CTL Options History — March 2020

In March 2020, CTL traded between $8.66 and $12.57. ATM implied volatility averaged 86.5%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 4.2% (HV 20d: 82.4%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.44.

Notable Days

  • 2020-03-10: Highest Volume — 38,122 contracts
  • 2020-03-25: Largest IV spike — 299.7% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-23: Largest Expected Move — 28.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.38$8.66$12.57$12.49$9.44
Max Pain$13.93$13.00$14.00$14.00$14.00
ATM IV86.5%35.8%174.7%35.8%169.4%
Expected Move21.3%11.0%28.9%11.0%21.7%
HV 20d82.4%48.3%110.3%51.2%110.3%
HV 60d56.8%38.0%72.8%38.1%72.8%
IV Rank65.6%5.9%100.0%28.2%92.5%
IV Percentile87.9%42.1%100.0%42.1%99.6%
Term Structure6.2%-192.7%141.2%4.2%-177.8%
VWIV71.6%37.9%98.6%37.9%74.7%
Skew 25d15.7%-116.1%50.4%17.2%-116.1%
Skew 10d27.3%-72.3%115.0%28.1%-60.5%
Call IV 25d65.4%27.8%131.5%27.8%131.5%
Put IV 25d81.1%15.4%129.1%45.0%15.4%
Bid-Ask Spread %53.1313.6982.4413.6943.06
Gamma HHI0.160.110.240.240.15
Net GEX-772.6K-1.5M-475.4K-1.5M-760.2K
Net DEX98.3M69.9M114.1M79.5M98.0M
Net VEX-528.0K-616.0K-463.0K-496.6K-503.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.440.116.620.210.40
Total Volume14,353.54,40238,12215,7464,402
Total OI356,621.318322,627388,553322,627351,067

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$12.49$14.0035.8%11.0%51.2%28.2%37.9%17.2%4.2%-1.5M79.5M-496.6K0.2113.69N/AN/A13,0152,731141,644180,983
2020-03-03$12.57$13.5042.1%12.1%51.3%46.3%42.9%5.9%-1.1%-874.1K69.9M-528.9K1.9323.79N/AN/A6,68612,934151,719181,675
2020-03-04$12.52$13.0041.8%11.5%50.3%46.7%39.0%7.2%-2.1%-828.1K75.0M-550.3K0.3114.92N/AN/A4,5651,406153,437187,603
2020-03-05$12.48$14.0040.3%12.5%48.3%40.9%38.9%14.6%1.2%-510.0K74.2M-551.9K0.1116.41N/AN/A10,6771,190156,402187,970
2020-03-06$11.94$14.0049.1%14.8%49.6%66.1%52.7%11.0%7.4%-475.4K88.0M-554.1K4.0233.58N/AN/A3,66314,719157,593188,247
2020-03-09$10.39$14.0075.8%20.1%67.4%100.0%68.7%27.5%-7.6%-847.6K112.6M-494.3K0.6541.56N/AN/A6,3314,092149,531195,917
2020-03-10$11.02$14.0062.6%19.3%71.6%74.5%64.7%19.2%2.2%-881.5K106.3M-524.0K3.0062.36N/AN/A9,52128,601151,673194,927
2020-03-11$10.39$14.0077.1%20.9%72.8%100.0%71.5%36.1%-10.7%-672.2K111.4M-501.3K6.6266.65N/AN/A3,11720,642156,657202,246
2020-03-12$9.43$14.00106.2%28.4%76.6%100.0%81.4%12.0%-16.2%-702.0K114.1M-535.9K2.5482.44N/AN/A4,39611,181156,489218,336
2020-03-13$10.19$14.0089.7%26.5%80.1%73.2%82.1%50.4%16.6%-846.6K111.2M-544.1K2.8180.36N/AN/A6,21717,489157,246220,245
2020-03-16$9.80$14.0092.4%24.3%80.1%69.9%80.1%35.8%111.5%-743.6K111.0M-529.5K1.9174.27N/AN/A7,23913,811149,766225,180
2020-03-17$10.70$14.0088.7%24.2%87.6%69.7%86.6%20.2%-6.4%-764.0K101.0M-616.0K0.6564.26N/AN/A10,3676,716151,749232,286
2020-03-18$9.97$14.0098.1%28.1%89.9%86.5%98.2%24.3%116.2%-561.0K97.9M-594.9K0.7861.82N/AN/A5,3094,119155,847231,112
2020-03-19$10.05$14.00101.2%26.2%90.2%78.4%92.2%20.6%104.1%-708.9K105.8M-582.0K0.3976.76N/AN/A6,7142,641156,258230,495
2020-03-20$9.14$14.0080.0%22.9%94.5%64.1%75.6%8.3%119.2%-767.4K113.8M-500.2K2.3174.44N/AN/A7,48117,283158,247230,306
2020-03-23$8.66$14.00174.7%28.9%95.3%100.0%89.1%22.0%-41.8%-789.1K104.5M-463.0K0.6073.28N/AN/A3,7662,262127,824213,022
2020-03-24$9.85$14.0042.3%19.6%108.7%5.9%70.4%25.7%14.9%-799.8K95.4M-530.5K0.1375.07N/AN/A7,472992129,700213,221
2020-03-25$9.32$14.00169.0%27.3%109.2%86.0%98.6%36.5%-38.4%-691.7K96.4M-509.6K1.1671.99N/AN/A5,3956,252133,423213,557
2020-03-26$9.14$14.0077.7%23.8%108.5%30.6%76.5%42.4%-7.1%-734.0K103.2M-489.0K0.2347.77N/AN/A4,7831,080136,052216,061
2020-03-27$9.06$14.00113.2%22.8%108.5%65.7%83.4%-1.8%-192.7%-758.1K97.9M-504.5K0.3042.32N/AN/A5,0601,534137,979215,922
2020-03-30$9.72$14.0076.5%20.8%110.3%17.6%69.5%27.2%141.2%-784.6K96.5M-512.7K0.6527.92N/AN/A4,8053,121130,869215,186
2020-03-31$9.44$14.00169.4%21.7%110.3%92.5%74.7%-116.1%-177.8%-760.2K98.0M-503.8K0.4043.06N/AN/A3,1461,256134,170216,897