CTL Options History — September 2020 In September 2020, CTL traded between $10.59 and $11.06. ATM implied volatility averaged 38.6%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 4.2% (HV 20d: 34.4%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 6 of 12 trading days. Term structure was in contango for 8 of 12 days. Put/call ratio averaged 0.84.
Notable Days 2020-09-16 : Highest Volume — 32,185 contracts2020-09-03 : Largest IV spike — 15.1% change2020-09-03 : Highest IV Rank — 9.7%2020-09-03 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $10.83 $10.59 $11.06 $10.64 $10.97 Max Pain $10.17 $10.00 $11.00 $11.00 $10.00 ATM IV 38.6% 33.2% 45.5% 41.1% 35.0% Expected Move 10.5% 9.4% 12.0% 10.8% 9.9% HV 20d 34.4% 30.3% 40.2% 39.5% 30.3% HV 60d 35.2% 33.4% 39.9% 39.8% 33.7% IV Rank 6.1% 2.8% 9.7% 7.9% 3.7% IV Percentile 32.1% 17.1% 49.6% 39.7% 21.4% Term Structure 1.4% -5.4% 11.6% 0.4% 4.3% VWIV 37.0% 33.0% 41.9% 37.8% 36.5% Skew 25d 5.8% 1.4% 10.5% 10.5% 5.5% Skew 10d 13.4% -0.3% 27.2% 14.8% 9.2% Call IV 25d 36.5% 32.7% 41.3% 35.3% 33.6% Put IV 25d 42.3% 37.4% 48.6% 45.8% 39.1% Bid-Ask Spread % 18.07 7.25 55.58 11.89 8.16 Gamma HHI 0.15 0.13 0.19 0.13 0.19 Net GEX 224.5K -331.3K 1.2M -287.0K 1.2M Net DEX 31.7M 18.0M 41.8M 41.8M 22.8M Net VEX -492.3K -535.1K -445.1K -521.5K -475.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.84 0.16 4.95 1.16 0.79 Total Volume 8,399.583 4,258 32,185 6,222 4,721 Total OI 394,427.75 388,619 403,930 388,619 393,944
Daily Data (12 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 2020-09-01 $10.64 $11.00 41.1% 10.8% 39.5% 7.9% 37.8% 10.5% 0.4% -287.0K 41.8M -521.5K 1.16 11.89 N/A N/A 2,875 3,347 143,709 244,910 2020-09-02 $10.93 $11.00 39.6% 10.6% 40.2% 6.8% 37.2% 8.1% 5.6% 116.0K 29.1M -516.2K 0.16 29.15 N/A N/A 5,116 820 145,030 247,084 2020-09-03 $10.72 $10.00 45.5% 12.0% 35.5% 9.7% 41.9% 7.3% 1.7% -177.1K 39.5M -535.1K 0.41 48.81 N/A N/A 3,915 1,624 147,328 247,357 2020-09-04 $10.81 $10.00 43.7% 11.3% 35.5% 7.4% 39.0% 5.4% 11.6% -82.8K 35.3M -507.1K 0.26 55.58 N/A N/A 5,113 1,308 148,950 247,663 2020-09-08 $10.70 $10.00 43.8% 11.3% 33.4% 9.4% 40.0% 6.3% -5.4% -112.7K 36.7M -487.0K 0.64 9.81 N/A N/A 3,581 2,306 143,977 245,401 2020-09-09 $10.86 $10.00 38.6% 10.5% 33.1% 6.2% 36.2% 5.8% -1.2% 190.4K 31.0M -488.7K 0.26 7.25 N/A N/A 3,376 882 145,706 246,642 2020-09-10 $10.59 $10.00 36.3% 10.6% 33.2% 4.8% 38.2% 1.4% -1.5% -237.4K 39.5M -494.1K 0.40 11.72 N/A N/A 4,147 1,664 147,610 246,958 2020-09-11 $10.68 $10.00 37.7% 10.0% 33.4% 6.5% 37.2% 4.0% -4.4% -331.3K 37.4M -445.1K 0.46 8.31 N/A N/A 4,651 2,156 148,337 248,062 2020-09-14 $10.93 $10.00 35.1% 9.9% 33.3% 3.8% 33.7% 5.5% 2.1% 425.7K 28.0M -468.4K 0.27 7.56 N/A N/A 9,299 2,537 146,459 245,452 2020-09-15 $11.03 $10.00 33.2% 9.4% 32.7% 2.8% 33.9% 5.6% 1.9% 800.3K 21.6M -504.5K 0.28 10.21 N/A N/A 4,031 1,141 151,076 247,548 2020-09-16 $11.06 $10.00 34.0% 9.8% 32.7% 3.5% 33.0% 4.8% 2.2% 1.2M 18.0M -464.1K 4.95 8.43 N/A N/A 5,405 26,780 155,856 248,074 2020-09-17 $10.97 $10.00 35.0% 9.9% 30.3% 3.7% 36.5% 5.5% 4.3% 1.2M 22.8M -475.7K 0.79 8.16 N/A N/A 2,642 2,079 157,554 236,390
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