CBL Options History — August 2015

In August 2015, CBL traded between $14.45 and $16.48. ATM implied volatility averaged 24.4%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.3% (HV 20d: 20.2%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.23.

Notable Days

  • 2015-08-10: Highest Volume — 2,684 contracts
  • 2015-08-11: Largest IV spike — 83.8% change
  • 2015-08-28: Highest IV Rank — 26.7%
  • 2015-08-28: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.79$14.45$16.48$16.28$14.92
Max Pain$17.14$15.00$17.50$15.00$17.50
ATM IV24.4%15.3%38.0%20.6%37.5%
Expected Move7.0%4.4%10.9%5.9%10.7%
HV 20d20.2%14.7%30.7%15.2%30.2%
HV 60d18.8%17.2%22.4%17.8%22.4%
IV Rank13.2%4.0%26.7%9.4%26.2%
IV Percentile49.6%2.8%94.4%32.9%94.0%
Term Structure2.6%-9.2%20.0%-7.0%-9.2%
VWIV26.3%15.3%37.8%17.7%37.8%
Skew 25d6.3%-3.8%17.0%0.2%8.3%
Skew 10d6.8%-5.1%13.3%-0.5%13.3%
Call IV 25d20.8%14.2%34.0%18.9%34.0%
Put IV 25d27.1%16.6%42.2%19.0%42.2%
Bid-Ask Spread %62.2320.37105.3020.3794.42
Gamma HHI0.590.490.780.670.56
Net GEX131.9K66.3K208.8K131.8K80.4K
Net DEX-1.4M-2.9M-334.5K-867.2K-798.1K
Net VEX-12.2K-15.5K-7.9K-8.0K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.010.700.560.14
Total Volume1,440.28602,68401,842
Total OI6,385.4295,3397,0855,3397,002

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$16.28$15.0020.6%5.9%15.2%9.4%0.0%0.2%-7.0%131.8K-867.2K-8.0K0.0020.37N/AN/A004,376963
2015-08-04$16.02$15.0017.0%4.9%14.7%5.7%17.7%-3.8%14.6%121.1K-1.2M-9.7K0.5656.17N/AN/A5623134,376963
2015-08-05$15.71$15.0018.6%5.3%15.5%7.4%15.3%1.5%4.5%109.5K-646.4K-7.9K0.6228.36N/AN/A5423364,380963
2015-08-06$15.99$17.5020.5%5.7%17.0%9.3%24.9%10.7%8.3%116.2K-700.4K-8.8K0.6232.65N/AN/A5453364,410991
2015-08-07$16.18$17.5016.5%5.8%17.0%5.3%25.0%10.5%7.8%140.5K-1.0M-9.3K0.7078.34N/AN/A4773364,408991
2015-08-10$16.09$17.5017.2%6.5%17.0%6.0%24.4%10.0%5.1%136.9K-1.1M-9.1K0.1458.27N/AN/A2,3483364,406991
2015-08-11$16.27$17.5031.6%6.3%17.6%20.4%29.5%3.9%5.6%142.8K-1.4M-10.2K0.0159.87N/AN/A26934,410991
2015-08-12$16.30$17.5018.1%5.2%17.6%6.9%16.5%2.7%5.2%183.1K-2.2M-13.8K0.2266.21N/AN/A1,6173495,679994
2015-08-13$16.27$17.5015.3%4.4%17.2%4.0%16.5%1.8%5.3%169.8K-2.1M-13.3K0.1843.83N/AN/A1,6172945,6791,017
2015-08-14$16.32$17.5017.3%5.0%16.7%6.1%21.7%6.4%5.9%181.5K-2.2M-14.3K0.1856.70N/AN/A1,6172945,6791,068
2015-08-17$16.43$17.5018.8%5.4%16.8%7.5%27.0%17.0%2.6%197.3K-2.9M-15.5K0.0747.65N/AN/A1,6211065,6791,068
2015-08-18$16.48$17.5018.6%5.3%16.8%7.4%21.9%13.5%5.3%208.8K-2.9M-15.3K0.1256.47N/AN/A1,6242015,6791,069
2015-08-19$16.28$17.5025.0%7.2%17.3%13.8%29.5%13.1%3.3%188.0K-2.5M-15.2K0.0167.22N/AN/A20025,6841,195
2015-08-20$16.07$17.5027.2%7.8%16.5%16.0%24.7%4.2%-6.0%160.6K-2.2M-15.0K0.1373.72N/AN/A1,5552015,8841,196
2015-08-21$15.73$17.5026.1%7.5%18.1%14.9%26.5%6.4%-1.1%122.3K-1.9M-14.4K0.1559.53N/AN/A1,5552295,8891,196
2015-08-24$14.90$17.5031.9%9.1%26.3%20.7%31.7%6.2%20.0%73.6K-683.7K-13.1K0.12105.30N/AN/A1,5501825,7841,171
2015-08-25$14.45$17.5032.1%9.2%27.8%20.9%32.2%3.4%-9.1%68.7K-376.4K-12.0K0.1481.56N/AN/A1,5572135,7881,175
2015-08-26$14.66$17.5033.4%9.6%28.2%22.2%33.8%6.3%-3.5%66.3K-334.5K-12.1K0.1572.19N/AN/A1,5622325,7861,168
2015-08-27$15.10$17.5032.0%9.2%30.7%20.8%32.5%5.1%1.4%79.8K-762.9K-13.2K0.1591.08N/AN/A1,5882325,7911,169
2015-08-28$15.13$17.5038.0%10.9%30.0%26.7%37.6%4.7%-5.4%91.6K-1.1M-13.6K0.1456.86N/AN/A1,5772265,8171,169
2015-08-31$14.92$17.5037.5%10.7%30.2%26.2%37.8%8.3%-9.2%80.4K-798.1K-12.9K0.1494.42N/AN/A1,6162265,8321,170