CTL Options History — December 2017

In December 2017, CTL traded between $13.82 and $17.75. ATM implied volatility averaged 43.0%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 8.2% (HV 20d: 51.1%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.40.

Notable Days

  • 2017-12-15: Highest Volume — 56,617 contracts
  • 2017-12-06: Largest IV drop — 15.3% change
  • 2017-12-01: Highest IV Rank — 43.0%
  • 2017-12-01: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.16$13.82$17.75$14.31$16.70
Max Pain$19.80$16.00$20.00$16.00$20.00
ATM IV43.0%37.6%51.6%49.7%37.6%
Expected Move12.0%10.7%14.2%14.2%10.9%
HV 20d51.1%44.1%55.8%46.5%51.4%
HV 60d46.0%41.2%48.8%41.2%47.4%
IV Rank36.1%32.3%43.0%43.0%32.3%
IV Percentile84.1%72.6%95.2%95.2%72.6%
Term Structure-15.8%-41.9%2.1%-4.7%-1.8%
VWIV41.9%37.1%52.3%52.3%37.1%
Skew 25d0.5%-16.1%11.1%-0.2%0.2%
Skew 10d2.9%-17.2%30.2%-17.2%1.7%
Call IV 25d44.0%37.1%63.3%53.9%37.1%
Put IV 25d44.5%37.4%57.9%53.7%37.4%
Bid-Ask Spread %16.4613.8421.8014.2714.75
Gamma HHI0.140.100.260.160.10
Net GEX861.3K-1.4M2.6M-958.2K733.0K
Net DEX154.7M56.6M272.0M256.5M165.5M
Net VEX-1.0M-1.3M-681.2K-755.0K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.190.810.660.24
Total Volume33,078.4518,11156,61725,76836,847
Total OI755,972.95690,202807,133766,278724,805

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$14.31$16.0049.7%14.2%46.5%43.0%52.3%-0.2%-4.7%-958.2K256.5M-755.0K0.6614.27N/AN/A15,56410,204458,377307,901
2017-12-04$14.80$20.0049.1%12.7%44.2%38.2%44.1%5.5%-35.0%-627.5K229.9M-841.6K0.3813.84N/AN/A19,2567,346461,691310,634
2017-12-05$14.39$20.0051.6%12.6%44.1%37.9%42.7%3.8%-37.7%-887.4K238.7M-786.5K0.3319.43N/AN/A18,0355,898465,218312,983
2017-12-06$13.82$20.0043.8%12.3%45.1%36.8%43.5%-0.7%-41.3%-1.4M272.0M-681.2K0.3314.25N/AN/A14,1524,635465,353313,776
2017-12-07$14.10$20.0041.9%11.7%46.1%35.2%42.4%-0.6%-37.9%-1.2M260.9M-700.9K0.5116.05N/AN/A12,0126,099467,944314,842
2017-12-08$14.68$20.0043.1%11.7%46.3%35.0%42.1%2.5%-40.0%-362.8K232.8M-785.8K0.4018.95N/AN/A18,7067,454468,745314,172
2017-12-11$15.86$20.0046.3%12.4%54.3%37.2%43.7%2.4%-41.5%402.7K156.8M-977.6K0.3714.74N/AN/A32,19011,938472,810316,973
2017-12-12$15.70$20.0044.1%12.4%54.3%37.1%44.2%-0.1%-41.9%533.9K179.6M-974.6K0.5314.46N/AN/A14,9477,976477,245320,689
2017-12-13$16.71$20.0044.4%12.7%53.2%38.3%38.9%11.1%-37.9%1.6M78.5M-1.2M0.5215.01N/AN/A33,19317,338479,823320,878
2017-12-14$16.49$20.0044.0%12.1%53.1%38.2%42.5%-16.1%-1.1%1.1M121.0M-932.5K0.3815.35N/AN/A18,5786,975479,777327,356
2017-12-15$16.98$20.0044.2%12.2%53.6%38.7%39.8%6.2%1.1%2.1M70.3M-1.2M0.4518.68N/AN/A39,16717,450479,581317,686
2017-12-18$17.75$20.0042.4%12.1%55.2%36.3%43.8%-2.1%0.3%2.4M56.6M-1.3M0.8115.03N/AN/A27,63122,369397,450292,752
2017-12-19$17.46$20.0040.8%11.8%55.8%35.4%43.0%0.2%-1.2%1.6M76.4M-1.3M0.1921.80N/AN/A31,5626,127401,987303,796
2017-12-20$17.17$20.0040.0%11.5%55.6%34.3%40.6%-1.3%0.8%2.5M98.1M-1.3M0.6216.43N/AN/A16,75010,369418,601305,975
2017-12-21$17.46$20.0039.6%11.3%55.0%33.8%39.9%0.1%1.4%2.6M82.6M-1.3M0.3016.52N/AN/A28,4898,454422,356310,450
2017-12-22$17.22$20.0038.8%11.1%53.4%33.1%38.7%-0.1%0.3%1.8M122.5M-1.2M0.2017.28N/AN/A31,3996,387412,290309,749
2017-12-26$17.33$20.0040.1%11.6%52.3%34.3%40.5%-0.7%0.3%1.9M121.5M-1.1M0.2114.94N/AN/A24,9415,223410,993310,580
2017-12-27$17.04$20.0039.8%11.5%53.3%34.1%39.4%0.7%2.1%1.6M156.5M-1.1M0.2317.40N/AN/A26,4926,151410,269310,949
2017-12-28$17.13$20.0038.3%10.7%50.0%32.9%38.5%-0.9%0.5%1.8M117.4M-1.1M0.2620.09N/AN/A26,4656,800410,602311,401
2017-12-29$16.70$20.0037.6%10.9%51.4%32.3%37.1%0.2%-1.8%733.0K165.5M-1.0M0.2414.75N/AN/A29,7857,062411,654313,151