CBL Options History — September 2015

In September 2015, CBL traded between $13.75 and $14.90. ATM implied volatility averaged 31.4%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.2% (HV 20d: 29.2%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.27.

Notable Days

  • 2015-09-23: Highest Volume — 3,322 contracts
  • 2015-09-28: Largest IV spike — 153.2% change
  • 2015-09-28: Highest IV Rank — 53.3%
  • 2015-09-28: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.46$13.75$14.90$14.53$13.75
Max Pain$11.07$10.00$17.50$17.50$10.00
ATM IV31.4%23.0%64.6%41.1%30.6%
Expected Move8.9%6.6%18.5%11.8%8.8%
HV 20d29.2%22.1%32.6%30.9%26.1%
HV 60d23.1%22.4%24.8%22.9%24.5%
IV Rank20.1%11.8%53.3%29.8%19.3%
IV Percentile82.5%56.7%98.4%95.6%84.1%
Term Structure-2.7%-11.4%3.8%-7.2%3.8%
VWIV36.8%22.4%57.5%42.2%26.2%
Skew 25d8.8%-12.7%102.5%0.6%7.9%
Skew 10d13.9%-11.4%132.2%2.5%8.3%
Call IV 25d30.9%26.0%40.0%40.0%26.5%
Put IV 25d39.8%24.9%132.8%40.6%34.4%
Bid-Ask Spread %90.1749.35127.93114.56119.14
Gamma HHI0.800.590.920.600.90
Net GEX83.0K30.6K192.5K55.4K154.3K
Net DEX-767.7K-2.1M-59.0K-530.2K-1.3M
Net VEX-12.1K-16.5K-10.4K-12.3K-13.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.950.141.95
Total Volume975.619823,3221,8671,181
Total OI6,898.5714,5757,9187,0466,780

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$14.53$17.5041.1%11.8%30.9%29.8%42.2%0.6%-7.2%55.4K-530.2K-12.3K0.14114.56N/AN/A1,6412265,8761,170
2015-09-02$14.54$17.5033.7%9.6%30.5%22.4%34.4%11.0%-2.5%48.5K-465.3K-11.6K0.15103.34N/AN/A1,6512445,9061,170
2015-09-03$14.64$12.5030.7%8.8%29.7%19.4%51.4%12.4%-3.7%40.8K-402.2K-11.2K0.1576.80N/AN/A1,6712445,9161,188
2015-09-04$14.34$12.5033.1%7.8%29.6%21.8%37.4%12.3%0.1%41.8K-275.3K-11.2K0.1449.35N/AN/A1,7012445,9461,188
2015-09-08$14.49$12.5034.3%10.4%30.2%23.1%0.0%-12.7%-11.4%43.8K-302.9K-11.1K0.00104.06N/AN/A17306,0061,189
2015-09-09$14.13$10.0027.9%8.0%30.3%16.7%44.5%-1.4%-4.8%46.8K-208.2K-10.9K0.1466.62N/AN/A8251146,1731,189
2015-09-10$14.16$10.0029.2%8.4%30.3%17.9%34.8%8.0%-5.4%49.9K-59.0K-10.4K0.1449.66N/AN/A8001146,3581,221
2015-09-11$14.42$10.0036.9%10.6%31.6%25.7%49.9%11.5%-1.4%55.8K-281.9K-11.1K0.2260.70N/AN/A5131146,4781,221
2015-09-14$14.40$10.0029.6%8.5%31.5%18.3%57.5%5.6%-7.4%46.2K-393.0K-11.4K0.2367.71N/AN/A5081156,5131,221
2015-09-15$14.54$10.0030.9%8.9%31.6%19.7%32.8%13.9%1.5%48.7K-303.9K-11.0K0.00111.38N/AN/A8206,5231,240
2015-09-16$14.69$10.0025.9%7.4%32.0%14.7%35.9%102.5%-0.6%41.3K-399.4K-11.3K0.2396.85N/AN/A5081156,6011,240
2015-09-17$14.80$10.0031.3%9.0%32.3%20.1%22.4%-0.1%-2.2%30.6K-604.4K-11.6K0.18127.93N/AN/A548996,6111,240
2015-09-18$14.63$10.0027.0%7.7%32.2%15.8%24.3%6.4%3.4%80.7K-355.8K-10.9K0.18119.23N/AN/A6341136,6781,240
2015-09-21$14.90$10.0024.0%6.9%32.6%12.8%32.6%-0.1%1.1%85.6K-1.1M-11.4K0.2699.53N/AN/A339883,781794
2015-09-22$14.70$10.0026.3%7.5%26.7%15.0%32.9%0.0%-1.9%85.9K-1.1M-11.0K0.2697.25N/AN/A341883,818794
2015-09-23$14.76$10.0024.5%7.0%24.3%13.2%35.0%-1.2%-2.0%93.5K-917.1K-10.5K0.0385.22N/AN/A3,234883,820794
2015-09-24$14.56$10.0028.5%8.2%24.3%17.3%48.4%-1.5%-3.2%184.1K-2.1M-16.5K0.2484.52N/AN/A373885,913794
2015-09-25$14.73$10.0025.5%7.3%22.1%14.3%25.9%-1.9%-0.3%192.5K-2.1M-16.2K0.30111.73N/AN/A4801455,918794
2015-09-28$14.05$10.0064.6%18.5%27.4%53.3%36.0%9.9%-10.8%153.3K-1.5M-14.7K0.3872.81N/AN/A3801445,938851
2015-09-29$13.93$10.0023.0%6.6%27.2%11.8%31.6%2.5%-1.2%163.4K-1.4M-14.3K0.3775.17N/AN/A3801425,938841
2015-09-30$13.75$10.0030.6%8.8%26.1%19.3%26.2%7.9%3.8%154.3K-1.3M-13.9K1.95119.14N/AN/A4007815,938842