CTL Options History — November 2017

In November 2017, CTL traded between $13.58 and $17.85. ATM implied volatility averaged 57.7%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 9.1% (HV 20d: 48.6%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.89.

Notable Days

2017-11-01: Highest Volume — 80,824 contracts
2017-11-10: Largest IV spike — 117.5% change
2017-11-01: Highest IV Rank — 100.0%
2017-11-07: Largest Expected Move — 32.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.23	$13.58	$17.85	$17.85	$14.55
Max Pain	$16.67	$16.00	$19.00	$19.00	$16.00
ATM IV	57.7%	35.4%	107.7%	56.6%	44.4%
Expected Move	16.3%	0.4%	32.6%	16.2%	12.7%
HV 20d	48.6%	41.7%	52.9%	41.7%	46.6%
HV 60d	40.3%	39.2%	42.0%	39.6%	41.3%
IV Rank	54.3%	0.0%	100.0%	100.0%	38.2%
IV Percentile	89.7%	0.0%	100.0%	100.0%	90.5%
Term Structure	11.0%	-6.6%	37.0%	-6.6%	-0.8%
VWIV	46.5%	9.0%	86.8%	58.1%	46.3%
Skew 25d	32.1%	-2.1%	102.1%	1.5%	3.3%
Skew 10d	22.1%	-21.8%	82.6%	-1.3%	-5.5%
Call IV 25d	41.0%	20.5%	61.1%	58.8%	43.8%
Put IV 25d	73.1%	42.0%	128.4%	60.3%	47.1%
Bid-Ask Spread %	24.41	11.21	40.21	23.80	14.91
Gamma HHI	0.16	0.09	0.33	0.14	0.16
Net GEX	-257.3K	-2.4M	3.1M	1.7M	-954.1K
Net DEX	197.6M	-81.2M	294.5M	110.3M	250.8M
Net VEX	-1.0M	-1.6M	-630.1K	-1.3M	-761.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.14	2.32	2.08	0.43
Total Volume	37,881.81	13,852	80,824	80,824	19,637
Total OI	703,368.81	537,579	782,370	537,579	764,845

Daily Data (21 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
2017-11-01	$17.85	$19.00	56.6%	16.2%	41.7%	100.0%	58.1%	1.5%	-6.6%	1.7M	110.3M	-1.3M	2.08	23.80	N/A	N/A	26,227	54,597	321,975	215,604
2017-11-02	$17.50	$18.00	60.8%	14.8%	41.9%	88.0%	27.2%	1.8%	-0.3%	2.2M	-81.2M	-1.6M	0.94	30.48	N/A	N/A	13,840	13,033	355,716	267,724
2017-11-03	$16.40	$18.00	66.9%	29.9%	46.6%	100.0%	39.7%	97.9%	23.7%	1.7M	133.3M	-1.1M	0.93	28.64	N/A	N/A	14,335	13,351	362,692	269,710
2017-11-06	$16.68	$18.00	79.6%	0.4%	47.4%	0.0%	9.0%	87.6%	32.1%	2.0M	71.2M	-1.3M	0.74	33.98	N/A	N/A	18,128	13,452	369,878	274,666
2017-11-07	$16.23	$17.00	79.5%	32.6%	47.1%	100.0%	47.9%	98.6%	24.3%	1.3M	116.6M	-1.2M	0.83	24.13	N/A	N/A	11,545	9,576	377,322	279,083
2017-11-08	$16.26	$17.00	57.9%	16.6%	47.3%	50.3%	49.8%	74.4%	3.6%	3.1M	25.1M	-1.4M	0.82	35.14	N/A	N/A	23,929	19,698	379,633	281,697
2017-11-09	$15.49	$17.00	42.0%	12.0%	48.7%	36.1%	65.3%	31.6%	23.9%	-295.6K	187.6M	-1.2M	2.20	32.71	N/A	N/A	24,674	54,272	387,442	286,368
2017-11-10	$15.48	$17.00	91.4%	26.2%	48.8%	80.1%	64.5%	64.1%	37.0%	-166.2K	221.1M	-1.1M	0.61	29.82	N/A	N/A	16,891	10,278	391,939	296,035
2017-11-13	$15.32	$17.00	107.7%	30.9%	48.6%	94.7%	39.9%	102.1%	19.5%	-439.1K	198.1M	-1.0M	0.55	32.56	N/A	N/A	25,195	13,764	391,641	301,104
2017-11-14	$14.41	$16.00	81.3%	23.3%	50.8%	71.1%	86.8%	39.6%	33.5%	-986.1K	276.3M	-774.5K	2.32	40.21	N/A	N/A	17,485	40,540	401,852	306,406
2017-11-15	$14.82	$16.00	53.9%	15.4%	52.9%	46.7%	54.8%	3.7%	-2.6%	-2.4M	294.5M	-954.5K	0.35	35.73	N/A	N/A	40,178	13,935	410,337	337,675
2017-11-16	$14.75	$16.00	48.1%	13.8%	52.9%	41.5%	50.2%	1.1%	1.8%	-1.9M	277.6M	-983.2K	2.02	21.92	N/A	N/A	7,577	15,340	439,548	332,668
2017-11-17	$14.84	$16.00	45.6%	13.1%	51.2%	39.3%	49.3%	3.8%	3.2%	-1.4M	285.7M	-963.1K	1.13	14.98	N/A	N/A	6,507	7,345	441,343	341,027
2017-11-20	$14.79	$16.00	45.4%	13.0%	51.3%	39.1%	42.5%	15.8%	10.7%	-1.5M	245.1M	-919.6K	0.14	13.71	N/A	N/A	52,513	7,387	377,137	307,491
2017-11-21	$14.50	$16.00	35.4%	10.1%	51.3%	30.2%	26.9%	39.1%	34.9%	-820.4K	239.3M	-896.9K	0.85	15.04	N/A	N/A	9,881	8,438	422,173	307,462
2017-11-22	$14.31	$16.00	42.3%	12.1%	51.3%	36.4%	44.2%	6.0%	0.0%	-1.2M	254.0M	-837.6K	0.20	12.30	N/A	N/A	28,303	5,689	425,836	310,192
2017-11-24	$13.84	$16.00	41.9%	12.0%	51.6%	36.1%	41.4%	1.7%	1.6%	-1.5M	269.6M	-701.0K	0.21	33.82	N/A	N/A	24,883	5,106	447,128	311,083
2017-11-27	$13.58	$16.00	40.9%	11.7%	49.4%	35.1%	41.4%	-0.3%	0.5%	-1.6M	277.1M	-630.1K	0.22	11.77	N/A	N/A	25,357	5,608	447,824	308,112
2017-11-28	$13.66	$16.00	42.7%	12.3%	44.8%	36.8%	42.3%	2.8%	-2.8%	-1.6M	269.4M	-636.9K	0.67	11.21	N/A	N/A	30,394	20,340	449,414	308,285
2017-11-29	$14.51	$16.00	48.1%	13.8%	49.4%	41.6%	49.9%	-2.1%	-5.4%	-646.3K	228.6M	-958.7K	0.44	15.80	N/A	N/A	18,232	8,058	454,008	308,670
2017-11-30	$14.55	$16.00	44.4%	12.7%	46.6%	38.2%	46.3%	3.3%	-0.8%	-954.1K	250.8M	-761.9K	0.43	14.91	N/A	N/A	13,764	5,873	456,942	307,903