CTL Options History — September 2019

In September 2019, CTL traded between $11.47 and $13.56. ATM implied volatility averaged 35.5%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 8.6% (HV 20d: 44.1%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2019-09-11: Highest Volume — 77,836 contracts
  • 2019-09-05: Largest IV drop — 7.8% change
  • 2019-09-17: Highest IV Rank — 30.8%
  • 2019-09-17: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.54$11.47$13.56$11.47$12.53
Max Pain$11.90$11.00$12.00$11.00$12.00
ATM IV35.5%32.6%38.0%36.3%37.2%
Expected Move10.0%9.2%10.7%10.2%9.9%
HV 20d44.1%38.0%56.9%56.6%39.1%
HV 60d42.3%40.2%44.1%41.2%42.4%
IV Rank25.1%20.7%30.8%28.3%23.6%
IV Percentile36.0%22.2%49.6%40.1%48.0%
Term Structure1.1%-1.4%5.9%0.2%5.0%
VWIV35.5%33.0%38.1%35.2%35.1%
Skew 25d4.6%2.4%8.1%5.7%5.7%
Skew 10d9.9%-2.2%13.9%13.9%12.1%
Call IV 25d34.0%30.7%37.0%34.5%34.6%
Put IV 25d38.6%35.2%41.4%40.1%40.4%
Bid-Ask Spread %5.173.187.874.575.52
Gamma HHI0.160.110.260.210.13
Net GEX1.6M789.4K2.2M1.2M1.3M
Net DEX-12.4M-98.4M30.3M29.0M24.8M
Net VEX-925.9K-1.0M-785.5K-785.5K-920.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.141.170.710.90
Total Volume17,648.35,09777,8365,7505,219
Total OI540,746.7478,316591,383478,316550,308

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$11.47$11.0036.3%10.2%56.6%28.3%35.2%5.7%0.2%1.2M29.0M-785.5K0.714.57N/AN/A3,3582,392220,060258,256
2019-09-04$11.66$11.0035.4%10.1%56.9%26.6%33.6%5.6%0.1%1.6M17.1M-792.2K0.623.18N/AN/A7,7164,777222,106259,933
2019-09-05$11.86$12.0032.6%9.2%56.6%20.7%33.2%6.2%0.9%1.9M5.7M-788.1K0.494.08N/AN/A8,4554,145223,870262,833
2019-09-06$11.81$12.0033.1%9.3%45.4%21.1%33.0%2.4%-0.0%1.8M2.6M-816.9K0.443.87N/AN/A5,0572,239226,636262,951
2019-09-09$11.97$12.0033.1%9.6%45.4%21.9%33.2%4.3%0.0%2.0M-4.1M-795.1K1.154.73N/AN/A12,83314,699225,358261,097
2019-09-10$12.56$12.0033.7%9.4%46.6%23.1%35.7%5.7%-1.1%1.9M-39.7M-861.7K0.235.10N/AN/A22,1215,056230,976272,894
2019-09-11$13.23$12.0035.4%10.1%48.7%26.5%36.2%3.7%0.4%1.9M-88.9M-870.1K0.714.86N/AN/A45,50232,334234,111272,873
2019-09-12$13.56$12.0036.0%10.1%48.0%28.2%37.4%5.3%-1.4%2.1M-98.4M-989.6K1.177.87N/AN/A27,21931,932249,876298,142
2019-09-13$12.89$12.0035.3%10.3%44.7%25.7%38.1%4.1%0.4%2.0M-40.4M-1.0M0.934.58N/AN/A12,38011,471257,851322,909
2019-09-16$12.88$12.0035.8%10.3%41.3%27.5%36.6%2.7%0.8%1.9M-33.9M-1.0M0.494.65N/AN/A4,5142,234256,931325,275
2019-09-17$12.78$12.0037.3%10.7%40.5%30.8%37.4%3.4%0.8%1.7M-23.5M-1.0M0.435.26N/AN/A7,5363,208258,233326,123
2019-09-18$12.77$12.0035.5%10.2%38.9%26.7%35.3%3.8%1.2%1.6M-18.5M-992.4K0.145.62N/AN/A9,3641,286259,845328,201
2019-09-19$12.82$12.0034.4%9.8%38.9%24.2%34.9%3.4%0.9%1.5M-23.8M-984.0K0.374.45N/AN/A4,4401,648260,339329,578
2019-09-20$12.52$12.0034.5%9.8%40.1%23.7%34.6%4.5%1.4%2.2M623.9K-972.9K0.295.63N/AN/A6,9021,990261,298330,085
2019-09-23$12.90$12.0034.9%9.6%38.9%25.7%34.2%5.0%5.9%1.2M-4.8M-955.4K0.827.86N/AN/A7,7336,347230,513309,470
2019-09-24$12.72$12.0037.2%10.6%38.5%25.7%36.9%4.5%0.9%1.2M7.6M-982.4K0.615.30N/AN/A3,1691,928238,167313,870
2019-09-25$12.93$12.0036.5%10.3%38.0%22.1%35.6%4.7%4.5%1.4M-8.5M-981.0K0.575.51N/AN/A7,6094,325238,749314,901
2019-09-26$12.57$12.0038.0%10.6%39.8%25.1%36.3%3.1%0.4%1.1M19.2M-961.0K0.305.44N/AN/A5,9431,789241,805316,491
2019-09-27$12.43$12.0037.8%10.6%39.1%24.3%36.6%8.1%0.9%789.4K30.3M-955.8K0.175.39N/AN/A10,3421,754244,474317,546
2019-09-30$12.53$12.0037.2%9.9%39.1%23.6%35.1%5.7%5.0%1.3M24.8M-920.2K0.905.52N/AN/A2,7542,465242,974307,334