CULP Options History — October 2020

In October 2020, CULP traded between $12.30 and $14.05. ATM implied volatility averaged 58.2%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 7.5% (HV 20d: 50.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.58.

Notable Days

  • 2020-10-26: Highest Volume — 120 contracts
  • 2020-10-13: Largest IV spike — 76.0% change
  • 2020-10-13: Highest IV Rank — 41.8%
  • 2020-10-27: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.14$12.30$14.05$13.46$12.42
Max Pain$12.27$10.00$12.50$10.00$12.50
ATM IV58.2%35.7%91.4%59.3%57.5%
Expected Move15.3%10.2%18.5%17.0%16.5%
HV 20d50.6%42.2%63.2%49.3%53.8%
HV 60d48.6%46.3%51.4%48.2%51.4%
IV Rank21.9%8.4%41.8%22.6%21.5%
IV Percentile44.8%13.6%79.6%48.4%42.8%
Term Structure-1.2%-22.5%35.4%2.2%-2.5%
VWIV58.4%44.6%92.7%92.7%59.9%
Skew 25d4.2%-30.5%35.7%-6.1%35.7%
Skew 10d6.5%-61.3%57.6%-28.0%57.6%
Call IV 25d54.0%40.4%81.0%81.0%49.3%
Put IV 25d58.3%39.4%85.0%74.9%85.0%
Bid-Ask Spread %109.39102.41117.82117.44109.99
Gamma HHI0.600.400.640.580.63
Net GEX-17.9K-24.0K1.5K-15.7K-23.8K
Net DEX161.2K-231.1K455.4K-86.8K450.8K
Net VEX-3.8K-4.2K-3.1K-4.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0023.000.000.00
Total Volume17.0910120171
Total OI2,184.0451,9082,4312,4262,108

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$13.46$10.0059.3%17.0%49.3%22.6%92.7%-6.1%2.2%-15.7K-86.8K-4.2K0.00117.44N/AN/A1706211,805
2020-10-02$13.72$10.0048.6%13.9%42.6%16.2%68.5%-30.5%2.7%-15.4K-146.6K-4.0K0.00117.82N/AN/A1806261,805
2020-10-05$13.25$12.5074.4%16.1%42.2%31.6%52.3%7.9%-8.4%-14.8K-21.5K-4.1K0.00113.42N/AN/A4106031,805
2020-10-06$13.92$12.5059.1%13.9%44.3%22.4%47.4%7.7%0.8%-13.7K-231.1K-3.5K0.00109.27N/AN/A4406011,805
2020-10-07$14.05$12.5072.6%14.4%44.1%30.6%0.0%-11.8%-20.1%-19.1K-93.6K-3.4K0.00114.31N/AN/A004651,805
2020-10-08$13.82$12.5064.7%14.6%44.7%25.8%0.0%-7.0%-1.7%-16.2K7.9K-3.9K0.00111.78N/AN/A054651,805
2020-10-09$14.05$12.5052.4%14.7%44.6%18.4%0.0%-5.1%-4.9%-17.8K-61.2K-3.6K0.00105.10N/AN/A104651,804
2020-10-12$14.03$12.5051.9%13.0%44.5%18.1%67.0%7.1%-16.2%-19.3K-52.4K-3.4K0.00108.23N/AN/A034651,804
2020-10-13$13.49$12.5091.4%17.1%46.1%41.8%0.0%10.3%-3.2%-18.5K79.1K-3.8K0.00102.41N/AN/A1004651,807
2020-10-14$13.20$12.5057.7%16.5%47.0%21.6%0.0%10.7%-4.5%-19.4K141.9K-3.9K0.00104.37N/AN/A004651,807
2020-10-15$13.12$12.5060.8%17.4%47.1%23.4%0.0%14.2%35.4%-18.3K160.6K-3.9K0.00103.10N/AN/A004651,807
2020-10-16$12.52$12.5044.4%12.7%50.4%13.6%44.6%-1.2%7.3%1.5K239.8K-3.8K0.00114.72N/AN/A1804651,807
2020-10-19$12.30$12.5049.3%14.1%50.6%16.6%49.3%15.8%-4.8%-20.6K455.4K-3.9K0.67110.98N/AN/A15103391,569
2020-10-20$12.39$12.5044.7%12.8%50.3%13.8%44.7%1.7%5.8%-23.6K454.9K-3.7K0.00107.13N/AN/A2103541,579
2020-10-21$12.55$12.5057.3%16.4%49.2%21.4%57.7%16.2%1.2%-17.9K374.8K-3.9K0.00107.92N/AN/A3503751,579
2020-10-22$13.72$12.5055.5%15.9%58.2%20.3%0.0%13.2%7.7%-24.0K44.0K-3.1K0.00107.83N/AN/A604101,579
2020-10-23$13.01$12.5062.2%17.8%61.2%24.3%0.0%12.5%-14.7%-17.2K250.6K-3.9K0.00106.97N/AN/A504161,579
2020-10-26$12.42$12.5058.7%16.8%63.2%22.2%59.9%-7.3%13.4%-18.9K392.1K-3.9K23.00106.94N/AN/A51154261,579
2020-10-27$12.52$12.5064.4%18.5%63.2%25.6%0.0%7.3%-22.5%-20.9K386.6K-3.9K0.00109.76N/AN/A104361,670
2020-10-28$12.61$12.5035.7%10.2%63.2%8.4%0.0%4.5%21.5%-19.2K414.1K-4.0K0.00110.15N/AN/A504361,670
2020-10-29$12.59$12.5057.0%16.3%54.3%21.2%0.0%-2.6%-20.2%-20.9K386.8K-3.9K0.00107.04N/AN/A004381,670
2020-10-30$12.42$12.5057.5%16.5%53.8%21.5%0.0%35.7%-2.5%-23.8K450.8K-3.8K0.00109.99N/AN/A014381,670