CTL Options History — January 2018

In January 2018, CTL traded between $16.57 and $18.19. ATM implied volatility averaged 45.5%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 5.4% (HV 20d: 40.1%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2018-01-02: Highest Volume — 77,215 contracts
  • 2018-01-09: Largest IV spike — 11.7% change
  • 2018-01-30: Highest IV Rank — 44.9%
  • 2018-01-30: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.43$16.57$18.19$17.39$17.82
Max Pain$17.29$17.00$20.00$20.00$17.00
ATM IV45.5%39.3%52.0%39.8%51.3%
Expected Move13.9%10.9%17.5%10.9%17.2%
HV 20d40.1%30.8%51.9%51.9%30.8%
HV 60d48.4%45.1%50.3%48.2%45.1%
IV Rank39.2%33.0%44.9%34.3%44.4%
IV Percentile88.1%73.8%96.0%78.2%95.2%
Term Structure1.6%-10.7%52.2%2.8%52.2%
VWIV48.5%39.3%61.0%40.5%58.3%
Skew 25d1.4%-3.2%6.3%4.1%-1.6%
Skew 10d5.5%-8.3%61.7%2.0%61.7%
Call IV 25d46.2%38.0%69.2%38.0%69.2%
Put IV 25d47.6%38.9%67.5%42.0%67.5%
Bid-Ask Spread %18.075.8949.2115.7423.53
Gamma HHI0.140.100.280.130.10
Net GEX850.8K-1.7M3.4M1.7M2.1M
Net DEX64.6M-91.3M162.8M122.4M-69.9M
Net VEX-1.0M-1.1M-929.0K-1.1M-944.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.151.570.151.57
Total Volume31,28914,68877,21577,21517,009
Total OI583,383.381324,162741,772722,971373,544

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$17.39$20.0039.8%10.9%51.9%34.3%40.5%4.1%2.8%1.7M122.4M-1.1M0.1515.74N/AN/A66,87710,338409,012313,959
2018-01-03$17.13$20.0039.3%11.2%51.8%33.7%39.3%-3.2%0.5%403.8K150.3M-1.0M0.9113.10N/AN/A22,72820,696379,312316,253
2018-01-04$16.99$17.0040.4%12.7%50.5%34.3%45.2%-0.6%2.4%243.7K162.7M-1.1M0.7025.54N/AN/A20,78414,450381,332325,047
2018-01-05$17.02$17.0039.9%12.6%47.2%33.0%44.0%-0.1%4.6%282.7K135.8M-1.1M0.4812.05N/AN/A19,1599,203382,585326,253
2018-01-08$17.26$17.0041.7%12.4%47.1%36.7%43.7%1.6%0.8%394.3K140.4M-1.1M0.4210.30N/AN/A19,7868,219381,658326,926
2018-01-09$16.57$17.0046.6%12.8%48.9%40.8%45.6%3.7%-2.4%12.0K162.8M-984.2K0.4646.36N/AN/A25,53211,622383,502327,527
2018-01-10$17.49$17.0046.5%14.3%45.0%40.1%50.0%-2.7%3.9%587.2K106.3M-1.1M0.5648.32N/AN/A29,84616,791389,128331,157
2018-01-11$17.43$17.0043.9%13.4%44.7%37.2%47.8%-1.0%4.7%640.4K116.3M-1.1M0.349.81N/AN/A22,8377,798397,472340,541
2018-01-12$17.35$17.0047.5%13.7%39.4%40.8%47.9%5.2%0.9%-275.9K110.5M-1.1M0.4149.21N/AN/A23,5199,566395,971342,670
2018-01-16$17.36$17.0049.1%14.2%39.0%42.8%48.6%1.1%-3.5%-401.0K148.0M-984.5K0.156.79N/AN/A38,4385,934394,247341,316
2018-01-17$17.40$17.0048.7%14.0%37.7%42.1%48.8%-0.6%-2.0%-1.1M135.3M-1.0M0.616.27N/AN/A10,9196,642395,995343,033
2018-01-18$17.34$17.0047.3%13.7%34.1%41.3%47.7%1.4%-5.5%-1.7M136.4M-1.0M0.5110.48N/AN/A9,7054,983396,823344,124
2018-01-19$17.26$17.0046.0%13.5%33.6%40.6%47.0%0.9%-4.8%546.4K135.4M-929.0K0.807.34N/AN/A17,15813,656397,959343,813
2018-01-22$17.67$17.0044.2%13.5%34.1%37.2%46.1%1.3%0.8%1.2M-37.2M-951.1K0.675.89N/AN/A18,67912,594147,128177,034
2018-01-23$17.36$17.0044.2%14.0%34.2%37.5%48.1%1.9%0.4%1.1M-14.8M-994.8K1.0811.35N/AN/A12,25113,258158,698182,497
2018-01-24$17.41$17.0045.8%14.6%33.9%39.5%50.3%3.7%-1.3%1.5M-12.9M-1.0M0.999.01N/AN/A11,97911,906163,049186,787
2018-01-25$17.79$17.0047.8%14.9%34.6%41.6%50.9%0.8%-2.3%2.3M-55.1M-999.6K0.8418.34N/AN/A14,52712,238169,075187,793
2018-01-26$18.19$17.0044.8%15.0%34.7%39.7%51.2%5.7%-10.7%2.3M-91.3M-1.0M0.5724.51N/AN/A18,38410,423174,453190,498
2018-01-29$18.03$17.0048.4%16.6%35.0%41.1%57.4%1.3%-6.6%3.4M-82.9M-965.3K0.8514.57N/AN/A9,7778,332175,647188,010
2018-01-30$17.84$17.0052.0%17.5%33.8%44.9%61.0%6.3%-0.9%2.4M-41.1M-1.0M1.1411.05N/AN/A8,6489,878179,338189,885
2018-01-31$17.82$17.0051.3%17.2%30.8%44.4%58.3%-1.6%52.2%2.1M-69.9M-944.3K1.5723.53N/AN/A6,62310,386180,308193,236