CULP Options History — January 2020 In January 2020, CULP traded between $12.50 and $14.74. ATM implied volatility averaged 46.1%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 9.6% (HV 20d: 36.5%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.37.
Notable Days 2020-01-09 : Highest Volume — 11 contracts2020-01-06 : Largest IV drop — 49.1% change2020-01-10 : Highest IV Rank — 63.8%2020-01-03 : Largest Expected Move — 17.6%Monthly Statistics Metric Avg Min Max Open Close Price $13.44 $12.50 $14.74 $13.86 $12.66 Max Pain $12.79 $12.50 $15.00 $15.00 $12.50 ATM IV 46.1% 31.3% 84.5% 46.0% 33.7% Expected Move 10.4% 7.7% 17.6% 13.2% 9.7% HV 20d 36.5% 32.8% 44.9% 37.1% 34.2% HV 60d 34.6% 31.1% 35.3% 31.1% 34.8% IV Rank 24.8% 9.7% 63.8% 24.7% 12.2% IV Percentile 53.7% 13.9% 98.8% 78.2% 24.6% Term Structure 4.2% -1.0% 13.2% 0.7% 4.9% VWIV 49.2% 32.2% 87.1% 87.1% 32.2% Skew 25d 7.1% 3.8% 14.0% 5.1% 4.3% Skew 10d 8.9% -11.4% 15.1% -1.6% 9.5% Call IV 25d 31.4% 23.8% 36.6% 32.2% 36.6% Put IV 25d 38.5% 34.7% 46.8% 37.3% 40.9% Bid-Ask Spread % 112.87 106.83 132.16 115.07 115.13 Gamma HHI 0.45 0.34 0.59 0.34 0.52 Net GEX 291 -101 1.3K 461 -101 Net DEX -768 -6.3K 3.9K 655 3.3K Net VEX -69 -95 -59 -70 -65 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.00 2.00 0.00 2.00 Total Volume 1.714 0 11 1 0 Total OI 115.667 33 186 173 39
Daily Data (21 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 2020-01-02 $13.86 $15.00 46.0% 13.2% 37.1% 24.7% 87.1% 5.1% 0.7% 461 655 -70 0.00 115.07 N/A N/A 1 0 155 18 2020-01-03 $14.02 $15.00 61.5% 17.6% 37.3% 40.4% 0.0% 14.0% -0.1% 1.3K -6.3K -95 0.00 132.16 N/A N/A 0 0 155 18 2020-01-06 $14.74 $0.00 31.3% 9.3% 39.1% 9.7% 0.0% 9.4% 3.9% 809 -3.9K -64 0.00 106.83 N/A N/A 0 0 155 18 2020-01-07 $13.83 $0.00 44.7% 9.2% 44.9% 23.4% 0.0% 7.4% 4.7% 639 -371 -73 0.00 107.21 N/A N/A 0 0 155 18 2020-01-08 $13.82 $0.00 57.3% 8.8% 42.2% 36.1% 0.0% 6.5% 3.7% 580 59 -70 0.00 108.76 N/A N/A 0 0 155 18 2020-01-09 $13.73 $0.00 81.4% 11.7% 42.2% 60.6% 43.0% 7.8% -1.0% 625 -25 -71 0.22 109.74 N/A N/A 9 2 155 18 2020-01-10 $13.66 $12.50 84.5% 11.2% 39.4% 63.8% 0.0% 7.1% 1.6% 614 -3.8K -77 0.00 109.92 N/A N/A 0 0 160 20 2020-01-13 $13.86 $12.50 70.7% 7.7% 39.8% 49.7% 0.0% 5.4% 3.1% 625 -5.2K -70 0.00 107.44 N/A N/A 0 0 159 19 2020-01-14 $13.76 $12.50 74.1% 9.4% 38.7% 53.2% 0.0% 5.8% 4.0% -24 -1.0K -63 0.00 109.60 N/A N/A 0 0 159 19 2020-01-15 $13.55 $12.50 38.0% 10.9% 35.7% 16.5% 0.0% 4.6% 3.3% -29 -154 -62 0.00 107.83 N/A N/A 0 0 159 19 2020-01-16 $13.72 $12.50 31.8% 9.1% 34.6% 10.3% 0.0% 4.3% 13.2% -29 -1.0K -61 0.00 114.64 N/A N/A 8 0 159 19 2020-01-17 $13.49 $12.50 35.5% 10.2% 34.2% 14.0% 0.0% 12.9% 3.9% 185 -3.1K -79 0.00 118.71 N/A N/A 0 0 167 19 2020-01-21 $13.37 $12.50 35.7% 10.2% 34.2% 14.2% 0.0% 11.7% 4.0% 157 -3.4K -77 0.00 114.29 N/A N/A 5 0 21 16 2020-01-22 $13.26 $12.50 35.4% 10.1% 33.5% 13.9% 0.0% 9.2% 5.7% 72 -1.5K -67 0.00 116.00 N/A N/A 0 0 17 16 2020-01-23 $13.06 $12.50 34.7% 9.9% 33.5% 13.2% 34.5% 6.8% 5.4% 54 16 -66 0.00 110.94 N/A N/A 5 0 17 16 2020-01-24 $12.97 $12.50 35.4% 10.2% 33.2% 14.0% 0.0% 6.9% 5.2% 66 318 -66 0.00 113.14 N/A N/A 0 0 17 16 2020-01-27 $12.93 $12.50 38.4% 11.0% 32.8% 16.9% 0.0% 7.6% 2.7% 65 574 -65 0.00 113.16 N/A N/A 0 0 17 16 2020-01-28 $12.67 $12.50 34.3% 9.8% 33.2% 12.8% 0.0% 4.7% 5.0% 58 2.6K -61 0.00 114.29 N/A N/A 0 0 17 16 2020-01-29 $12.50 $12.50 32.0% 9.2% 33.1% 10.4% 32.2% 4.0% 6.3% 54 3.9K -59 2.00 111.79 N/A N/A 2 4 17 16 2020-01-30 $12.76 $12.50 32.0% 9.2% 34.2% 10.4% 0.0% 3.8% 7.0% -76 2.3K -67 0.00 113.63 N/A N/A 0 0 19 20 2020-01-31 $12.66 $12.50 33.7% 9.7% 34.2% 12.2% 0.0% 4.3% 4.9% -101 3.3K -65 0.00 115.13 N/A N/A 0 0 19 20
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