CTL Options History — July 2020 In July 2020, CTL traded between $9.64 and $10.06. ATM implied volatility averaged 52.7%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 15.5% (HV 20d: 37.2%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.35.
Notable Days 2020-07-31 : Highest Volume — 31,331 contracts2020-07-02 : Largest IV spike — 97.5% change2020-07-02 : Highest IV Rank — 35.5%2020-07-31 : Largest Expected Move — 16.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.82 $9.64 $10.06 $9.94 $9.64 Max Pain $11.05 $11.00 $12.00 $12.00 $11.00 ATM IV 52.7% 41.1% 81.3% 41.1% 53.5% Expected Move 14.1% 10.7% 16.2% 12.0% 16.2% HV 20d 37.2% 27.9% 53.3% 53.2% 27.9% HV 60d 48.3% 45.2% 54.3% 54.3% 45.3% IV Rank 15.3% 7.9% 35.5% 7.9% 14.4% IV Percentile 74.2% 40.1% 96.4% 40.1% 75.4% Term Structure 1.6% -28.3% 79.5% 21.5% 3.2% VWIV 49.9% 37.6% 54.4% 40.5% 54.4% Skew 25d 9.5% -2.6% 76.5% 7.8% -2.0% Skew 10d 16.3% -39.0% 89.0% 62.6% 15.1% Call IV 25d 48.8% 39.4% 56.4% 39.4% 48.5% Put IV 25d 58.3% 46.4% 126.9% 47.2% 46.4% Bid-Ask Spread % 9.42 5.80 15.37 9.71 10.67 Gamma HHI 0.18 0.13 0.21 0.13 0.21 Net GEX -1.0M -1.7M -234.5K -617.3K -1.7M Net DEX 69.6M 52.4M 82.1M 67.9M 75.6M Net VEX -499.7K -522.5K -472.8K -497.6K -473.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.35 0.29 5.79 0.77 2.77 Total Volume 12,009.636 4,501 31,331 30,595 31,331 Total OI 405,658.318 376,067 427,914 383,332 406,354
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 2020-07-01 $9.94 $12.00 41.1% 12.0% 53.2% 7.9% 40.5% 7.8% 21.5% -617.3K 67.9M -497.6K 0.77 9.71 N/A N/A 17,304 13,291 149,160 234,172 2020-07-02 $9.82 $11.00 81.3% 10.7% 53.3% 35.5% 37.6% 29.8% -28.3% -689.5K 70.4M -513.3K 1.86 11.85 N/A N/A 7,781 14,503 164,149 243,744 2020-07-06 $9.99 $11.00 51.8% 13.6% 53.2% 16.3% 50.5% -2.6% 79.5% -523.9K 67.8M -522.2K 0.34 9.12 N/A N/A 18,300 6,275 160,066 253,062 2020-07-07 $9.89 $11.00 49.1% 13.8% 49.3% 13.5% 49.4% 9.2% 0.1% -750.2K 72.7M -522.5K 5.79 8.00 N/A N/A 2,946 17,061 158,109 256,222 2020-07-08 $9.81 $11.00 51.1% 13.7% 48.8% 14.1% 48.7% 6.7% -1.6% -877.3K 74.2M -518.1K 2.81 9.25 N/A N/A 2,008 5,644 159,189 257,453 2020-07-09 $9.64 $11.00 59.8% 14.1% 48.0% 20.4% 50.4% 76.5% -19.9% -1.2M 82.1M -516.5K 0.78 8.44 N/A N/A 2,807 2,183 159,873 262,379 2020-07-10 $9.88 $11.00 52.0% 13.9% 36.1% 15.1% 49.3% 5.1% -2.6% -1.1M 72.5M -519.5K 0.39 9.73 N/A N/A 4,001 1,542 160,307 263,916 2020-07-13 $9.69 $11.00 51.6% 14.9% 34.2% 14.2% 51.5% 6.7% -0.9% -1.2M 79.7M -498.5K 1.75 8.12 N/A N/A 3,610 6,302 156,542 262,853 2020-07-14 $9.86 $11.00 51.2% 14.7% 34.9% 13.9% 52.0% 6.4% 0.2% -1.1M 73.8M -510.1K 0.41 6.98 N/A N/A 4,432 1,838 157,861 266,715 2020-07-15 $9.71 $11.00 53.2% 14.3% 32.6% 15.3% 51.4% 5.1% -4.3% -1.2M 79.3M -515.5K 1.74 5.80 N/A N/A 3,885 6,762 160,828 267,086 2020-07-16 $9.93 $11.00 52.3% 14.5% 33.4% 14.9% 51.3% 7.8% -3.4% -658.9K 64.3M -508.9K 0.29 7.89 N/A N/A 3,489 1,017 161,730 261,524 2020-07-17 $9.84 $11.00 50.5% 14.1% 33.3% 14.1% 52.3% 4.3% 0.2% -1.1M 70.1M -504.0K 0.91 7.73 N/A N/A 6,150 5,595 163,563 261,300 2020-07-20 $9.65 $11.00 49.7% 14.2% 33.9% 13.0% 50.6% 7.5% -1.0% -1.4M 69.6M -490.2K 1.04 11.62 N/A N/A 5,187 5,409 131,321 244,746 2020-07-21 $9.72 $11.00 51.2% 14.6% 34.0% 14.0% 49.1% 6.3% 3.3% -1.3M 69.0M -490.8K 0.74 7.79 N/A N/A 4,595 3,399 134,104 246,812 2020-07-22 $9.85 $11.00 48.4% 13.9% 34.4% 12.4% 48.8% 6.5% 1.6% -1.2M 64.5M -472.8K 1.61 9.21 N/A N/A 2,343 3,763 136,367 248,661 2020-07-23 $9.99 $11.00 50.5% 14.5% 31.9% 13.7% 50.8% 5.4% -0.5% -820.2K 57.4M -489.8K 0.40 8.92 N/A N/A 7,597 3,031 138,138 249,912 2020-07-24 $10.06 $11.00 48.9% 14.0% 30.9% 12.7% 52.7% 5.6% 1.8% -234.5K 52.4M -478.1K 0.91 8.70 N/A N/A 4,286 3,918 142,383 252,625 2020-07-27 $9.70 $11.00 53.0% 15.0% 28.9% 15.4% 52.1% 7.2% -1.9% -1.2M 69.0M -480.7K 2.30 9.99 N/A N/A 4,779 10,992 137,999 250,421 2020-07-28 $9.93 $11.00 49.6% 14.5% 29.4% 13.0% 50.2% 4.8% 1.0% -1.2M 61.7M -485.6K 0.69 13.98 N/A N/A 3,464 2,376 140,329 257,927 2020-07-29 $9.84 $11.00 50.8% 14.7% 27.9% 13.8% 52.7% 7.0% -4.4% -1.3M 66.2M -501.8K 0.67 8.43 N/A N/A 2,695 1,806 141,668 259,579 2020-07-30 $9.74 $11.00 58.4% 14.9% 28.0% 19.5% 51.7% -1.5% -9.0% -1.4M 70.8M -483.5K 0.74 15.37 N/A N/A 2,594 1,921 142,913 260,421 2020-07-31 $9.64 $11.00 53.5% 16.2% 27.9% 14.4% 54.4% -2.0% 3.2% -1.7M 75.6M -473.8K 2.77 10.67 N/A N/A 8,309 23,022 144,110 262,244
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