CTL Options History — February 2020

In February 2020, CTL traded between $11.89 and $15.14. ATM implied volatility averaged 41.3%, placing in the 43.0% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.2% (HV 20d: 41.5%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.53.

Notable Days

  • 2020-02-18: Highest Volume — 52,055 contracts
  • 2020-02-13: Largest IV drop — 26.1% change
  • 2020-02-28: Highest IV Rank — 72.8%
  • 2020-02-28: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.64$11.89$15.14$13.61$11.89
Max Pain$14.16$14.00$15.00$15.00$14.00
ATM IV41.3%31.7%49.7%47.7%49.7%
Expected Move11.9%8.9%15.8%15.0%15.8%
HV 20d41.5%34.6%49.4%35.2%47.2%
HV 60d33.4%28.3%36.9%36.9%36.6%
IV Rank43.0%13.6%72.8%61.9%72.8%
IV Percentile60.5%19.4%89.3%81.0%89.3%
Term Structure0.6%-5.3%41.6%-2.3%-0.9%
VWIV41.1%31.4%53.7%51.2%53.7%
Skew 25d6.9%3.0%17.4%10.9%17.4%
Skew 10d18.4%2.2%74.1%18.3%13.5%
Call IV 25d37.9%30.8%45.7%42.4%39.0%
Put IV 25d44.8%35.6%56.4%53.3%56.4%
Bid-Ask Spread %10.255.5843.298.7343.29
Gamma HHI0.190.120.330.140.20
Net GEX-616.1K-2.1M789.5K-658.1K-1.4M
Net DEX36.5M-44.6M96.4M37.9M96.4M
Net VEX-617.8K-705.8K-520.9K-666.8K-521.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.091.930.320.81
Total Volume16,467.2637,49252,0557,49211,593
Total OI353,693.316322,810383,952339,431334,066

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$13.61$15.0047.7%15.0%35.2%61.9%51.2%10.9%-2.3%-658.1K37.9M-666.8K0.328.73N/AN/A5,6931,799148,592190,839
2020-02-04$13.93$15.0044.2%14.8%35.4%49.6%51.5%7.6%-1.0%-400.8K22.9M-675.3K0.606.20N/AN/A4,8292,911151,166191,505
2020-02-05$14.39$15.0043.8%14.7%36.1%48.8%52.5%8.7%-2.2%-83.5K-5.3M-702.8K0.467.48N/AN/A7,2173,314153,529193,154
2020-02-06$14.52$14.0045.1%11.2%35.1%55.2%38.2%8.1%-5.3%-45.2K-12.0M-695.5K0.167.31N/AN/A7,9611,268157,131195,120
2020-02-07$14.52$14.0045.5%11.4%35.1%57.2%37.2%7.0%-2.4%789.5K-14.9M-695.8K0.288.72N/AN/A7,1791,989162,210195,947
2020-02-10$14.78$14.0043.9%11.9%34.6%45.4%42.5%7.8%-0.0%175.4K-25.0M-694.2K0.467.59N/AN/A7,4193,419158,452194,150
2020-02-11$14.89$14.0044.4%12.1%34.6%50.0%43.3%6.4%-2.3%215.4K-30.3M-705.8K0.507.23N/AN/A5,1492,561160,388196,005
2020-02-12$15.14$14.0046.8%12.7%34.7%57.8%44.2%6.0%-2.1%450.9K-44.6M-679.3K0.6312.19N/AN/A18,86911,798162,072197,152
2020-02-13$13.80$14.0034.6%9.7%49.4%20.9%33.9%6.9%-1.5%-1.6M43.2M-602.1K0.6111.35N/AN/A28,14117,127170,326202,671
2020-02-14$13.89$14.0031.7%8.9%47.5%13.6%31.4%4.9%-1.0%-1.7M42.6M-604.9K1.938.10N/AN/A9,96219,241174,977208,975
2020-02-18$13.31$14.0035.3%10.1%48.5%24.7%34.9%3.0%-1.1%-2.1M76.5M-574.7K0.095.61N/AN/A47,8214,234157,008207,311
2020-02-19$13.39$14.0035.1%10.1%44.8%24.1%33.9%6.5%-1.6%-39.6K67.8M-582.1K0.145.90N/AN/A10,4931,467171,672208,744
2020-02-20$13.32$14.0033.5%9.7%43.8%20.2%32.4%4.8%-2.4%535.4K72.2M-588.4K0.137.29N/AN/A17,1692,218174,434209,078
2020-02-21$13.24$14.0035.7%10.2%43.7%25.4%35.6%4.9%1.1%-986.7K75.0M-571.6K0.715.58N/AN/A5,3713,805173,619209,308
2020-02-24$13.09$14.0036.8%10.6%43.7%29.8%36.6%4.8%-1.1%-1.2M57.3M-561.7K0.267.56N/AN/A8,1152,113146,229176,581
2020-02-25$12.57$14.0043.0%12.5%45.4%50.5%41.1%4.7%-2.3%-1.3M75.9M-542.7K0.4211.89N/AN/A8,3013,518148,572178,139
2020-02-26$12.77$14.0043.7%11.4%46.1%52.9%40.2%5.8%41.6%-1.3M69.3M-551.2K1.008.76N/AN/A5,2815,277149,322178,860
2020-02-27$12.18$14.0044.3%13.7%46.8%56.0%47.2%4.2%-2.5%-1.2M88.2M-520.9K0.5913.95N/AN/A5,1893,067151,401181,468
2020-02-28$11.89$14.0049.7%15.8%47.2%72.8%53.7%17.4%-0.9%-1.4M96.4M-521.7K0.8143.29N/AN/A6,3895,204151,486182,580