CTL Options History — December 2018

In December 2018, CTL traded between $14.49 and $18.76. ATM implied volatility averaged 38.7%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.8% (HV 20d: 38.0%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-12-20: Highest Volume — 56,024 contracts
  • 2018-12-04: Largest IV spike — 22.6% change
  • 2018-12-24: Highest IV Rank — 43.5%
  • 2018-12-27: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.45$14.49$18.76$18.76$15.15
Max Pain$19.30$18.00$20.00$19.00$18.00
ATM IV38.7%27.5%48.1%27.5%41.8%
Expected Move11.5%8.6%14.3%8.6%12.0%
HV 20d38.0%31.4%45.5%42.7%39.6%
HV 60d42.0%40.4%43.0%41.2%42.4%
IV Rank28.1%9.6%43.5%9.6%33.5%
IV Percentile62.6%27.4%89.7%27.4%75.4%
Term Structure1.6%-4.4%35.7%0.3%2.6%
VWIV39.6%30.3%47.3%30.3%40.7%
Skew 25d6.4%2.9%9.8%5.0%5.7%
Skew 10d16.3%0.8%31.8%10.3%13.5%
Call IV 25d36.4%26.7%46.5%26.7%38.9%
Put IV 25d42.9%31.8%52.7%31.8%44.6%
Bid-Ask Spread %15.515.2532.4910.598.42
Gamma HHI0.170.120.260.130.22
Net GEX-2.6M-3.2M-1.8M-2.4M-2.0M
Net DEX143.9M79.9M189.2M79.9M148.4M
Net VEX-701.3K-838.2K-555.0K-804.2K-770.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.542.631.151.02
Total Volume24,407.157,87056,0247,8709,987
Total OI412,174.5370,420473,093391,357448,288

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$18.76$19.0027.5%8.6%42.7%9.6%30.3%5.0%0.3%-2.4M79.9M-804.2K1.1510.59N/AN/A3,6574,213158,821232,536
2018-12-04$17.84$19.0033.7%10.4%45.5%19.5%36.6%6.6%-1.2%-2.8M125.0M-746.1K1.3718.69N/AN/A6,5668,984158,350231,277
2018-12-05$17.81$19.0032.4%10.5%45.2%17.1%38.3%6.4%1.4%-2.8M125.6M-740.1K1.3531.32N/AN/A6,6899,055158,350231,277
2018-12-06$17.45$20.0034.1%10.3%44.6%20.0%34.7%7.4%1.0%-3.1M141.2M-650.6K0.5416.07N/AN/A16,7109,032162,901229,746
2018-12-07$17.73$20.0035.6%9.5%45.5%22.2%38.6%5.8%0.6%-2.5M119.1M-709.6K0.5519.53N/AN/A12,4126,836158,972229,396
2018-12-10$17.04$20.0037.8%10.9%32.1%27.5%36.7%6.7%-0.3%-3.0M129.3M-646.7K1.028.74N/AN/A7,1767,353150,479219,941
2018-12-11$17.03$20.0034.2%10.0%31.4%20.1%34.1%5.7%0.6%-3.2M137.6M-627.7K0.695.25N/AN/A8,1245,613153,097223,195
2018-12-12$17.43$20.0033.1%10.1%32.5%18.3%37.2%6.6%2.3%-2.6M119.7M-668.2K0.665.71N/AN/A6,6664,392156,326224,507
2018-12-13$16.86$20.0033.3%10.1%33.5%17.8%36.4%5.9%2.5%-3.2M144.0M-615.0K1.7219.45N/AN/A8,69014,907158,846224,649
2018-12-14$16.93$20.0035.2%10.3%33.7%21.3%37.3%6.0%0.8%-2.9M139.2M-632.9K1.308.33N/AN/A4,8996,390163,604229,679
2018-12-17$16.28$20.0040.4%11.8%34.8%32.0%44.5%7.3%-2.6%-2.9M164.2M-555.0K1.017.36N/AN/A16,73116,897156,966227,135
2018-12-18$16.36$19.0040.1%11.6%35.1%30.9%39.1%7.9%-3.7%-3.0M151.2M-594.9K1.199.37N/AN/A12,27114,615171,483240,378
2018-12-19$16.01$19.0040.2%11.5%34.7%30.6%42.9%7.1%-2.9%-2.7M163.6M-612.0K0.9432.49N/AN/A22,66621,228177,851250,262
2018-12-20$15.38$19.0044.9%13.0%36.6%39.6%38.8%7.0%-3.5%-2.6M180.1M-728.2K1.0612.85N/AN/A27,19028,834190,046258,921
2018-12-21$14.89$19.0043.6%12.7%36.9%37.6%44.4%9.8%-4.4%-2.3M188.7M-774.2K0.9230.65N/AN/A22,46120,695204,569268,524
2018-12-24$14.49$19.0048.1%14.2%35.0%43.5%46.0%7.8%0.5%-2.3M189.2M-680.9K0.8912.39N/AN/A14,46112,820182,939256,472
2018-12-26$15.18$19.0046.5%13.7%40.0%41.4%45.3%6.6%35.7%-2.0M145.6M-823.4K0.5720.62N/AN/A25,64914,627186,661256,560
2018-12-27$15.18$19.0046.6%14.3%39.7%40.9%43.8%2.9%-0.6%-1.8M145.3M-807.7K2.6313.17N/AN/A7,34019,298191,357260,477
2018-12-28$15.24$18.0046.0%13.7%39.9%39.1%47.3%4.7%3.0%-1.8M140.8M-838.2K0.7019.15N/AN/A12,9299,080195,106263,546
2018-12-31$15.15$18.0041.8%12.0%39.6%33.5%40.7%5.7%2.6%-2.0M148.4M-770.9K1.028.42N/AN/A4,9465,041187,498260,790