CBL Options History — March 2016

In March 2016, CBL traded between $11.35 and $12.67. ATM implied volatility averaged 31.5%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 9.0% (HV 20d: 40.5%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.20.

Notable Days

  • 2016-03-22: Highest Volume — 2,204 contracts
  • 2016-03-04: Largest IV spike — 52.6% change
  • 2016-03-24: Highest IV Rank — 28.3%
  • 2016-03-24: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.06$11.35$12.67$12.07$11.92
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV31.5%25.1%42.4%33.1%25.3%
Expected Move8.8%6.7%12.2%9.5%7.3%
HV 20d40.5%32.3%48.7%48.7%38.9%
HV 60d41.1%39.7%43.0%41.2%42.7%
IV Rank16.9%10.3%28.3%18.5%10.5%
IV Percentile62.6%36.5%90.1%73.8%36.5%
Term Structure8.0%-3.5%118.3%8.2%-0.8%
VWIV30.0%21.4%40.5%37.3%21.4%
Skew 25d5.1%-46.3%89.8%8.0%4.6%
Skew 10d5.4%-85.4%125.8%5.6%3.2%
Call IV 25d35.0%24.4%151.4%29.3%31.3%
Put IV 25d40.1%25.3%125.8%37.3%35.9%
Bid-Ask Spread %77.1014.65135.9380.1040.85
Gamma HHI0.860.690.920.790.92
Net GEX-31.1K-163.7K116.7K-67.0K116.7K
Net DEX-24.0K-1.5M1.8M1.0M-1.5M
Net VEX-7.3K-8.8K-5.1K-7.9K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.030.590.160.59
Total Volume791.7274332,2041,007670
Total OI6,947.0453,2478,6928,1274,666

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$12.07$12.5033.1%9.5%48.7%18.5%37.3%8.0%8.2%-67.0K1.0M-7.9K0.1680.10N/AN/A8681395,0973,030
2016-03-02$12.33$12.5030.7%8.8%47.2%16.1%30.7%-46.3%118.3%-102.9K424.8K-8.6K0.23114.76N/AN/A5951395,4293,019
2016-03-03$12.54$12.5026.2%9.3%46.9%11.4%32.4%6.9%-2.3%-163.7K235.4K-8.8K0.23103.33N/AN/A6121395,4203,019
2016-03-04$12.34$12.5039.9%6.7%47.6%25.7%24.3%2.4%7.5%-50.2K318.6K-8.6K0.22129.10N/AN/A6211395,4163,019
2016-03-07$12.36$12.5032.6%9.4%47.1%18.1%32.6%-0.7%-3.5%-112.2K493.0K-7.9K0.2822.97N/AN/A6291775,3583,019
2016-03-08$12.12$12.5037.8%8.7%40.8%23.5%29.1%2.3%-0.7%-94.1K312.4K-7.9K0.28130.76N/AN/A6291775,3903,019
2016-03-09$12.26$12.5029.4%8.4%37.3%14.7%28.3%-1.6%-1.1%-146.0K674.4K-7.7K0.2847.92N/AN/A6291775,3903,019
2016-03-10$11.92$12.5029.5%8.5%39.9%14.9%27.7%-6.8%-2.9%-66.6K1.2M-6.9K0.2639.10N/AN/A6701765,3903,019
2016-03-11$12.37$12.5026.5%7.6%35.2%11.7%25.0%-0.3%0.7%-147.7K555.2K-7.9K0.2546.40N/AN/A7081765,5353,017
2016-03-14$12.20$12.5028.6%8.2%33.7%13.9%28.4%-1.2%0.1%-133.7K942.5K-7.0K0.2914.65N/AN/A3711065,5053,017
2016-03-15$12.23$12.5025.1%7.2%33.3%10.3%25.2%-0.0%3.5%-145.3K946.3K-6.7K0.3189.90N/AN/A3791165,4823,027
2016-03-16$12.51$12.5029.7%8.5%33.2%15.0%29.5%89.8%0.6%-73.9K-11.2K-7.1K0.16135.93N/AN/A7181165,4823,027
2016-03-17$12.67$12.5030.8%8.8%32.3%16.2%31.0%6.4%-0.9%-151.7K-510.2K-6.7K0.10112.78N/AN/A808825,5333,027
2016-03-18$11.95$12.5036.9%10.6%39.7%22.6%32.6%8.8%-1.4%60.7K1.8M-5.9K0.14110.05N/AN/A8121125,6643,028
2016-03-21$11.58$12.5035.8%10.3%41.2%21.4%33.1%-9.0%5.3%55.1K-701.3K-5.1K0.1185.53N/AN/A601642,784463
2016-03-22$11.80$12.5025.7%7.4%41.5%10.9%24.8%5.4%6.8%55.9K-687.7K-5.1K0.0390.88N/AN/A2,140642,784466
2016-03-23$11.61$12.5027.8%8.0%42.1%13.1%26.6%1.5%14.2%94.0K-1.2M-7.8K0.1081.80N/AN/A607594,194466
2016-03-24$11.55$12.5042.4%12.2%40.7%28.3%40.5%13.4%6.4%90.2K-1.0M-6.6K0.1088.50N/AN/A598604,196468
2016-03-28$11.35$12.5031.7%9.1%41.2%17.1%32.3%9.3%7.4%82.7K-852.3K-6.6K0.0939.09N/AN/A598514,179470
2016-03-29$11.86$12.5039.5%11.3%42.5%25.2%39.5%13.3%11.0%103.5K-1.4M-7.5K0.1363.84N/AN/A382514,179473
2016-03-30$11.84$12.5027.0%7.8%39.6%12.3%27.2%5.8%-1.1%112.9K-1.5M-8.0K0.1328.02N/AN/A402514,190460
2016-03-31$11.92$12.5025.3%7.3%38.9%10.5%21.4%4.6%-0.8%116.7K-1.5M-7.9K0.5940.85N/AN/A4212494,206460