CTL Options History — February 2018

In February 2018, CTL traded between $15.98 and $19.09. ATM implied volatility averaged 48.2%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 8.0% (HV 20d: 40.1%). Max pain ranged from $17.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.99.

Notable Days

  • 2018-02-09: Highest Volume — 140,994 contracts
  • 2018-02-13: Largest IV spike — 65.6% change
  • 2018-02-13: Highest IV Rank — 70.2%
  • 2018-02-06: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.66$15.98$19.09$17.90$17.73
Max Pain$17.03$17.00$17.50$17.00$17.50
ATM IV48.2%33.2%79.0%39.2%37.3%
Expected Move14.3%0.3%25.8%24.6%10.8%
HV 20d40.1%29.9%48.6%30.2%48.3%
HV 60d44.4%42.5%46.5%43.1%44.6%
IV Rank39.3%21.3%70.2%21.3%32.2%
IV Percentile73.1%33.3%98.0%33.3%58.3%
Term Structure1.1%-56.8%62.4%57.9%-0.5%
VWIV35.8%6.1%60.6%29.8%40.5%
Skew 25d16.4%-16.1%66.1%-16.1%10.2%
Skew 10d26.7%-4.5%61.1%-0.3%24.4%
Call IV 25d40.9%17.7%89.6%71.7%34.5%
Put IV 25d57.2%38.3%88.6%55.7%44.8%
Bid-Ask Spread %27.9813.2551.4726.8417.84
Gamma HHI0.170.090.260.130.18
Net GEX4.3M352.6K8.6M3.1M4.8M
Net DEX-126.7M-308.9M11.9M-76.1M-127.8M
Net VEX-1.4M-1.7M-918.1K-918.1K-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.172.070.881.25
Total Volume37,992.36812,737140,99417,74816,523
Total OI559,583.053376,531648,461376,531620,230

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$17.90$17.0039.2%24.6%30.2%21.3%29.8%-16.1%57.9%3.1M-76.1M-918.1K0.8826.84N/AN/A9,4508,298181,992194,539
2018-02-02$17.70$17.0058.6%14.0%30.3%26.3%55.6%-10.0%62.4%1.1M-76.0M-961.1K1.8023.88N/AN/A10,18818,331186,270198,247
2018-02-05$16.92$17.0064.5%0.3%34.7%45.4%23.4%7.5%-49.0%1.1M-5.0M-971.8K0.6145.94N/AN/A78,72247,795184,935206,320
2018-02-06$17.02$17.0056.2%25.8%34.3%48.4%19.6%11.5%-49.4%1.9M-69.1M-1.3M0.1728.31N/AN/A41,5447,181255,012247,796
2018-02-07$17.13$17.0052.3%22.6%30.9%45.3%41.2%11.0%-50.4%1.7M-58.6M-1.3M0.9924.72N/AN/A6,4046,333255,507248,471
2018-02-08$16.27$17.0062.9%22.4%29.9%51.5%58.8%9.3%-34.3%755.0K11.9M-1.3M1.0151.47N/AN/A9,1249,220256,333248,446
2018-02-09$15.98$17.0060.2%14.2%30.3%56.5%60.6%4.7%-56.8%352.6K-11.3M-1.1M0.6246.36N/AN/A86,81654,178259,636251,844
2018-02-12$16.78$17.0047.7%12.7%35.7%38.2%23.5%62.7%46.5%6.1M-124.9M-1.0M1.0034.61N/AN/A11,91611,886334,126287,181
2018-02-13$17.26$17.0079.0%23.0%37.3%70.2%19.6%66.1%44.2%4.2M-159.7M-1.5M2.0731.12N/AN/A9,25319,137338,865288,400
2018-02-14$17.65$17.0046.6%13.4%38.1%40.2%45.1%16.8%3.2%4.0M-153.3M-1.6M0.7638.82N/AN/A29,30422,132340,799288,374
2018-02-15$19.09$17.0055.0%16.7%47.0%50.6%37.9%32.9%18.3%8.6M-308.9M-1.7M0.6128.86N/AN/A30,48018,515348,676295,576
2018-02-16$18.97$17.0038.8%11.6%47.0%34.6%38.1%56.9%33.8%5.0M-291.4M-1.7M0.8220.90N/AN/A23,06718,996350,289298,172
2018-02-20$18.48$17.0037.3%8.9%47.7%32.5%32.0%10.3%-0.2%5.8M-186.2M-1.7M1.3920.17N/AN/A9,13512,717325,916274,761
2018-02-21$17.94$17.0038.9%9.0%48.6%33.3%35.6%5.3%-1.4%7.9M-219.4M-1.5M0.9625.11N/AN/A9,6629,269328,523279,725
2018-02-22$18.00$17.0037.5%11.1%48.6%32.2%40.6%8.2%-1.1%4.5M-63.5M-1.6M0.9020.23N/AN/A8,5427,663330,857282,495
2018-02-23$18.20$17.0035.0%10.3%48.1%30.0%35.3%7.9%0.0%4.8M-143.6M-1.7M1.1813.25N/AN/A9,58711,271332,148283,617
2018-02-26$18.38$17.0033.2%9.2%47.6%28.3%6.1%7.5%-1.3%7.7M-203.5M-1.5M0.6615.85N/AN/A13,3538,790329,116281,299
2018-02-27$18.11$17.0034.8%10.7%47.8%29.7%36.3%8.0%-1.2%8.4M-140.9M-1.4M1.0617.22N/AN/A8,2738,800336,054281,531
2018-02-28$17.73$17.5037.3%10.8%48.3%32.2%40.5%10.2%-0.5%4.8M-127.8M-1.6M1.2517.84N/AN/A7,3449,179337,659282,571