CULP Options History — November 2020

In November 2020, CULP traded between $12.38 and $14.76. ATM implied volatility averaged 58.6%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 12.9% (HV 20d: 45.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.04.

Notable Days

  • 2020-11-06: Highest Volume — 23 contracts
  • 2020-11-09: Largest IV spike — 54.6% change
  • 2020-11-09: Highest IV Rank — 43.3%
  • 2020-11-04: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.71$12.38$14.76$12.38$14.22
Max Pain$11.00$10.00$12.50$12.50$10.00
ATM IV58.6%38.2%93.9%45.1%55.5%
Expected Move15.4%10.5%20.1%12.9%15.9%
HV 20d45.7%28.7%55.1%52.6%33.9%
HV 60d47.3%44.2%51.3%51.3%44.2%
IV Rank22.2%9.9%43.3%14.0%20.3%
IV Percentile41.8%15.2%82.0%24.0%36.8%
Term Structure-3.2%-21.7%24.3%10.9%-11.7%
VWIV54.2%43.1%69.6%45.0%43.1%
Skew 25d3.8%-33.9%25.7%1.9%-17.5%
Skew 10d22.2%-37.3%45.9%3.1%25.6%
Call IV 25d55.2%34.2%94.3%43.0%67.9%
Put IV 25d58.9%37.4%89.5%44.9%50.4%
Bid-Ask Spread %114.36106.29128.55106.64114.14
Gamma HHI0.660.610.780.640.78
Net GEX-21.0K-25.8K-15.9K-21.9K-22.6K
Net DEX114.4K-86.7K452.0K452.0K93.7K
Net VEX-2.8K-3.8K-1.7K-3.8K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.040.000.150.000.14
Total Volume4.2502310
Total OI2,013.651,7752,1092,1091,791

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$12.38$12.5045.1%12.9%52.6%14.0%45.0%1.9%10.9%-21.9K452.0K-3.8K0.00106.64N/AN/A014381,671
2020-11-03$12.88$12.5047.8%13.7%51.4%15.6%56.8%15.2%24.3%-22.9K246.8K-3.5K0.00111.47N/AN/A014381,671
2020-11-04$13.03$12.5070.1%20.1%51.5%29.0%0.0%-24.8%-21.7%-22.5K287.1K-3.6K0.00123.69N/AN/A004381,670
2020-11-05$13.44$10.0074.0%16.0%52.7%31.4%0.0%10.7%-20.6%-19.1K183.5K-3.6K0.00115.67N/AN/A1004381,670
2020-11-06$13.05$10.0060.7%16.5%53.1%23.4%60.3%15.0%-1.9%-22.7K225.2K-3.5K0.15111.68N/AN/A2034281,670
2020-11-09$13.55$12.5093.9%17.9%55.1%43.3%0.0%17.2%-2.8%-25.8K188.4K-3.0K0.00112.87N/AN/A104111,673
2020-11-10$13.87$12.5081.9%10.5%53.9%36.1%0.0%25.7%11.7%-18.8K100.4K-3.2K0.00111.44N/AN/A004101,673
2020-11-11$13.74$12.5054.0%15.5%53.4%19.4%50.6%10.2%-8.1%-18.8K87.5K-3.1K0.00106.29N/AN/A104101,673
2020-11-12$13.45$12.5057.8%16.6%54.0%21.6%69.6%21.5%-2.6%-25.1K116.6K-2.9K0.00108.43N/AN/A034101,673
2020-11-13$13.61$12.5061.7%17.7%51.0%24.0%0.0%19.7%-7.7%-22.2K75.5K-2.9K0.00113.64N/AN/A004101,673
2020-11-16$13.72$10.0050.3%14.4%50.3%17.1%0.0%9.7%7.8%-21.8K61.3K-2.7K0.00113.45N/AN/A1004101,670
2020-11-17$13.82$10.0060.3%17.3%50.3%23.2%0.0%5.6%-16.8%-22.3K20.4K-2.6K0.00128.55N/AN/A1004001,670
2020-11-18$13.92$10.0054.9%15.7%50.3%19.9%0.0%10.6%-7.9%-20.4K-60.4K-2.4K0.00112.97N/AN/A024101,670
2020-11-19$13.78$10.0048.8%14.0%39.4%16.3%0.0%-1.5%-7.5%-20.9K-15.9K-2.6K0.00112.45N/AN/A024101,668
2020-11-20$13.88$10.0038.2%11.0%34.1%9.9%0.0%-6.6%3.4%-18.9K-86.7K-2.3K0.00115.79N/AN/A504101,668
2020-11-23$14.05$10.0058.9%16.9%28.7%22.3%43.1%-0.7%-6.8%-20.3K168.9K-2.3K0.14116.13N/AN/A1422131,562
2020-11-24$14.76$10.0052.5%15.1%32.5%18.5%0.0%5.4%-7.2%-18.9K5.6K-1.8K0.00114.03N/AN/A002271,564
2020-11-25$14.62$10.0048.7%14.0%33.1%16.2%0.0%-33.9%5.9%-19.1K82.9K-2.0K0.00122.39N/AN/A002271,564
2020-11-27$14.43$10.0057.9%16.6%33.8%21.7%0.0%-8.4%-5.4%-15.9K54.3K-1.8K0.00115.42N/AN/A002271,564
2020-11-30$14.22$10.0055.5%15.9%33.9%20.3%0.0%-17.5%-11.7%-22.6K93.7K-1.7K0.00114.14N/AN/A002271,564