CTL Options History — December 2019

In December 2019, CTL traded between $13.07 and $14.36. ATM implied volatility averaged 31.7%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 5.3% (HV 20d: 26.4%). Max pain ranged from $14.00 to $14.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2019-12-26: Highest Volume — 18,719 contracts
  • 2019-12-24: Largest IV spike — 34.7% change
  • 2019-12-24: Highest IV Rank — 37.1%
  • 2019-12-03: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.64$13.07$14.36$14.36$13.18
Max Pain$14.05$14.00$14.50$14.00$14.00
ATM IV31.7%28.8%39.0%30.8%31.6%
Expected Move9.0%8.3%10.1%9.4%8.7%
HV 20d26.4%17.1%48.7%48.6%20.3%
HV 60d36.7%33.9%40.7%40.6%34.1%
IV Rank11.8%2.2%37.1%9.8%11.6%
IV Percentile13.4%1.2%56.3%7.9%14.7%
Term Structure0.0%-14.8%3.7%1.6%3.7%
VWIV30.8%25.6%34.0%33.5%30.2%
Skew 25d3.8%1.0%5.9%5.8%4.4%
Skew 10d8.4%-2.1%17.8%9.6%8.9%
Call IV 25d29.5%22.0%32.6%29.3%29.8%
Put IV 25d33.3%26.0%36.9%35.1%34.2%
Bid-Ask Spread %6.364.4510.458.935.76
Gamma HHI0.160.100.250.100.19
Net GEX-1.7M-2.7M-376.8K-376.8K-2.1M
Net DEX47.1M18.2M81.9M22.2M71.8M
Net VEX-728.9K-846.2K-633.9K-846.2K-652.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.227.072.100.73
Total Volume8,766.7622,90118,71911,04010,712
Total OI480,530.667461,448489,669486,723479,594

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$14.36$14.0030.8%9.4%48.6%9.8%33.5%5.8%1.6%-376.8K22.2M-846.2K2.108.93N/AN/A3,5617,479175,435311,288
2019-12-03$14.14$14.5034.0%10.1%48.7%18.2%34.0%5.9%1.1%-1.1M26.0M-833.7K2.118.11N/AN/A3,1066,568177,424311,457
2019-12-04$14.27$14.5032.1%9.2%48.7%12.8%32.3%4.2%0.1%-882.7K19.6M-829.8K0.4010.45N/AN/A2,8531,129177,826307,994
2019-12-05$14.16$14.0031.7%9.3%47.4%11.1%32.3%4.5%1.5%-913.1K20.0M-815.7K7.076.25N/AN/A1,0537,446179,376308,154
2019-12-06$14.15$14.0032.8%9.3%26.2%15.1%31.2%2.9%1.3%-1.2M22.8M-811.3K0.516.26N/AN/A3,3721,715179,741305,295
2019-12-09$14.19$14.0034.3%9.4%26.2%17.1%32.1%4.8%-0.7%-1.1M18.2M-783.7K0.227.18N/AN/A10,1432,277176,371302,214
2019-12-10$14.18$14.0031.6%9.3%23.6%11.0%32.0%4.0%0.7%-916.4K19.1M-789.1K0.314.55N/AN/A2,220681179,841303,594
2019-12-11$14.01$14.0032.3%9.3%20.5%13.4%32.9%3.8%0.3%-1.5M31.4M-787.8K0.324.45N/AN/A5,0061,611180,772303,375
2019-12-12$13.77$14.0033.1%9.4%19.9%16.2%32.8%1.8%0.3%-1.8M44.3M-756.6K0.534.62N/AN/A3,8712,050182,462304,196
2019-12-13$13.59$14.0030.1%8.5%20.1%7.2%30.0%3.0%-0.9%-1.9M57.1M-722.2K0.494.99N/AN/A2,9611,457184,221305,448
2019-12-16$13.57$14.0029.2%8.3%19.9%3.7%30.0%2.4%1.7%-2.1M54.9M-709.5K0.225.37N/AN/A7,2381,595178,022302,985
2019-12-17$13.11$14.0030.8%8.9%20.8%9.5%25.6%3.2%-0.1%-2.7M81.9M-689.5K0.805.37N/AN/A9,2467,435180,484303,947
2019-12-18$13.24$14.0030.4%8.7%21.7%7.6%29.8%2.9%1.9%-2.4M67.2M-683.7K0.526.08N/AN/A5,9003,057184,016298,505
2019-12-19$13.24$14.0031.4%9.0%21.6%10.3%30.7%3.3%2.3%-2.3M61.6M-678.2K0.246.35N/AN/A6,0871,472186,543296,068
2019-12-20$13.26$14.0029.4%8.5%21.8%5.7%29.6%3.4%-1.9%-2.1M58.6M-676.6K0.545.09N/AN/A4,2092,272189,640296,880
2019-12-23$13.18$14.0029.0%8.4%21.0%3.1%28.5%4.6%1.4%-2.3M60.5M-650.5K0.347.07N/AN/A4,9821,698170,463290,985
2019-12-24$13.16$14.0039.0%8.8%21.0%37.1%29.0%4.0%-14.8%-2.2M63.7M-639.7K0.778.56N/AN/A2,0841,607173,008292,169
2019-12-26$13.07$14.0028.8%8.6%17.1%2.2%30.2%5.3%0.9%-2.7M70.3M-633.9K5.966.08N/AN/A2,68916,030174,289292,633
2019-12-27$13.40$14.0031.6%8.7%19.1%13.7%29.5%1.0%-0.4%-1.0M44.4M-649.5K3.076.52N/AN/A4,55513,991175,666292,999
2019-12-30$13.12$14.0031.4%8.9%20.1%12.1%30.6%4.4%1.2%-2.1M73.6M-667.0K0.435.51N/AN/A4,6652,019173,260302,504
2019-12-31$13.18$14.0031.6%8.7%20.3%11.6%30.2%4.4%3.7%-2.1M71.8M-652.2K0.735.76N/AN/A6,1774,535175,745303,849