CBL Options History — November 2015

In November 2015, CBL traded between $13.07 and $14.88. ATM implied volatility averaged 29.5%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 1.0% (HV 20d: 30.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2015-11-18: Highest Volume — 2,550 contracts
  • 2015-11-09: Largest IV spike — 109.6% change
  • 2015-11-09: Highest IV Rank — 39.4%
  • 2015-11-18: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.67$13.07$14.88$14.87$13.07
Max Pain$14.63$12.50$15.00$12.50$15.00
ATM IV29.5%22.6%50.7%27.4%32.3%
Expected Move8.0%5.8%9.4%7.9%9.3%
HV 20d30.4%25.2%32.7%28.2%26.5%
HV 60d28.9%26.9%30.7%28.6%27.5%
IV Rank18.2%11.4%39.4%16.2%21.1%
IV Percentile77.4%47.2%97.2%78.6%87.3%
Term Structure1.2%-14.4%12.2%-5.9%-4.5%
VWIV25.8%16.8%33.8%27.5%33.8%
Skew 25d3.9%-18.3%17.2%0.4%3.7%
Skew 10d18.3%-5.1%59.1%1.2%24.1%
Call IV 25d25.9%17.4%37.4%26.8%28.8%
Put IV 25d29.8%19.1%36.3%27.2%32.5%
Bid-Ask Spread %73.6725.59102.3650.4898.16
Gamma HHI0.580.490.750.730.49
Net GEX99.8K-2.9K276.5K260.1K-2.9K
Net DEX99.0K-2.5M1.3M-2.5M1.3M
Net VEX-16.8K-20.5K-13.2K-20.5K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.002.500.510.26
Total Volume763.972,550674136
Total OI9,955.59,32210,53510,0189,379

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$14.87$12.5027.4%7.9%28.2%16.2%27.5%0.4%-5.9%260.1K-2.5M-20.5K0.5150.48N/AN/A4462286,5873,431
2015-11-03$14.88$12.5023.4%6.7%27.4%12.2%23.5%-2.8%-1.7%265.2K-2.4M-20.3K0.5558.92N/AN/A4132286,5873,431
2015-11-04$14.38$12.5022.6%6.5%29.1%11.4%22.7%8.0%-4.8%276.5K-1.7M-19.2K0.5586.15N/AN/A4132286,6203,431
2015-11-05$14.41$15.0025.5%6.5%28.2%14.3%22.6%-0.3%-0.2%214.6K-1.2M-19.4K0.3647.97N/AN/A4141486,6203,431
2015-11-06$13.95$15.0024.2%5.8%30.2%12.9%21.6%8.5%3.2%166.3K-288.1K-18.8K0.0530.24N/AN/A4326,6233,453
2015-11-09$13.47$15.0050.7%8.2%32.1%39.4%18.3%-18.3%-11.8%77.9K267.3K-17.5K0.2482.13N/AN/A210506,6643,455
2015-11-10$13.62$15.0027.9%7.5%32.6%16.7%31.0%8.2%12.0%93.4K235.0K-17.9K0.2625.59N/AN/A5211336,8743,480
2015-11-11$13.62$15.0028.0%8.0%32.6%16.8%27.1%7.6%5.4%94.4K248.1K-17.3K0.2651.80N/AN/A5211336,8753,490
2015-11-12$13.58$15.0028.2%8.1%32.5%17.0%32.3%-1.8%9.2%108.3K-14.6K-18.6K0.2371.23N/AN/A5701336,8753,490
2015-11-13$13.32$15.0032.2%9.2%32.7%21.0%32.9%13.1%12.2%88.8K261.8K-18.0K0.4592.19N/AN/A5702596,9073,490
2015-11-16$13.27$15.0027.6%7.9%32.1%16.4%0.0%7.2%8.2%52.0K909.7K-15.6K0.00102.36N/AN/A0106,9073,580
2015-11-17$13.16$15.0031.0%8.9%30.7%19.7%32.1%-2.3%0.3%72.6K639.9K-15.7K0.5057.69N/AN/A5392706,9073,585
2015-11-18$13.33$15.0032.7%9.4%31.5%21.5%32.9%3.6%1.7%70.2K664.7K-16.5K0.1290.83N/AN/A2,2802706,9203,615
2015-11-19$13.44$15.0031.0%8.9%31.6%19.8%18.7%8.8%-1.2%30.1K1.1M-14.4K0.0685.37N/AN/A2,3801545,8263,615
2015-11-20$13.61$15.0029.1%8.3%32.0%17.9%16.8%17.2%7.2%47.6K529.3K-15.4K0.0688.15N/AN/A2,3801545,9533,618
2015-11-23$13.41$15.0032.5%9.3%32.1%21.3%20.5%-2.1%-14.4%43.7K474.1K-15.7K0.0093.29N/AN/A8305,7263,596
2015-11-24$13.36$15.0026.6%7.6%31.7%15.3%0.0%5.8%4.7%10.7K1.2M-14.0K2.5087.83N/AN/A255,7493,596
2015-11-25$13.30$15.0028.2%8.1%29.3%17.0%25.6%7.4%-3.1%14.7K1.2M-13.8K0.4987.97N/AN/A3221575,7493,598
2015-11-27$13.44$15.0027.8%8.0%25.2%16.6%25.1%6.3%6.5%11.4K1.1M-13.3K0.5085.00N/AN/A3161575,7493,628
2015-11-30$13.07$15.0032.3%9.3%26.5%21.1%33.8%3.7%-4.5%-2.9K1.3M-13.2K0.2698.16N/AN/A108285,7513,628