CTL Options History — August 2020

In August 2020, CTL traded between $9.80 and $11.41. ATM implied volatility averaged 44.0%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 9.5% (HV 20d: 34.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.37.

Notable Days

  • 2020-08-04: Highest Volume — 51,287 contracts
  • 2020-08-14: Largest IV spike — 79.4% change
  • 2020-08-07: Highest IV Rank — 41.8%
  • 2020-08-03: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.81$9.80$11.41$9.80$10.80
Max Pain$10.24$10.00$11.00$11.00$11.00
ATM IV44.0%31.0%81.9%52.5%37.4%
Expected Move10.6%8.6%15.6%15.6%10.5%
HV 20d34.5%27.7%38.9%27.9%38.9%
HV 60d42.4%40.4%45.0%44.3%41.0%
IV Rank9.8%1.8%41.8%14.9%5.5%
IV Percentile41.4%7.9%97.6%77.4%32.1%
Term Structure-3.6%-30.4%2.3%-4.4%-0.1%
VWIV37.7%29.4%58.2%58.2%37.8%
Skew 25d6.9%-5.1%47.0%3.6%-0.2%
Skew 10d8.9%-32.0%55.5%4.6%17.2%
Call IV 25d38.1%28.2%60.6%50.8%38.1%
Put IV 25d45.0%34.5%104.5%54.4%37.9%
Bid-Ask Spread %9.694.2616.2110.898.76
Gamma HHI0.180.130.310.240.13
Net GEX-454.4K-2.9M1.4M-1.7M-136.3K
Net DEX25.7M1.6M70.2M68.5M37.0M
Net VEX-460.1K-522.2K-411.9K-470.9K-522.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.109.852.280.34
Total Volume17,566.9052,93151,28720,8537,452
Total OI430,858.476376,180487,023413,183385,003

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$9.80$11.0052.5%15.6%27.9%14.9%58.2%3.6%-4.4%-1.7M68.5M-470.9K2.2810.89N/AN/A6,35414,499140,984272,199
2020-08-04$9.89$11.0049.3%14.2%27.9%12.6%53.4%3.4%-2.1%-1.7M62.5M-472.0K9.8510.45N/AN/A4,72746,560144,861279,099
2020-08-05$9.86$11.0070.0%14.2%27.7%25.6%50.9%47.0%-5.1%-2.9M70.2M-471.3K4.157.71N/AN/A8,52435,382146,885304,168
2020-08-06$10.47$10.0052.2%11.2%34.1%16.0%36.1%33.3%-14.6%-410.5K30.8M-446.0K0.3413.65N/AN/A22,8267,831151,253329,204
2020-08-07$10.47$10.0081.9%11.3%33.2%41.8%37.6%-5.1%-30.4%398.5K31.3M-432.0K3.3511.51N/AN/A5,14117,202156,817330,206
2020-08-10$10.85$10.0042.3%10.0%34.1%4.4%36.1%5.3%-0.1%-396.3K16.3M-417.5K1.769.14N/AN/A7,42913,102147,111284,711
2020-08-11$11.05$10.0040.0%10.4%34.1%7.2%35.6%3.5%-1.9%-63.8K9.3M-457.1K1.4116.21N/AN/A8,83112,474149,879290,880
2020-08-12$10.78$10.0037.8%10.5%35.0%5.8%36.5%4.2%-0.3%-488.6K24.9M-470.3K0.2610.28N/AN/A5,1961,369152,362301,135
2020-08-13$10.77$10.0037.1%10.4%34.5%5.5%35.0%4.7%-0.2%-441.3K26.6M-478.8K0.139.57N/AN/A7,603964154,722302,075
2020-08-14$11.03$10.0066.6%10.3%34.8%30.0%36.6%17.4%-9.9%-11.0K12.3M-487.8K0.6511.04N/AN/A9,2436,020158,684302,169
2020-08-17$10.82$10.0044.9%10.3%34.8%4.6%36.3%2.5%0.6%-554.8K26.5M-478.9K0.469.84N/AN/A4,7012,148156,413283,567
2020-08-18$10.86$10.0040.2%10.0%34.8%3.9%35.5%4.2%-4.9%-400.8K22.4M-465.8K0.3610.09N/AN/A2,148783158,664285,030
2020-08-19$11.24$10.0033.8%9.7%36.2%3.3%33.9%2.3%-7.0%132.0K1.6M-472.3K0.2311.32N/AN/A10,1942,375159,811285,605
2020-08-20$11.03$10.0034.5%9.9%37.1%3.8%34.0%1.7%0.4%-310.9K14.0M-464.0K0.2910.52N/AN/A9,3832,756163,832286,603
2020-08-21$10.99$10.0032.1%9.1%37.3%2.0%32.9%2.1%1.1%-1.4M17.4M-440.4K1.115.67N/AN/A8,5819,507164,676287,847
2020-08-24$11.41$10.0031.0%8.6%35.7%1.8%29.4%3.8%2.3%797.7K7.2M-411.9K0.106.69N/AN/A12,5961,201133,740242,440
2020-08-25$11.22$10.0034.5%9.2%36.3%3.9%32.8%1.4%0.8%378.5K14.5M-437.8K0.5311.63N/AN/A7,3013,881140,579242,754
2020-08-26$11.20$10.0034.1%9.2%36.0%3.5%32.3%1.9%1.0%675.8K11.6M-423.4K0.417.79N/AN/A3,6121,471145,930244,859
2020-08-27$11.38$10.0035.0%9.1%35.6%4.1%32.8%3.2%0.3%1.4M3.3M-424.4K0.104.26N/AN/A24,2692,506146,867245,446
2020-08-28$10.99$11.0036.9%10.0%38.2%5.3%38.2%4.2%-0.5%-2.4M30.7M-517.8K0.646.41N/AN/A6,5484,215142,736246,222
2020-08-31$10.80$11.0037.4%10.5%38.9%5.5%37.8%-0.2%-0.1%-136.3K37.0M-522.2K0.348.76N/AN/A5,5651,887141,148243,855