CTL Options History — November 2019

In November 2019, CTL traded between $13.31 and $15.18. ATM implied volatility averaged 34.6%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded below realized volatility by 8.8% (HV 20d: 43.4%). Max pain ranged from $12.50 to $14.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.02.

Notable Days

  • 2019-11-27: Highest Volume — 99,881 contracts
  • 2019-11-07: Largest IV drop — 31.4% change
  • 2019-11-01: Highest IV Rank — 68.2%
  • 2019-11-01: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.56$13.31$15.18$13.35$14.47
Max Pain$13.63$12.50$14.00$12.50$14.00
ATM IV34.6%28.4%49.7%48.5%30.1%
Expected Move9.7%8.1%17.0%17.0%8.8%
HV 20d43.4%24.8%49.6%25.3%49.6%
HV 60d40.5%38.9%44.5%39.4%40.6%
IV Rank20.7%1.4%68.2%68.2%5.1%
IV Percentile23.4%1.2%88.1%88.1%3.2%
Term Structure-1.0%-6.4%2.1%-6.4%2.1%
VWIV34.6%28.7%60.2%60.2%29.4%
Skew 25d5.1%2.7%8.7%4.4%4.8%
Skew 10d7.9%-45.5%19.0%-45.5%8.5%
Call IV 25d32.9%26.4%50.9%50.9%27.3%
Put IV 25d38.0%31.7%55.3%55.3%32.2%
Bid-Ask Spread %9.896.5420.289.0311.02
Gamma HHI0.160.100.350.130.10
Net GEX457.4K-1.2M2.5M-114.1K-811.4K
Net DEX-33.6M-93.4M23.6M10.4M22.4M
Net VEX-814.1K-873.4K-754.4K-849.0K-873.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.043.870.640.44
Total Volume23,753.354,06699,88119,1865,206
Total OI500,494.05473,745521,129476,349498,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$13.35$12.5048.5%17.0%25.3%68.2%60.2%4.4%-6.4%-114.1K10.4M-849.0K0.649.03N/AN/A11,6947,492190,400285,949
2019-11-04$13.61$13.0049.5%12.1%25.5%62.7%43.4%8.0%-2.6%73.5K2.5M-853.2K1.607.85N/AN/A7,16711,477186,700287,045
2019-11-05$13.72$13.0049.7%11.8%24.8%66.0%41.9%8.7%-2.9%127.4K-1.3M-845.1K3.528.77N/AN/A10,62737,435189,864295,902
2019-11-06$13.31$13.0047.0%12.6%28.5%58.6%44.3%7.1%-2.2%-95.8K23.6M-860.0K1.4311.33N/AN/A11,90016,966195,020302,298
2019-11-07$14.84$13.0032.2%9.0%45.9%13.4%31.7%6.5%-0.4%1.1M-84.2M-802.2K1.2420.28N/AN/A37,91546,897201,721313,584
2019-11-08$14.73$13.0032.8%8.7%46.4%15.2%30.9%5.3%-0.1%1.7M-89.4M-758.9K0.5413.05N/AN/A9,1604,930208,401303,781
2019-11-11$15.16$13.0031.0%8.7%46.6%10.7%30.4%6.8%-1.4%1.1M-93.4M-754.4K0.356.54N/AN/A10,4313,695196,861291,911
2019-11-12$14.62$14.0033.5%9.1%49.2%17.3%33.0%2.7%-1.2%1.1M-62.3M-785.4K0.879.74N/AN/A7,8616,852201,842293,661
2019-11-13$14.86$14.0032.6%9.2%49.2%14.3%33.7%4.8%-1.1%1.7M-79.3M-759.4K3.877.43N/AN/A6,98927,013202,330297,992
2019-11-14$14.85$14.0031.5%8.9%48.7%11.1%31.8%5.0%-0.3%554.2K-63.7M-806.4K0.4210.03N/AN/A4,6621,969202,325318,059
2019-11-15$14.93$14.0029.8%8.6%47.7%5.9%30.4%3.5%0.2%1.2M-67.0M-796.7K0.558.00N/AN/A13,1517,208202,874318,255
2019-11-18$15.18$14.0032.3%9.3%47.5%14.0%31.7%4.5%-0.0%173.6K-50.1M-793.4K1.1111.30N/AN/A9,15410,186183,037305,401
2019-11-19$15.12$14.0031.4%9.0%47.1%10.8%32.8%3.6%-1.3%216.7K-44.6M-828.8K0.577.33N/AN/A4,3312,479186,799312,409
2019-11-20$14.91$14.0032.9%9.4%47.4%15.2%34.9%3.6%-0.3%283.5K-27.8M-843.0K0.668.17N/AN/A4,5112,963189,475313,845
2019-11-21$14.82$14.0031.3%9.0%46.7%10.3%33.4%5.5%0.6%351.6K-26.5M-835.4K0.518.36N/AN/A2,6941,372191,662315,966
2019-11-22$14.97$14.0028.5%8.2%46.7%2.6%29.3%4.5%-0.3%2.5M-41.1M-788.2K1.338.56N/AN/A5,9937,971192,219316,593
2019-11-25$14.89$14.0029.3%8.1%46.9%5.4%28.7%4.8%-3.2%232.1K-24.1M-822.7K0.4012.56N/AN/A4,4581,773188,571314,416
2019-11-26$14.32$14.0028.4%8.3%49.4%1.4%30.3%5.4%1.3%-1.1M16.2M-823.5K0.3410.20N/AN/A6,4282,176190,024315,623
2019-11-27$14.51$14.0029.8%8.2%49.5%5.8%29.4%3.0%0.3%-1.2M8.0M-802.2K0.048.32N/AN/A96,0813,800191,335316,891
2019-11-29$14.47$14.0030.1%8.8%49.6%5.1%29.4%4.8%2.1%-811.4K22.4M-873.4K0.4411.02N/AN/A3,6141,592179,145319,695