CTL Options History — June 2020 In June 2020, CTL traded between $9.57 and $11.32. ATM implied volatility averaged 45.6%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 8.5% (HV 20d: 54.1%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.94.
Notable Days 2020-06-26 : Highest Volume — 29,956 contracts2020-06-26 : Largest IV spike — 40.3% change2020-06-11 : Highest IV Rank — 18.6%2020-06-11 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $10.25 $9.57 $11.32 $10.10 $10.01 Max Pain $12.05 $10.00 $13.00 $10.00 $12.00 ATM IV 45.6% 34.1% 57.7% 46.3% 43.4% Expected Move 13.1% 11.5% 15.2% 13.0% 11.7% HV 20d 54.1% 48.5% 58.2% 49.2% 56.1% HV 60d 65.4% 54.6% 79.9% 79.9% 54.6% IV Rank 10.8% 2.5% 18.6% 11.1% 9.4% IV Percentile 59.8% 14.7% 85.3% 65.9% 51.6% Term Structure 5.2% -15.0% 75.7% 4.4% 29.8% VWIV 46.1% 41.3% 54.5% 44.7% 41.4% Skew 25d 9.6% 5.3% 20.0% 16.8% 20.0% Skew 10d 28.5% -1.5% 93.6% 18.6% 56.4% Call IV 25d 43.2% 35.0% 51.3% 35.0% 37.3% Put IV 25d 52.8% 48.0% 63.5% 51.8% 57.3% Bid-Ask Spread % 10.00 6.09 19.55 8.36 9.25 Gamma HHI 0.17 0.11 0.26 0.15 0.15 Net GEX -57.0K -1.1M 894.4K -381.8K -551.3K Net DEX 54.2M 24.2M 75.5M 59.8M 67.2M Net VEX -500.6K -550.8K -459.9K -466.9K -475.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.94 0.10 6.52 0.10 3.62 Total Volume 12,716.227 4,378 29,956 12,367 27,733 Total OI 332,606.682 299,801 365,646 299,801 365,646
Daily Data (22 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 2020-06-01 $10.10 $10.00 46.3% 13.0% 49.2% 11.1% 44.7% 16.8% 4.4% -381.8K 59.8M -466.9K 0.10 8.36 N/A N/A 11,271 1,096 120,385 179,416 2020-06-02 $10.16 $10.00 44.4% 12.9% 49.1% 10.0% 45.7% 9.1% 0.4% -49.7K 53.7M -487.3K 0.30 6.09 N/A N/A 3,359 1,019 126,681 179,690 2020-06-03 $10.65 $10.00 42.6% 12.4% 51.8% 8.8% 44.6% 8.1% 0.8% 46.5K 39.8M -490.5K 0.13 6.71 N/A N/A 10,161 1,360 128,908 179,685 2020-06-04 $10.57 $13.00 42.4% 11.5% 51.9% 9.0% 43.3% 7.9% -1.9% 186.4K 42.1M -491.0K 0.46 7.72 N/A N/A 6,122 2,822 129,932 179,920 2020-06-05 $10.77 $13.00 40.7% 11.8% 48.5% 7.6% 41.3% 6.8% 0.4% 5.9K 35.3M -498.7K 0.62 11.65 N/A N/A 14,390 8,930 130,422 180,257 2020-06-08 $11.32 $13.00 41.5% 12.4% 49.6% 8.1% 41.6% 8.5% 1.7% -60.9K 24.2M -534.6K 0.96 7.57 N/A N/A 7,426 7,099 132,484 185,166 2020-06-09 $11.03 $13.00 42.6% 12.2% 49.8% 8.8% 43.4% 10.1% 0.7% -39.8K 33.0M -550.8K 0.38 9.06 N/A N/A 3,568 1,349 136,393 190,478 2020-06-10 $10.68 $13.00 44.9% 12.0% 51.6% 10.3% 44.2% 5.6% -2.4% -29.4K 44.9M -530.5K 0.49 8.19 N/A N/A 4,276 2,081 137,662 190,997 2020-06-11 $9.73 $13.00 57.7% 15.2% 57.1% 18.6% 54.5% 11.1% -6.7% -533.1K 66.1M -532.3K 0.70 18.68 N/A N/A 8,315 5,856 139,709 192,187 2020-06-12 $10.09 $13.00 52.3% 13.9% 58.2% 15.8% 47.4% 13.3% -7.6% -245.6K 58.3M -519.3K 0.30 19.55 N/A N/A 4,320 1,298 143,417 192,876 2020-06-15 $10.05 $12.00 48.0% 13.9% 58.1% 12.4% 47.2% 9.4% 75.7% -94.3K 60.6M -506.5K 0.31 16.44 N/A N/A 6,995 2,157 140,677 190,694 2020-06-16 $10.40 $12.00 49.5% 14.3% 56.7% 13.3% 51.0% 9.2% -3.2% 395.1K 49.0M -514.2K 0.40 8.78 N/A N/A 6,722 2,672 145,073 190,949 2020-06-17 $10.22 $12.00 48.3% 13.8% 56.8% 12.3% 47.6% 6.8% 29.8% 609.8K 52.7M -508.7K 0.15 10.92 N/A N/A 10,429 1,530 149,735 192,359 2020-06-18 $10.11 $12.00 46.3% 13.6% 55.9% 11.8% 53.5% 6.2% -10.9% 365.0K 58.2M -501.0K 0.20 6.74 N/A N/A 16,774 3,432 147,979 193,398 2020-06-19 $10.12 $12.00 50.1% 13.6% 55.3% 11.7% 46.9% 9.4% -15.0% 894.4K 54.9M -503.6K 0.41 10.83 N/A N/A 5,837 2,390 160,127 195,934 2020-06-22 $10.16 $12.00 43.9% 12.9% 55.2% 9.4% 44.6% 5.3% 1.9% -67.7K 57.7M -499.9K 0.35 6.49 N/A N/A 9,421 3,334 141,240 188,996 2020-06-23 $10.19 $12.00 41.9% 12.6% 55.0% 8.3% 43.4% 6.2% 6.1% 261.5K 57.4M -490.3K 0.89 6.97 N/A N/A 8,695 7,721 149,408 187,795 2020-06-24 $9.80 $12.00 43.5% 13.7% 56.0% 9.4% 48.8% 7.9% 2.7% -237.1K 66.5M -476.9K 1.46 12.86 N/A N/A 3,052 4,470 154,846 188,522 2020-06-25 $10.03 $12.00 34.1% 13.0% 56.6% 2.5% 45.3% 12.3% 6.2% 245.5K 60.6M -490.7K 0.72 11.63 N/A N/A 6,039 4,340 154,762 192,260 2020-06-26 $9.57 $12.00 47.9% 14.1% 57.0% 13.6% 49.4% 11.7% -11.7% -1.1M 75.5M -459.9K 6.52 9.03 N/A N/A 3,982 25,974 156,978 196,231 2020-06-29 $9.74 $12.00 50.3% 13.5% 55.2% 14.5% 45.2% 9.4% 12.3% -886.0K 73.8M -483.3K 1.23 6.58 N/A N/A 4,449 5,491 143,736 213,337 2020-06-30 $10.01 $12.00 43.4% 11.7% 56.1% 9.4% 41.4% 20.0% 29.8% -551.3K 67.2M -475.0K 3.62 9.25 N/A N/A 6,006 21,727 146,643 219,003
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