CBL Options History — January 2016

In January 2016, CBL traded between $10.43 and $12.52. ATM implied volatility averaged 41.4%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 9.6% (HV 20d: 31.8%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 2.12.

Notable Days

  • 2016-01-28: Highest Volume — 3,520 contracts
  • 2016-01-13: Largest IV drop — 59.2% change
  • 2016-01-12: Highest IV Rank — 64.3%
  • 2016-01-27: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.31$10.43$12.52$12.12$10.56
Max Pain$11.05$10.00$12.50$12.50$10.00
ATM IV41.4%31.2%77.0%31.2%40.6%
Expected Move10.4%7.5%14.6%8.1%11.7%
HV 20d31.8%28.8%37.4%30.3%37.4%
HV 60d32.3%30.5%33.8%30.5%33.7%
IV Rank27.3%16.6%64.3%16.6%26.4%
IV Percentile90.2%79.0%98.8%79.8%90.9%
Term Structure0.3%-12.2%10.1%-0.2%3.7%
VWIV31.2%25.2%39.7%28.4%39.7%
Skew 25d11.4%-6.4%36.8%3.2%12.6%
Skew 10d19.0%-6.0%98.6%5.7%21.5%
Call IV 25d29.0%22.9%36.9%25.6%34.2%
Put IV 25d40.4%26.0%63.3%28.8%46.8%
Bid-Ask Spread %63.3936.48111.2666.6474.86
Gamma HHI0.670.520.790.680.54
Net GEX-38.9K-58.5K-11.7K-58.5K-13.0K
Net DEX1.9M1.1M2.4M1.5M2.0M
Net VEX-7.6K-10.0K-5.7K-9.4K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.120.216.120.552.76
Total Volume1,661.0532823,5203733,520
Total OI6,780.7896,2647,6176,2647,610

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$12.12$12.5031.2%8.1%30.3%16.6%28.4%3.2%-0.2%-58.5K1.5M-9.4K0.5566.64N/AN/A2411323,2952,969
2016-01-05$12.52$12.5033.8%8.2%29.1%19.3%28.5%6.4%-0.5%-56.4K1.1M-10.0K0.5749.29N/AN/A2481413,2952,971
2016-01-06$12.48$12.5033.0%8.5%28.8%18.5%29.6%5.8%-0.2%-51.8K1.1M-9.9K0.5769.30N/AN/A2481413,3002,971
2016-01-07$12.10$12.5032.3%9.0%30.7%17.8%31.4%2.3%-1.6%-53.1K1.5M-9.1K0.8336.48N/AN/A2482063,3002,971
2016-01-08$11.65$12.5040.8%7.5%32.6%26.6%26.1%2.8%2.9%-54.7K1.9M-8.1K1.2365.56N/AN/A1601973,3053,061
2016-01-11$11.62$12.5053.4%7.7%32.3%39.7%27.6%-3.8%1.5%-55.0K2.0M-7.6K1.4157.18N/AN/A1552183,3173,062
2016-01-12$11.45$12.5077.0%8.7%32.4%64.3%30.9%-6.4%-2.4%-58.2K2.2M-6.8K0.7844.40N/AN/A1581243,3243,049
2016-01-13$11.29$12.5031.4%9.0%32.6%16.9%33.9%9.3%-1.5%-53.4K2.1M-7.0K0.4758.02N/AN/A2191043,3293,053
2016-01-14$11.06$10.0036.8%10.5%31.7%22.4%33.7%7.8%9.1%-41.9K2.1M-6.5K0.6856.94N/AN/A2281563,3903,051
2016-01-15$10.87$10.0036.5%10.5%29.8%22.1%29.7%12.0%10.1%-33.9K2.3M-6.0K0.21111.26N/AN/A6211303,4273,076
2016-01-19$10.72$10.0034.9%10.0%29.7%20.5%25.2%17.0%1.5%-32.6K2.2M-5.9K0.2373.89N/AN/A8641993,7343,023
2016-01-20$10.80$10.0047.0%13.5%28.9%33.0%30.8%36.8%1.6%-25.1K2.4M-5.7K3.3880.60N/AN/A7702,6013,9743,068
2016-01-21$10.92$10.0042.2%12.1%29.6%28.1%30.3%19.4%6.8%-25.2K2.0M-7.6K6.1253.66N/AN/A4212,5774,2322,968
2016-01-22$11.21$10.0048.9%14.0%31.6%35.1%29.1%28.5%-9.9%-32.4K1.9M-7.7K6.1296.12N/AN/A4212,5774,2302,928
2016-01-25$10.93$10.0043.3%12.4%30.3%29.2%32.9%11.1%-12.2%-29.5K1.8M-7.6K6.1142.62N/AN/A4212,5744,2302,928
2016-01-26$11.34$10.0032.3%9.3%34.2%17.7%29.3%22.4%4.3%-34.8K1.9M-7.4K2.7553.47N/AN/A9362,5744,2302,930
2016-01-27$10.86$10.0051.0%14.6%35.6%37.2%36.7%21.7%-12.1%-17.4K1.7M-8.2K2.7569.99N/AN/A9362,5744,6872,930
2016-01-28$10.43$10.0040.9%11.7%36.9%26.7%39.3%7.4%4.8%-11.7K1.8M-7.2K2.7644.03N/AN/A9362,5844,6872,930
2016-01-29$10.56$10.0040.6%11.7%37.4%26.4%39.7%12.6%3.7%-13.0K2.0M-6.7K2.7674.86N/AN/A9362,5844,6872,923