CTL Options History — September 2018

In September 2018, CTL traded between $20.84 and $23.14. ATM implied volatility averaged 26.0%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 11.7% (HV 20d: 37.7%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.94.

Notable Days

  • 2018-09-25: Highest Volume — 54,187 contracts
  • 2018-09-25: Largest IV spike — 10.7% change
  • 2018-09-26: Highest IV Rank — 24.2%
  • 2018-09-06: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.15$20.84$23.14$21.52$21.20
Max Pain$21.18$21.00$22.00$22.00$21.00
ATM IV26.0%22.9%28.6%25.9%27.5%
Expected Move7.3%6.5%8.8%7.1%7.7%
HV 20d37.7%25.1%55.7%55.7%36.7%
HV 60d37.0%35.4%40.4%35.9%39.9%
IV Rank21.8%18.8%24.2%21.8%22.9%
IV Percentile15.6%0.4%28.6%16.7%25.0%
Term Structure1.1%-1.2%8.2%0.6%1.3%
VWIV25.9%23.1%32.9%24.4%25.6%
Skew 25d3.7%1.4%5.2%2.8%2.9%
Skew 10d11.0%0.3%45.9%8.3%0.3%
Call IV 25d24.9%22.0%29.4%25.8%26.3%
Put IV 25d28.6%25.7%31.2%28.7%29.2%
Bid-Ask Spread %9.653.5153.083.5113.58
Gamma HHI0.190.100.590.150.14
Net GEX3.7M-134.8K13.2M1.0M1.2M
Net DEX-53.2M-119.0M49.3M-8.0M25.8M
Net VEX-966.0K-1.1M-905.0K-914.0K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.432.240.690.99
Total Volume25,685.68414,95354,18721,61624,627
Total OI384,043.579353,168413,373353,168413,373

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$21.52$22.0025.9%7.1%55.7%21.8%24.4%2.8%0.6%1.0M-8.0M-914.0K0.693.51N/AN/A12,7918,825125,137228,031
2018-09-05$21.65$22.0025.9%7.1%55.5%21.8%24.2%2.9%0.1%1.6M-22.9M-959.5K0.964.62N/AN/A11,87811,356128,843228,804
2018-09-06$22.01$22.0028.0%8.8%55.5%23.8%32.9%4.8%-0.4%2.8M-51.8M-952.1K0.5512.28N/AN/A18,48510,195133,949231,133
2018-09-07$21.99$21.0028.3%8.3%37.1%23.8%30.3%4.0%0.5%4.0M-51.1M-923.9K1.725.32N/AN/A9,03815,547138,090231,713
2018-09-10$21.74$21.0028.3%7.9%36.6%24.1%30.4%3.6%-1.0%2.1M-29.4M-963.6K2.245.95N/AN/A6,71215,016134,555237,779
2018-09-11$22.49$21.0026.6%7.9%37.4%22.4%27.1%3.7%0.9%3.5M-79.9M-947.8K0.433.83N/AN/A31,92513,856135,750238,251
2018-09-12$22.93$21.0027.3%7.4%37.4%23.0%25.9%3.7%-0.9%4.4M-119.0M-1.1M0.5016.72N/AN/A14,5287,276145,969239,054
2018-09-13$22.61$21.0024.4%6.7%37.8%20.6%23.8%3.3%-1.2%5.0M-94.1M-928.1K0.597.80N/AN/A15,9449,352146,088239,608
2018-09-14$22.73$21.0023.9%6.6%34.5%20.3%23.8%3.6%-1.1%4.2M-86.4M-1.1M0.674.61N/AN/A14,4129,698150,989241,240
2018-09-17$22.72$21.0024.3%6.9%34.5%20.1%24.0%4.5%1.4%5.0M-104.6M-955.1K0.9110.33N/AN/A9,2058,392147,903239,348
2018-09-18$23.14$21.0024.1%6.9%34.6%20.2%23.7%3.5%-0.2%6.2M-117.9M-963.8K0.844.79N/AN/A12,02510,121150,629240,329
2018-09-19$22.75$21.0023.7%6.8%35.0%19.8%24.6%4.6%0.9%6.1M-110.3M-909.2K1.084.31N/AN/A7,1957,758153,300241,367
2018-09-20$22.57$21.0022.9%6.5%25.1%18.8%24.1%3.8%2.2%5.5M-84.3M-914.8K1.113.85N/AN/A8,2819,172154,016241,667
2018-09-21$23.00$21.0023.4%6.6%25.2%19.2%23.1%3.7%0.9%13.2M-106.9M-931.7K1.154.53N/AN/A13,24515,226153,755242,789
2018-09-24$22.86$21.0025.0%6.8%25.4%21.4%24.2%5.2%1.2%4.2M-91.9M-905.0K1.024.71N/AN/A8,4538,630137,733235,576
2018-09-25$21.14$21.0027.7%8.0%37.5%23.4%27.6%4.3%8.2%308.4K37.1M-950.0K0.7214.38N/AN/A31,56822,619141,403236,686
2018-09-26$20.84$21.0028.6%7.7%37.4%24.2%26.8%1.4%3.5%152.3K34.5M-935.9K0.9553.08N/AN/A16,78815,934154,185248,189
2018-09-27$20.89$21.5027.3%7.6%37.5%22.5%25.6%3.8%3.8%-134.8K49.3M-951.5K0.685.15N/AN/A13,0588,897156,418253,179
2018-09-28$21.20$21.0027.5%7.7%36.7%22.9%25.6%2.9%1.3%1.2M25.8M-1.1M0.9913.58N/AN/A12,39512,232159,933253,440