CBL Options History — February 2016

In February 2016, CBL traded between $9.40 and $11.57. ATM implied volatility averaged 41.2%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 5.2% (HV 20d: 46.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 6.12.

Notable Days

  • 2016-02-01: Highest Volume — 3,395 contracts
  • 2016-02-26: Largest IV spike — 87.5% change
  • 2016-02-26: Highest IV Rank — 52.9%
  • 2016-02-26: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.50$9.40$11.57$10.90$11.57
Max Pain$12.13$10.00$12.50$10.00$12.50
ATM IV41.2%24.5%66.0%46.7%24.5%
Expected Move11.7%7.0%18.9%13.4%7.0%
HV 20d46.4%38.8%52.4%40.0%47.8%
HV 60d38.0%33.9%41.2%34.5%41.2%
IV Rank27.0%9.7%52.9%32.7%9.7%
IV Percentile86.1%38.9%97.6%94.4%38.9%
Term Structure1.5%-60.1%126.1%-16.2%-8.1%
VWIV38.2%19.1%63.2%41.9%24.6%
Skew 25d16.0%-16.8%71.0%11.1%9.3%
Skew 10d32.2%-12.4%106.4%23.2%14.2%
Call IV 25d34.6%24.3%45.8%35.9%26.0%
Put IV 25d50.6%29.0%111.4%47.0%35.2%
Bid-Ask Spread %52.9523.01127.3246.1399.46
Gamma HHI0.500.350.790.560.79
Net GEX-8.6K-37.1K4.3K-14.9K-37.1K
Net DEX2.1M1.7M2.4M2.0M2.0M
Net VEX-5.5K-7.8K-3.9K-6.7K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.120.1911.773.190.20
Total Volume2,707.65113,3953,395549
Total OI7,953.357,6208,1847,6208,129

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$10.90$10.0046.7%13.4%40.0%32.7%41.9%11.1%-16.2%-14.9K2.0M-6.7K3.1946.13N/AN/A8112,5844,6972,923
2016-02-02$10.58$10.0040.8%11.7%40.4%26.6%41.5%8.5%15.4%-11.6K1.9M-7.2K9.3333.24N/AN/A2772,5844,7002,923
2016-02-03$10.85$10.0045.3%13.0%39.5%31.3%43.6%18.4%-5.0%-14.5K2.1M-6.6K4.9940.96N/AN/A5222,6074,6992,923
2016-02-04$10.92$12.5045.4%11.0%39.8%31.3%30.2%8.1%4.0%-20.7K1.8M-7.8K4.9965.63N/AN/A5232,6124,8302,953
2016-02-05$10.77$12.5038.1%10.8%38.8%23.8%24.7%18.7%-2.6%-15.9K1.9M-6.6K5.2052.88N/AN/A5272,7404,8312,940
2016-02-08$10.12$12.5038.7%12.5%42.3%24.4%38.0%7.3%-6.0%-7.9K2.3M-4.8K11.4050.87N/AN/A2512,8624,8463,003
2016-02-09$9.77$12.5047.8%12.5%43.4%33.9%48.2%7.1%-6.2%-5.0K2.3M-4.4K11.2635.65N/AN/A2472,7824,8543,066
2016-02-10$9.84$12.5044.5%12.7%43.7%30.4%45.6%7.9%-5.6%-6.0K2.3M-4.3K11.5561.16N/AN/A2412,7834,8563,066
2016-02-11$9.40$12.5044.1%12.7%45.7%30.1%43.7%1.2%-5.6%9242.3M-3.9K9.5944.29N/AN/A2702,5894,8673,068
2016-02-12$9.88$12.5044.9%12.9%50.0%30.8%37.6%71.0%-2.6%-4.1K2.4M-3.9K11.7779.99N/AN/A2352,7674,8633,070
2016-02-16$10.15$12.5039.2%11.2%51.1%24.9%43.5%55.5%-1.5%-3752.4M-4.2K5.9259.12N/AN/A4512,6684,8623,088
2016-02-17$10.11$12.5041.1%11.8%51.0%26.9%43.7%6.9%-3.4%1032.2M-5.0K5.7030.79N/AN/A4682,6685,0713,088
2016-02-18$10.43$12.5040.2%11.5%52.3%26.0%19.1%42.2%-4.8%1.3K2.3M-4.7K5.4841.13N/AN/A4872,6685,0623,088
2016-02-19$10.29$12.5038.7%11.1%52.2%24.4%47.7%7.6%-1.8%1.7K2.2M-5.0K4.9349.73N/AN/A5412,6685,0963,088
2016-02-22$10.59$12.5033.8%9.7%52.4%19.3%33.8%19.3%126.1%4.3K2.3M-4.8K5.4836.41N/AN/A4682,5655,0443,055
2016-02-23$10.67$12.5035.3%10.1%51.8%20.9%35.6%8.6%5.1%-3.4K2.2M-5.3K5.4853.64N/AN/A4682,5655,0443,055
2016-02-24$10.77$12.5034.1%9.8%50.0%19.6%28.2%5.8%3.6%3.5K2.3M-4.8K5.4527.52N/AN/A4712,5655,0443,055
2016-02-25$11.14$12.5035.2%10.1%49.2%20.8%29.3%21.4%6.3%-22.8K1.9M-6.3K0.1923.01N/AN/A467905,0403,055
2016-02-26$11.19$12.5066.0%18.9%46.7%52.9%63.2%-16.8%-60.1%-18.9K1.7M-6.9K0.21127.32N/AN/A421905,0953,030
2016-02-29$11.57$12.5024.5%7.0%47.8%9.7%24.6%9.3%-8.1%-37.1K2.0M-5.8K0.2099.46N/AN/A459905,0993,030