CTL Options History — January 2020

In January 2020, CTL traded between $12.56 and $15.03. ATM implied volatility averaged 38.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 8.8% (HV 20d: 29.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.76.

Notable Days

  • 2020-01-22: Highest Volume — 65,213 contracts
  • 2020-01-15: Largest IV spike — 13.0% change
  • 2020-01-31: Highest IV Rank — 64.7%
  • 2020-01-31: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.65$12.56$15.03$12.86$13.64
Max Pain$14.90$14.00$15.00$14.00$15.00
ATM IV38.7%30.4%47.9%31.6%47.9%
Expected Move11.7%8.7%15.3%8.7%15.3%
HV 20d29.9%21.2%37.2%21.2%36.5%
HV 60d35.8%34.5%37.6%34.6%37.0%
IV Rank32.9%4.1%64.7%10.7%64.7%
IV Percentile47.1%3.6%84.9%12.7%84.9%
Term Structure1.1%-4.8%9.1%1.6%-2.5%
VWIV41.1%30.3%53.3%30.3%53.3%
Skew 25d6.3%2.2%11.2%2.8%11.2%
Skew 10d12.6%2.6%23.9%2.6%15.9%
Call IV 25d36.4%27.2%42.9%29.5%41.9%
Put IV 25d42.7%30.7%53.1%32.3%53.1%
Bid-Ask Spread %6.534.619.985.509.98
Gamma HHI0.250.110.460.230.14
Net GEX-1.8M-4.7M2.7M-2.9M-541.9K
Net DEX42.3M-34.1M117.7M91.4M63.1M
Net VEX-670.1K-749.7K-604.5K-628.8K-703.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.312.702.700.55
Total Volume17,699.1435,59765,21334,7789,670
Total OI442,170304,860520,904482,025371,762

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$12.86$14.0031.6%8.7%21.2%10.7%30.3%2.8%1.6%-2.9M91.4M-628.8K2.705.50N/AN/A9,40125,377177,668304,357
2020-01-03$12.56$14.0032.4%8.8%21.5%8.4%30.7%2.2%5.4%-3.2M117.7M-626.0K0.825.53N/AN/A6,6295,461180,835320,136
2020-01-06$12.81$15.0030.8%11.1%23.4%8.9%41.2%8.6%8.3%-3.0M101.0M-604.5K0.406.51N/AN/A7,0552,791178,494320,942
2020-01-07$12.64$15.0031.7%10.9%23.6%11.8%39.5%4.7%8.6%-3.2M110.8M-619.0K1.165.72N/AN/A6,4777,543182,061322,949
2020-01-08$13.02$15.0030.6%10.8%26.6%8.2%37.3%5.2%5.6%-2.6M85.2M-638.2K0.807.69N/AN/A8,0646,423184,817327,007
2020-01-09$13.18$15.0030.4%10.6%27.2%4.1%36.8%2.7%5.7%-2.5M69.9M-675.8K1.635.78N/AN/A6,53510,656189,237331,667
2020-01-10$12.99$15.0032.9%11.0%27.3%4.5%37.8%4.9%9.1%-2.2M77.1M-650.4K0.354.79N/AN/A8,2342,861191,271325,756
2020-01-13$13.06$15.0036.1%11.1%27.0%30.9%38.0%3.1%-0.1%-3.0M68.2M-638.5K0.725.23N/AN/A3,8642,767189,797320,154
2020-01-14$13.19$15.0037.9%11.2%27.0%33.4%38.6%11.1%-0.5%-2.4M53.1M-639.1K0.355.83N/AN/A4,1331,464192,278319,760
2020-01-15$13.07$15.0042.8%11.5%27.2%45.7%40.4%5.9%-3.4%-3.2M62.8M-623.0K1.287.84N/AN/A4,8136,142193,115319,890
2020-01-16$13.60$15.0038.4%9.9%28.1%34.5%36.4%7.5%-4.8%215.0K18.3M-619.4K0.345.39N/AN/A12,3134,154194,062318,677
2020-01-17$14.03$15.0038.4%10.5%29.9%34.8%36.9%6.5%-2.9%2.7M-14.2M-651.3K0.594.61N/AN/A26,45615,697195,709320,093
2020-01-21$14.72$15.0043.2%12.3%33.9%45.6%43.0%6.3%-2.2%-325.1K-17.6M-675.0K0.675.36N/AN/A19,47912,974125,726179,134
2020-01-22$15.03$15.0043.5%12.5%34.3%47.8%45.0%8.2%-1.9%-197.7K-34.1M-707.4K0.558.58N/AN/A42,20523,008136,359190,915
2020-01-23$14.85$15.0041.7%12.1%34.6%43.4%43.1%6.0%-1.8%248.7K-30.1M-749.7K0.316.49N/AN/A7,4602,321153,073207,272
2020-01-24$14.66$15.0044.9%13.0%35.2%53.4%45.6%5.8%-1.0%-332.4K-18.5M-731.4K0.527.18N/AN/A14,0647,296156,145208,062
2020-01-27$14.60$15.0045.9%13.6%35.1%53.9%47.4%7.8%0.8%-1.0M-3.7M-744.0K1.007.17N/AN/A4,5584,541150,735209,262
2020-01-28$14.47$15.0043.4%13.0%34.6%46.9%45.2%6.8%2.1%-1.6M1.9M-736.4K0.437.59N/AN/A4,5981,969151,660211,483
2020-01-29$13.89$15.0043.6%13.7%37.1%48.3%48.0%6.2%0.1%-3.7M42.6M-714.8K0.357.16N/AN/A9,9613,439152,238212,091
2020-01-30$13.86$15.0044.0%13.7%37.2%51.7%48.3%8.4%-2.2%-4.7M44.3M-694.9K0.467.22N/AN/A6,0372,792155,716213,205
2020-01-31$13.64$15.0047.9%15.3%36.5%64.7%53.3%11.2%-2.5%-541.9K63.1M-703.8K0.559.98N/AN/A6,2303,440158,347213,415