CTL Options History — May 2020

In May 2020, CTL traded between $9.11 and $10.22. ATM implied volatility averaged 51.3%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 2.2% (HV 20d: 53.5%). Max pain ranged from $10.00 to $11.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.81.

Notable Days

  • 2020-05-13: Highest Volume — 22,996 contracts
  • 2020-05-13: Largest IV spike — 22.0% change
  • 2020-05-01: Highest IV Rank — 22.6%
  • 2020-05-01: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.78$9.11$10.22$10.14$9.69
Max Pain$10.28$10.00$11.50$11.50$10.00
ATM IV51.3%39.1%64.1%63.2%46.2%
Expected Move14.4%11.4%22.3%22.3%13.0%
HV 20d53.5%48.5%61.6%61.6%49.2%
HV 60d79.5%78.4%80.3%79.7%79.4%
IV Rank14.1%6.7%22.6%22.6%10.7%
IV Percentile72.1%42.5%88.5%88.5%63.5%
Term Structure-0.5%-9.9%10.8%-9.9%1.2%
VWIV50.0%40.2%75.2%75.2%44.2%
Skew 25d9.9%0.7%14.8%13.0%7.8%
Skew 10d22.7%9.1%40.8%31.1%12.7%
Call IV 25d46.0%38.7%57.5%53.0%39.2%
Put IV 25d55.8%39.5%69.8%66.0%47.1%
Bid-Ask Spread %11.867.7819.618.798.77
Gamma HHI0.170.140.210.150.17
Net GEX-688.4K-1.1M-258.8K-564.4K-639.1K
Net DEX74.1M62.7M91.9M66.0M73.2M
Net VEX-417.9K-447.9K-378.1K-447.9K-436.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.213.220.500.44
Total Volume10,639.153,81922,9963,81914,220
Total OI290,147.2273,179314,770278,007297,756

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$10.14$11.5063.2%22.3%61.6%22.6%75.2%13.0%-9.9%-564.4K66.0M-447.9K0.508.79N/AN/A2,5411,278109,285168,722
2020-05-04$10.05$11.0063.7%17.3%60.5%21.2%59.7%11.7%-3.9%-579.8K67.6M-440.5K0.3515.35N/AN/A4,2121,477107,458165,721
2020-05-05$10.02$11.0063.4%17.3%59.6%21.3%61.9%14.8%-6.6%-551.8K68.3M-433.2K0.7119.61N/AN/A2,2561,610109,283166,867
2020-05-06$10.03$11.0064.1%16.9%59.2%22.0%64.1%13.3%-2.8%-512.9K68.3M-437.2K0.5216.07N/AN/A10,3525,384110,445168,018
2020-05-07$9.55$11.0051.4%14.1%61.6%13.9%50.6%13.6%1.8%-795.5K81.7M-379.0K0.5712.91N/AN/A12,5697,173115,655171,438
2020-05-08$9.93$10.0050.3%13.4%52.6%13.3%46.5%11.8%2.5%-258.8K74.4M-402.6K0.4810.34N/AN/A8,2823,937117,891171,397
2020-05-11$9.70$10.0051.5%13.6%48.9%14.3%49.2%11.3%-3.0%-747.3K77.5M-388.5K2.2010.59N/AN/A5,05911,136113,278168,458
2020-05-12$9.77$10.0049.2%12.9%48.5%12.9%44.0%9.8%-0.5%-746.3K79.6M-395.4K0.369.31N/AN/A6,1112,219115,771174,407
2020-05-13$9.14$10.0060.0%16.0%53.5%19.4%54.3%6.9%-4.1%-911.7K86.7M-378.1K2.737.78N/AN/A6,17316,823119,678175,555
2020-05-14$9.11$10.0057.5%15.5%52.5%18.3%54.6%12.9%-3.3%-1.1M91.9M-396.9K3.228.55N/AN/A4,28113,789120,820187,900
2020-05-15$9.26$10.0050.5%14.4%49.9%13.7%50.5%9.5%0.9%-967.8K88.7M-410.0K0.778.87N/AN/A5,7394,442123,097191,673
2020-05-18$9.74$10.0048.7%13.7%53.6%12.0%45.0%10.6%1.7%-919.4K73.7M-426.6K0.2110.03N/AN/A7,7891,656104,330176,874
2020-05-19$9.61$10.0047.6%13.5%51.3%11.6%45.2%10.2%1.9%-840.6K76.1M-410.6K0.459.51N/AN/A3,9131,754108,880177,741
2020-05-20$9.93$10.0046.1%13.2%52.6%11.0%42.3%10.4%4.9%-573.6K68.2M-430.4K0.5518.29N/AN/A6,6273,676111,234178,496
2020-05-21$9.72$10.0047.1%13.5%52.4%11.6%44.9%6.1%-1.2%-581.6K72.2M-431.0K0.629.95N/AN/A6,8194,206115,425179,595
2020-05-22$9.81$10.0043.2%12.2%51.2%8.8%42.6%5.3%1.6%-892.9K71.7M-430.8K0.309.31N/AN/A3,9481,204115,888181,731
2020-05-26$9.97$10.0043.3%11.4%51.3%9.6%40.6%8.4%-3.3%-746.7K71.3M-415.1K0.2417.34N/AN/A6,7221,620111,724177,589
2020-05-27$10.22$10.0039.1%12.7%51.4%6.7%43.9%0.7%10.8%-366.7K62.7M-436.6K0.5116.74N/AN/A4,5352,297116,113178,554
2020-05-28$10.12$10.0040.2%11.6%49.0%7.0%40.2%9.0%2.5%-436.5K63.2M-431.8K0.429.01N/AN/A3,4841,470118,637179,560
2020-05-29$9.69$10.0046.2%13.0%49.2%10.7%44.2%7.8%1.2%-639.1K73.2M-436.0K0.448.77N/AN/A9,8994,321117,247180,509