CULP Options History — September 2020

In September 2020, CULP traded between $11.88 and $13.01. ATM implied volatility averaged 59.5%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 13.5% (HV 20d: 46.0%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 7.53.

Notable Days

  • 2020-09-03: Highest Volume — 589 contracts
  • 2020-09-03: Largest IV drop — 54.4% change
  • 2020-09-02: Highest IV Rank — 46.0%
  • 2020-09-02: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.32$11.88$13.01$12.47$12.33
Max Pain$8.93$7.50$12.50$12.50$10.00
ATM IV59.5%43.5%98.4%70.4%55.4%
Expected Move17.4%12.5%28.2%20.2%15.9%
HV 20d46.0%40.7%59.1%50.1%40.7%
HV 60d62.9%45.1%68.2%66.5%45.1%
IV Rank22.7%13.1%46.0%29.2%20.2%
IV Percentile50.4%32.0%84.8%64.0%45.2%
Term Structure-1.0%-20.3%69.3%4.1%0.3%
VWIV59.7%32.3%86.5%67.2%50.2%
Skew 25d6.6%-26.0%40.9%37.0%-25.1%
Skew 10d2.6%-45.8%56.6%56.6%-45.8%
Call IV 25d55.7%33.8%79.4%61.2%79.4%
Put IV 25d62.3%42.4%98.2%98.2%54.2%
Bid-Ask Spread %106.0573.63114.6973.63112.33
Gamma HHI0.540.360.840.470.55
Net GEX-7.0K-17.1K7.4K3.9K-15.1K
Net DEX123.8K-339.7K361.8K-310.9K227.4K
Net VEX-4.0K-4.7K-2.0K-2.1K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.530.0061.600.020.00
Total Volume86.4760589550
Total OI2,124.6671,1672,5501,1862,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$12.47$12.5070.4%20.2%50.1%29.2%67.2%37.0%4.1%3.9K-310.9K-2.1K0.0273.63N/AN/A541571615
2020-09-02$13.01$12.5098.4%28.2%51.2%46.0%86.5%2.0%-19.4%2.3K-339.7K-2.1K0.0787.28N/AN/A21716551616
2020-09-03$12.18$7.5044.9%14.8%57.5%13.9%65.8%0.2%-3.1%7.4K-268.0K-2.0K6.10103.41N/AN/A83506723629
2020-09-04$12.75$7.5052.8%18.3%59.1%18.7%75.0%-14.1%-15.3%-1.3K-93.9K-3.4K0.04101.41N/AN/A14067041,131
2020-09-08$12.46$7.5050.9%17.3%53.2%17.5%47.1%30.9%-10.7%-729-67.6K-3.4K0.11103.80N/AN/A3847041,131
2020-09-09$12.39$7.5058.3%16.7%45.0%22.0%58.3%4.9%-5.6%2.3K-65.1K-3.4K0.00109.46N/AN/A057391,135
2020-09-10$12.33$7.5067.8%19.4%44.1%27.6%57.9%20.9%-19.3%745-32.4K-3.3K61.60103.17N/AN/A53087391,140
2020-09-11$12.26$7.5063.3%18.1%43.9%25.0%63.3%23.5%-17.9%-4.4K170.9K-4.4K39.67107.30N/AN/A31197441,521
2020-09-14$12.18$7.5066.9%19.2%42.3%27.2%32.3%27.2%-16.2%-5.7K264.6K-4.7K0.00103.72N/AN/A1007441,640
2020-09-15$11.88$7.5043.5%12.5%43.3%13.1%0.0%-0.8%13.0%-5.0K321.6K-4.6K0.00110.24N/AN/A007491,640
2020-09-16$12.06$7.5053.0%15.2%43.6%18.8%53.5%-12.2%8.0%-4.8K287.7K-4.6K0.00107.32N/AN/A507491,640
2020-09-17$12.01$7.5064.9%18.6%43.6%25.9%65.1%-1.6%69.3%-13.1K361.8K-4.6K25.00110.61N/AN/A61507541,640
2020-09-18$12.14$7.5067.8%19.4%43.3%27.7%62.6%8.0%-20.3%-14.7K343.3K-4.7K2.71114.69N/AN/A17467601,790
2020-09-21$12.00$10.0051.2%14.7%42.7%17.7%51.7%7.7%3.6%-14.5K357.6K-4.5K0.27104.24N/AN/A1545281,801
2020-09-22$12.22$10.0051.1%14.6%43.0%17.6%54.6%-1.6%8.6%-17.1K313.4K-4.5K0.00107.67N/AN/A1505421,805
2020-09-23$12.61$10.0064.3%18.4%43.9%25.6%64.2%40.9%-7.2%-16.5K220.1K-4.4K0.00112.94N/AN/A2005621,805
2020-09-24$12.44$10.0049.3%14.1%44.5%16.6%50.2%-14.8%21.3%-11.4K219.6K-4.7K0.00113.60N/AN/A605971,805
2020-09-25$12.20$10.0065.3%18.7%45.1%26.2%0.0%3.0%-7.9%-15.6K286.5K-4.5K0.00113.48N/AN/A306071,805
2020-09-28$12.47$10.0047.8%13.7%43.5%15.7%0.0%-26.0%3.4%-13.9K199.0K-4.4K0.00112.28N/AN/A906101,805
2020-09-29$12.35$10.0062.1%17.8%42.5%24.2%0.0%29.5%-9.7%-10.2K203.2K-4.6K0.00114.50N/AN/A506161,805
2020-09-30$12.33$10.0055.4%15.9%40.7%20.2%0.0%-25.1%0.3%-15.1K227.4K-4.4K0.00112.33N/AN/A006211,805