-05$19.50$21.0031.6%10.9%42.7%70.8%37.7%4.4%1.8%-2.7M133.4M-1.1M1.1319.55N/AN/A4,4184,975264,735201,250
2017-09-06$19.07$21.0030.2%10.7%42.9%68.9%37.4%2.5%2.5%-4.2M171.1M-1.0M0.7915.30N/AN/A4,0093,147266,748203,170
2017-09-07$18.67$21.0031.8%10.8%43.1%69.3%38.1%1.8%1.5%-5.0M194.8M-947.3K1.2114.29N/AN/A8,36510,094267,463203,409
2017-09-08$18.55$21.0033.1%10.7%43.1%68.5%38.8%1.6%1.3%-4.5M199.0M-952.0K0.2922.03N/AN/A24,2366,990271,119202,766
2017-09-11$18.35$21.0038.9%10.5%43.0%66.1%37.6%-0.8%2.3%-4.9M217.6M-880.5K1.3017.27N/AN/A3,4794,508277,293207,883
2017-09-12$19.07$21.0035.2%11.7%45.5%79.5%40.9%1.3%-1.1%-5.0M158.9M-1.0M0.6315.44N/AN/A9,5236,006274,360205,616
2017-09-13$18.73$21.0040.0%11.5%41.4%77.1%40.7%0.7%0.4%-5.7M186.6M-987.4K1.1016.38N/AN/A4,2214,631278,271205,090
2017-09-14$18.69$21.0037.2%10.7%41.0%68.4%37.3%2.4%1.8%-6.4M196.2M-935.8K0.9420.81N/AN/A3,1732,994279,567206,414
2017-09-15$18.97$21.0035.7%10.2%34.4%63.5%35.8%1.1%3.3%-634.9K199.6M-970.7K2.1715.29N/AN/A6,09513,247279,761206,472
2017-09-18$18.32$21.0037.9%10.9%36.2%70.5%37.4%1.8%6.2%-1.1M139.6M-866.7K1.1714.65N/AN/A9,44311,088187,040157,402
2017-09-19$18.53$20.0035.6%10.2%36.5%63.2%36.8%-0.4%6.8%-954.2K133.8M-934.7K1.0812.86N/AN/A10,16010,962193,043162,978
2017-09-20$18.68$20.0034.3%9.8%34.3%59.1%35.9%-0.3%6.7%-868.8K131.3M-970.6K2.1217.16N/AN/A3,7227,908198,154165,325
2017-09-21$18.50$20.0035.1%10.1%31.8%61.5%34.6%-0.3%6.1%-1.2M142.0M-938.9K3.9613.91N/AN/A2,81111,145198,635168,585
2017-09-22$18.55$20.0035.1%10.1%31.2%61.5%35.4%1.5%5.6%-1.5M146.9M-941.3K0.6112.96N/AN/A6,4053,886198,927173,626
2017-09-25$19.35$20.0037.5%10.8%35.0%69.2%38.8%1.4%4.2%-552.7K109.0M-1.1M0.6112.25N/AN/A5,5623,400203,152174,962
2017-09-26$19.36$20.0036.9%10.6%33.8%67.1%36.7%1.4%5.1%-683.3K114.8M-1.1M0.2413.06N/AN/A6,9461,669205,515175,911
2017-09-27$19.33$20.0035.9%10.3%33.8%64.0%36.8%0.8%7.3%-570.0K112.7M-1.1M4.0112.65N/AN/A3,52614,157208,087175,980
2017-09-28$19.33$20.0034.6%9.9%33.6%59.9%35.1%0.5%7.9%-969.6K125.5M-1.1M1.0511.14N/AN/A2,0842,194209,063186,366
2017-09-29$18.90$20.0035.8%10.3%32.5%63.7%36.1%-0.4%6.5%-1.4M143.5M-1.0M0.5911.76N/AN/A12,7487,561209,359187,469