CTL Options History — October 2017 In October 2017, CTL traded between $17.48 and $20.33. ATM implied volatility averaged 42.2%, placing in the 83.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 10.4% (HV 20d: 31.8%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.02.
Notable Days 2017-10-20 : Highest Volume — 105,709 contracts2017-10-11 : Largest IV spike — 14.4% change2017-10-20 : Highest IV Rank — 100.0%2017-10-30 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $19.32 $17.48 $20.33 $19.31 $18.94 Max Pain $19.86 $19.00 $20.00 $20.00 $19.00 ATM IV 42.2% 32.4% 53.8% 37.7% 52.0% Expected Move 12.4% 9.8% 15.4% 10.8% 14.9% HV 20d 31.8% 27.1% 38.2% 32.9% 36.6% HV 60d 36.0% 35.0% 38.0% 35.4% 38.0% IV Rank 83.1% 58.8% 100.0% 69.8% 95.2% IV Percentile 96.6% 83.3% 100.0% 94.4% 99.6% Term Structure -2.9% -7.9% 6.2% 6.2% -5.9% VWIV 43.6% 34.6% 53.6% 35.9% 52.6% Skew 25d 1.6% -4.0% 4.3% 3.0% 4.3% Skew 10d 2.1% -8.5% 9.6% 2.9% 9.6% Call IV 25d 43.4% 35.9% 55.4% 35.9% 52.0% Put IV 25d 45.1% 34.3% 56.3% 38.9% 56.3% Bid-Ask Spread % 18.33 9.35 35.62 9.35 21.23 Gamma HHI 0.15 0.11 0.20 0.14 0.14 Net GEX 130.4K -5.1M 3.2M -810.0K 3.2M Net DEX 110.0M 45.1M 216.6M 123.8M 45.1M Net VEX -1.2M -1.4M -955.5K -1.0M -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.10 4.03 0.33 0.40 Total Volume 23,379.273 4,529 105,709 10,557 18,838 Total OI 461,459.091 401,932 530,782 401,932 530,782
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 2017-10-02 $19.31 $20.00 37.7% 10.8% 32.9% 69.8% 35.9% 3.0% 6.2% -810.0K 123.8M -1.0M 0.33 9.35 N/A N/A 7,936 2,621 213,258 188,674 2017-10-03 $20.18 $20.00 35.0% 10.0% 35.1% 61.4% 36.1% -4.0% 4.8% 895.8K 67.0M -1.1M 0.54 13.62 N/A N/A 21,110 11,413 217,881 188,853 2017-10-04 $20.09 $20.00 34.2% 9.8% 34.0% 58.8% 34.6% -1.9% 4.0% 1.7M 66.5M -1.2M 0.99 9.96 N/A N/A 7,332 7,258 235,714 195,830 2017-10-05 $20.01 $20.00 32.4% 10.9% 33.0% 70.4% 38.7% 3.0% -3.7% 1.3M 73.2M -1.2M 1.37 18.55 N/A N/A 8,659 11,828 236,950 200,029 2017-10-06 $20.02 $20.00 33.6% 11.1% 32.8% 73.4% 39.0% 3.8% -3.3% 1.1M 80.1M -1.2M 4.03 18.19 N/A N/A 3,408 13,746 238,095 206,947 2017-10-09 $20.09 $20.00 34.1% 11.2% 32.3% 74.5% 38.7% 3.0% -1.7% 879.4K 87.9M -1.2M 1.73 17.26 N/A N/A 1,661 2,868 236,117 217,340 2017-10-10 $20.33 $20.00 34.4% 11.5% 29.9% 77.5% 39.4% 3.1% -3.5% 1.7M 64.6M -1.2M 1.72 13.81 N/A N/A 3,326 5,712 236,291 217,596 2017-10-11 $20.25 $20.00 39.4% 11.3% 29.0% 75.2% 39.1% 2.1% -2.2% 1.9M 71.3M -1.2M 1.26 14.82 N/A N/A 4,041 5,105 237,186 219,697 2017-10-12 $20.33 $20.00 40.2% 11.5% 28.9% 77.7% 39.9% 1.2% -3.8% 1.8M 71.2M -1.2M 0.93 27.83 N/A N/A 7,214 6,695 238,862 222,028 2017-10-13 $20.24 $20.00 39.0% 11.2% 28.8% 74.1% 39.3% 4.2% -1.2% 1.8M 75.1M -1.2M 1.46 15.65 N/A N/A 3,836 5,615 240,769 224,751 2017-10-16 $19.75 $20.00 41.9% 12.0% 27.1% 83.2% 41.8% 2.3% -4.2% 193.4K 123.6M -1.1M 0.79 22.25 N/A N/A 7,925 6,253 241,513 223,562 2017-10-17 $18.99 $20.00 41.9% 12.0% 30.9% 83.2% 41.5% 4.0% -4.3% -3.7M 179.1M -1.0M 0.93 19.95 N/A N/A 7,364 6,822 241,710 224,867 2017-10-18 $18.64 $20.00 44.8% 12.8% 31.6% 92.5% 48.6% 3.0% -5.2% -4.9M 205.5M -975.5K 1.93 15.77 N/A N/A 8,775 16,915 245,974 228,173 2017-10-19 $18.48 $20.00 46.6% 13.4% 31.5% 98.2% 46.3% 2.0% -5.5% -5.1M 216.6M -955.5K 0.71 18.63 N/A N/A 12,711 9,087 249,883 236,171 2017-10-20 $19.03 $20.00 50.0% 14.3% 33.2% 100.0% 52.5% -0.1% -7.1% -2.2M 156.3M -1.1M 0.10 16.92 N/A N/A 96,467 9,242 258,852 239,422 2017-10-23 $18.81 $20.00 49.3% 14.1% 29.7% 97.9% 49.8% 0.8% -4.7% 303.7K 101.0M -1.3M 0.46 15.55 N/A N/A 25,856 11,783 238,578 197,167 2017-10-24 $18.72 $20.00 45.7% 13.1% 29.8% 87.5% 46.2% 2.0% -4.6% 635.9K 106.0M -1.3M 0.70 13.91 N/A N/A 9,026 6,316 256,797 203,871 2017-10-25 $18.52 $20.00 46.2% 13.3% 29.9% 89.0% 47.8% 0.7% -4.9% 470.1K 116.4M -1.2M 0.77 30.50 N/A N/A 5,327 4,123 261,068 205,250 2017-10-26 $18.47 $20.00 47.1% 13.5% 29.9% 91.7% 47.1% 2.1% -1.5% 412.9K 119.7M -1.2M 0.76 17.31 N/A N/A 4,959 3,760 261,934 204,484 2017-10-27 $17.48 $19.00 49.3% 14.1% 34.7% 97.9% 50.3% -1.7% -4.7% -717.9K 173.4M -989.7K 0.18 16.51 N/A N/A 60,975 11,189 263,209 204,543 2017-10-30 $18.32 $19.00 53.8% 15.4% 38.2% 100.0% 53.6% -1.3% -7.9% 2.0M 97.4M -1.3M 0.46 35.62 N/A N/A 19,971 9,276 311,887 209,535 2017-10-31 $18.94 $19.00 52.0% 14.9% 36.6% 95.2% 52.6% 4.3% -5.9% 3.2M 45.1M -1.4M 0.40 21.23 N/A N/A 13,491 5,347 317,363 213,419
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