CTL Options History — August 2019 In August 2019, CTL traded between $10.57 and $12.06. ATM implied volatility averaged 40.5%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 6.2% (HV 20d: 46.7%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.27.
Notable Days 2019-08-08 : Highest Volume — 52,606 contracts2019-08-09 : Largest IV drop — 27.5% change2019-08-05 : Highest IV Rank — 72.7%2019-08-02 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.40 $10.57 $12.06 $12.06 $11.36 Max Pain $11.66 $11.00 $12.00 $11.50 $11.50 ATM IV 40.5% 29.7% 58.3% 48.4% 34.7% Expected Move 11.4% 9.1% 18.3% 17.2% 9.5% HV 20d 46.7% 27.8% 56.8% 27.9% 56.7% HV 60d 39.6% 35.0% 42.2% 36.8% 41.1% IV Rank 36.9% 11.5% 72.7% 54.4% 24.4% IV Percentile 55.8% 13.1% 98.4% 89.3% 30.6% Term Structure -1.3% -4.6% 1.4% -2.9% 0.7% VWIV 40.9% 33.3% 67.7% 60.3% 33.3% Skew 25d 7.5% 3.8% 19.1% 11.4% 6.2% Skew 10d 18.3% 7.4% 34.9% 16.8% 13.9% Call IV 25d 37.7% 31.8% 51.3% 47.0% 32.5% Put IV 25d 45.2% 37.3% 63.5% 58.4% 38.8% Bid-Ask Spread % 8.20 4.79 13.90 7.35 4.79 Gamma HHI 0.17 0.12 0.38 0.19 0.19 Net GEX 513.7K -1.1M 3.8M 2.2M 988.2K Net DEX 43.3M -15.9M 89.8M -15.9M 53.1M Net VEX -777.3K -846.6K -643.6K -839.8K -792.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.27 0.16 5.88 0.47 0.87 Total Volume 16,290.5 6,114 52,606 8,477 7,239 Total OI 478,810.227 439,269 508,088 439,269 504,261
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-08-01 $12.06 $11.50 48.4% 17.2% 27.9% 54.4% 60.3% 11.4% -2.9% 2.2M -15.9M -839.8K 0.47 7.35 N/A N/A 5,774 2,703 225,839 213,430 2019-08-02 $12.01 $11.50 52.7% 18.3% 27.8% 64.1% 67.7% 8.8% -4.2% 3.8M -9.9M -845.1K 5.88 7.62 N/A N/A 3,190 18,764 226,827 214,727 2019-08-05 $11.81 $11.00 58.3% 14.6% 28.2% 72.7% 54.3% 19.1% -4.6% 929.6K 9.8M -846.6K 1.40 8.44 N/A N/A 4,470 6,263 220,023 227,620 2019-08-06 $11.89 $11.00 51.4% 13.9% 28.0% 58.6% 49.1% 5.8% -0.7% 1.1M 6.8M -832.2K 0.66 11.93 N/A N/A 7,179 4,766 220,630 227,925 2019-08-07 $11.62 $12.00 52.5% 13.5% 28.9% 61.8% 48.5% 6.2% -4.3% 907.0K 17.7M -805.9K 3.52 13.90 N/A N/A 5,124 18,047 222,381 229,311 2019-08-08 $10.62 $12.00 40.9% 10.0% 42.2% 39.4% 35.0% 8.6% -3.3% -1.1M 89.8M -643.6K 1.37 9.96 N/A N/A 22,166 30,440 224,126 241,678 2019-08-09 $10.78 $12.00 29.7% 9.2% 42.5% 11.5% 36.8% 8.1% -2.1% -524.0K 82.1M -684.9K 0.82 10.42 N/A N/A 8,707 7,126 231,346 253,279 2019-08-12 $11.18 $12.00 36.5% 10.4% 44.9% 27.2% 36.2% 3.8% -0.2% -215.3K 62.0M -720.6K 0.24 8.42 N/A N/A 11,521 2,792 223,648 252,851 2019-08-13 $11.53 $12.00 35.9% 9.1% 46.6% 27.3% 33.4% 4.5% -4.1% 550.6K 38.7M -762.5K 0.33 7.45 N/A N/A 7,592 2,499 228,768 254,073 2019-08-14 $11.31 $12.00 41.4% 10.9% 45.9% 38.9% 37.8% 7.7% -0.8% 148.3K 53.8M -738.5K 0.92 8.12 N/A N/A 3,532 3,246 230,850 254,463 2019-08-15 $10.57 $12.00 41.5% 11.2% 50.3% 40.1% 43.1% 8.1% -3.4% -653.9K 84.8M -691.5K 1.51 10.96 N/A N/A 9,107 13,729 231,889 254,716 2019-08-16 $11.18 $12.00 36.6% 10.5% 54.6% 28.9% 36.5% 8.2% -1.0% -10.2K 56.6M -758.4K 0.18 7.29 N/A N/A 17,845 3,301 234,965 260,242 2019-08-19 $11.55 $12.00 34.5% 9.9% 54.8% 24.6% 35.3% 7.4% 1.2% 829.9K 32.6M -769.3K 0.46 7.57 N/A N/A 19,120 8,744 214,309 249,546 2019-08-20 $11.26 $11.50 37.1% 10.6% 55.6% 29.7% 36.7% 5.0% -0.2% 547.6K 50.6M -760.1K 0.16 6.18 N/A N/A 7,190 1,184 221,782 256,887 2019-08-21 $11.38 $11.50 34.9% 10.0% 54.9% 25.5% 34.8% 8.4% -0.4% 834.7K 47.3M -759.3K 0.51 9.18 N/A N/A 4,835 2,482 224,428 257,447 2019-08-22 $11.57 $11.50 36.7% 10.5% 55.2% 28.8% 34.9% 7.4% 1.4% 1.2M 29.7M -781.0K 2.17 7.86 N/A N/A 10,588 23,021 225,603 258,891 2019-08-23 $11.22 $11.50 38.5% 10.9% 55.6% 32.0% 37.9% 6.6% 0.3% -135.5K 64.3M -822.2K 4.41 8.96 N/A N/A 3,696 16,317 227,631 280,457 2019-08-26 $11.57 $11.50 38.1% 10.9% 56.8% 32.3% 38.5% 5.7% 0.4% 124.4K 43.5M -836.1K 0.40 5.10 N/A N/A 4,396 1,768 220,593 277,895 2019-08-27 $11.40 $11.50 39.4% 10.9% 56.1% 35.0% 38.0% 5.5% 0.1% 47.6K 54.3M -802.0K 0.68 7.58 N/A N/A 3,629 2,485 223,914 278,731 2019-08-28 $11.55 $11.50 36.5% 10.4% 56.3% 28.8% 37.1% 7.9% -0.5% 76.9K 47.7M -812.2K 0.27 5.17 N/A N/A 10,605 2,813 224,523 278,799 2019-08-29 $11.31 $11.50 34.5% 9.3% 56.6% 24.5% 34.0% 5.1% 0.3% -409.6K 52.9M -795.6K 0.63 6.09 N/A N/A 5,158 3,238 222,656 279,865 2019-08-30 $11.36 $11.50 34.7% 9.5% 56.7% 24.4% 33.3% 6.2% 0.7% 988.2K 53.1M -792.7K 0.87 4.79 N/A N/A 3,880 3,359 224,463 279,798
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