CBL Options History — December 2015

In December 2015, CBL traded between $12.15 and $13.33. ATM implied volatility averaged 32.3%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.3% (HV 20d: 34.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-12-16: Highest Volume — 630 contracts
  • 2015-12-03: Largest IV spike — 144.3% change
  • 2015-12-03: Highest IV Rank — 69.2%
  • 2015-12-03: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.57$12.15$13.33$13.33$12.42
Max Pain$12.73$12.50$15.00$15.00$12.50
ATM IV32.3%25.0%80.5%30.3%28.3%
Expected Move9.0%7.2%18.5%8.7%8.1%
HV 20d34.7%26.7%38.5%26.7%33.3%
HV 60d30.9%27.5%32.0%27.5%30.7%
IV Rank19.6%10.2%69.2%19.0%13.6%
IV Percentile76.9%55.2%99.6%80.2%71.8%
Term Structure-1.7%-34.0%7.8%7.6%-0.5%
VWIV31.5%23.0%64.4%35.1%28.3%
Skew 25d11.9%-6.5%91.1%15.2%16.2%
Skew 10d20.7%-11.1%130.7%83.1%25.9%
Call IV 25d32.3%23.9%64.9%23.9%29.4%
Put IV 25d44.2%25.0%128.0%39.1%45.5%
Bid-Ask Spread %82.9123.39143.1094.5081.70
Gamma HHI0.610.500.650.500.65
Net GEX-46.4K-59.0K16.5K16.5K-56.7K
Net DEX1.6M1.0M2.2M1.0M1.2M
Net VEX-10.9K-13.4K-9.9K-13.4K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.323.050.500.56
Total Volume4111563015376
Total OI8,300.0916,1779,6309,4056,199

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$13.33$15.0030.3%8.7%26.7%19.0%0.0%15.2%7.6%16.5K1.0M-13.4K0.5094.50N/AN/A1055,8533,552
2015-12-02$12.72$15.0032.9%9.4%30.3%21.7%35.1%3.4%7.8%-22.6K1.5M-12.3K0.4573.12N/AN/A3471575,8633,552
2015-12-03$12.15$12.5080.5%18.5%31.9%69.2%64.4%23.8%-34.0%-19.7K2.1M-11.6K0.42143.10N/AN/A4011685,8793,567
2015-12-04$12.64$12.5030.1%9.8%36.0%18.9%33.8%4.3%-5.7%-43.1K2.0M-11.3K0.4241.33N/AN/A4011685,9203,585
2015-12-07$12.48$12.5036.1%9.1%34.8%24.8%31.6%3.0%-2.8%-52.4K2.1M-10.9K3.05102.55N/AN/A22675,9103,585
2015-12-08$12.53$12.5035.8%9.6%33.1%24.5%33.3%2.4%-5.0%-56.2K2.1M-10.9K0.53100.15N/AN/A3371795,9303,617
2015-12-09$12.72$12.5030.4%8.7%33.4%19.1%30.3%9.4%-1.7%-56.3K1.8M-11.2K0.4799.27N/AN/A3381595,9263,543
2015-12-10$12.53$12.5031.4%9.0%33.6%20.2%31.4%2.1%-1.6%-48.0K1.9M-10.8K0.4999.15N/AN/A3441705,9233,542
2015-12-11$12.36$12.5033.7%9.7%33.8%22.4%33.6%5.5%-2.5%-49.8K2.0M-10.7K0.45107.75N/AN/A3441565,9313,562
2015-12-14$12.30$12.5034.4%9.9%33.4%23.1%34.4%91.1%-5.0%-48.1K2.2M-10.4K0.46113.81N/AN/A3441595,9313,569
2015-12-15$12.56$12.5033.1%9.5%34.5%21.9%33.2%4.3%-2.9%-59.0K1.9M-10.5K0.48118.78N/AN/A3461675,9513,548
2015-12-16$12.86$12.5033.6%9.6%35.7%22.3%33.5%77.7%-3.0%-49.7K1.6M-11.1K0.36126.11N/AN/A4631675,9513,572
2015-12-17$12.86$12.5030.5%8.7%35.3%19.2%30.2%2.5%-2.9%-55.4K1.4M-11.5K0.35102.36N/AN/A4631606,0583,572
2015-12-18$12.45$12.5028.8%8.3%36.7%14.1%28.8%2.4%0.8%-50.0K2.1M-10.6K0.3297.33N/AN/A4741516,0653,550
2015-12-21$12.43$12.5027.1%7.8%36.2%12.3%27.1%2.2%2.5%-49.4K1.5M-10.5K0.7923.39N/AN/A1711353,1912,986
2015-12-22$12.47$12.5027.2%7.8%36.1%12.4%27.2%4.2%1.2%-54.1K1.5M-10.3K0.7764.10N/AN/A1711323,2002,996
2015-12-23$12.78$12.5025.6%7.3%37.4%10.8%25.6%-3.7%3.3%-52.2K1.2M-10.8K0.9758.66N/AN/A1361323,2002,996
2015-12-24$12.71$12.5025.4%7.3%37.4%10.5%23.0%1.0%-0.7%-50.0K1.2M-10.8K0.9440.96N/AN/A1401323,2062,996
2015-12-28$12.32$12.5026.3%7.5%38.5%11.5%26.1%6.1%2.3%-54.9K1.4M-10.1K0.9126.82N/AN/A1491353,2102,996
2015-12-29$12.46$12.5025.0%7.2%37.8%10.2%25.0%-6.5%2.9%-54.2K1.2M-10.2K0.9140.46N/AN/A1481353,2212,999
2015-12-30$12.53$12.5025.1%7.2%37.0%10.2%25.1%-4.9%3.0%-54.5K1.1M-10.2K0.9168.56N/AN/A1481353,2302,969
2015-12-31$12.42$12.5028.3%8.1%33.3%13.6%28.3%16.2%-0.5%-56.7K1.2M-9.9K0.5681.70N/AN/A2411353,2302,969