CTL Options History — April 2020 In April 2020, CTL traded between $8.70 and $11.07. ATM implied volatility averaged 68.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 20.0% (HV 20d: 88.5%). Max pain ranged from $11.50 to $14.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.79.
Notable Days 2020-04-09 : Highest Volume — 12,030 contracts2020-04-02 : Largest IV drop — 18.3% change2020-04-01 : Highest IV Rank — 38.1%2020-04-01 : Largest Expected Move — 25.1%Monthly Statistics Metric Avg Min Max Open Close Price $9.96 $8.70 $11.07 $8.70 $10.62 Max Pain $12.79 $11.50 $14.00 $14.00 $11.50 ATM IV 68.5% 55.8% 90.5% 90.5% 57.8% Expected Move 20.0% 16.6% 25.1% 25.1% 20.2% HV 20d 88.5% 58.3% 114.3% 112.7% 58.3% HV 60d 77.4% 74.3% 79.6% 74.3% 79.6% IV Rank 24.6% 16.9% 38.1% 38.1% 18.5% IV Percentile 91.5% 85.7% 97.2% 97.2% 87.3% Term Structure -3.8% -67.7% 13.8% -67.7% -4.2% VWIV 67.6% 55.0% 86.2% 86.2% 67.4% Skew 25d 16.5% -2.6% 24.7% -2.6% 15.4% Skew 10d 31.2% -1.6% 48.3% 48.3% 40.4% Call IV 25d 59.0% 47.0% 98.5% 98.5% 50.6% Put IV 25d 75.5% 61.1% 96.0% 96.0% 66.1% Bid-Ask Spread % 20.79 12.48 41.52 36.67 14.28 Gamma HHI 0.15 0.12 0.18 0.18 0.12 Net GEX -686.9K -1.0M -398.3K -721.0K -398.3K Net DEX 83.7M 51.2M 106.4M 106.4M 58.4M Net VEX -462.9K -510.9K -442.4K -446.0K -471.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.79 0.14 3.15 3.15 0.66 Total Volume 5,911.714 2,561 12,030 7,170 3,618 Total OI 313,320.286 265,241 351,069 351,069 276,702
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2020-04-01 $8.70 $14.00 90.5% 25.1% 112.7% 38.1% 86.2% -2.6% -67.7% -721.0K 106.4M -446.0K 3.15 36.67 N/A N/A 1,728 5,442 134,339 216,730 2020-04-02 $8.72 $13.00 73.9% 20.0% 112.8% 26.6% 72.3% 22.0% 13.8% -724.3K 104.2M -455.2K 0.72 33.25 N/A N/A 1,757 1,273 134,411 216,652 2020-04-03 $9.09 $13.00 78.5% 22.0% 114.3% 29.0% 80.0% 24.7% 8.9% -557.2K 102.6M -450.5K 0.16 23.95 N/A N/A 6,010 957 134,863 216,165 2020-04-06 $9.39 $13.00 71.4% 21.2% 105.2% 26.2% 72.3% 15.0% 8.5% -883.6K 104.5M -449.9K 0.20 41.52 N/A N/A 7,628 1,530 129,629 214,484 2020-04-07 $9.61 $13.00 74.9% 18.8% 103.0% 29.6% 65.2% 17.5% -7.1% -711.4K 96.1M -490.5K 0.61 39.44 N/A N/A 2,688 1,634 130,353 214,527 2020-04-08 $9.77 $13.00 64.2% 18.9% 101.4% 22.0% 63.6% 16.8% 4.6% -746.2K 100.2M -442.4K 0.34 19.91 N/A N/A 3,000 1,019 131,330 213,917 2020-04-09 $10.74 $13.00 63.9% 16.6% 100.7% 22.6% 58.3% 18.9% -5.8% -1.0M 82.9M -510.9K 0.14 22.70 N/A N/A 10,547 1,483 131,799 214,308 2020-04-13 $10.11 $13.00 70.7% 20.1% 99.7% 25.6% 68.3% 15.7% -3.4% -932.5K 96.9M -476.5K 0.78 14.22 N/A N/A 2,753 2,145 127,353 213,203 2020-04-14 $10.28 $13.00 69.0% 19.8% 98.8% 24.9% 67.6% 20.1% -3.1% -923.5K 95.7M -484.1K 0.31 12.71 N/A N/A 3,854 1,202 127,629 214,424 2020-04-15 $10.14 $13.00 68.2% 19.6% 93.6% 24.5% 65.4% 20.3% 2.4% -870.5K 97.8M -470.7K 0.32 13.77 N/A N/A 2,124 675 128,805 214,411 2020-04-16 $9.81 $13.00 68.4% 19.6% 90.9% 24.5% 68.5% 15.5% 0.9% -858.1K 102.0M -454.2K 0.53 12.48 N/A N/A 2,278 1,206 129,476 214,120 2020-04-17 $10.26 $13.00 66.8% 19.1% 92.3% 23.4% 59.7% 15.7% -0.6% -730.3K 96.0M -460.3K 0.22 19.61 N/A N/A 6,194 1,377 130,430 214,654 2020-04-20 $10.18 $13.00 68.6% 20.6% 85.2% 24.1% 66.9% 13.5% 0.5% -633.2K 65.8M -474.3K 0.37 16.00 N/A N/A 5,223 1,922 96,739 168,502 2020-04-21 $9.72 $13.00 77.7% 22.3% 84.5% 30.2% 78.3% 17.9% 0.2% -580.8K 70.3M -447.2K 0.72 21.74 N/A N/A 1,486 1,075 100,961 169,786 2020-04-22 $9.70 $13.00 75.4% 22.2% 70.9% 28.8% 73.6% 18.0% -10.5% -593.2K 71.7M -445.8K 2.50 16.62 N/A N/A 2,080 5,205 101,534 170,370 2020-04-23 $9.95 $13.00 68.7% 20.4% 68.5% 25.3% 55.0% 21.1% -9.1% -481.2K 68.3M -449.7K 2.02 15.76 N/A N/A 2,981 6,022 102,204 167,293 2020-04-24 $10.26 $12.00 60.2% 18.9% 68.6% 19.4% 63.0% 16.4% -3.8% -579.4K 63.9M -455.9K 0.37 15.18 N/A N/A 3,913 1,459 103,451 167,113 2020-04-27 $10.39 $12.00 56.3% 17.7% 68.4% 17.2% 59.9% 18.4% 3.1% -522.1K 63.1M -449.6K 0.51 15.83 N/A N/A 2,753 1,410 102,169 164,123 2020-04-28 $10.64 $12.00 58.2% 18.4% 64.5% 18.1% 68.0% 16.3% -4.9% -445.3K 59.5M -456.2K 1.83 13.78 N/A N/A 2,316 4,248 103,968 164,943 2020-04-29 $11.07 $12.00 55.8% 17.9% 64.4% 16.9% 60.6% 10.4% -3.1% -504.0K 51.2M -480.0K 0.17 17.14 N/A N/A 6,772 1,159 104,986 166,870 2020-04-30 $10.62 $11.50 57.8% 20.2% 58.3% 18.5% 67.4% 15.4% -4.2% -398.3K 58.4M -471.8K 0.66 14.28 N/A N/A 2,182 1,436 108,872 167,830
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