CBL Options History — April 2016

In April 2016, CBL traded between $11.53 and $12.25. ATM implied volatility averaged 29.4%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 0.2% (HV 20d: 29.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2016-04-14: Highest Volume — 864 contracts
  • 2016-04-29: Largest IV spike — 36.8% change
  • 2016-04-06: Highest IV Rank — 26.6%
  • 2016-04-27: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.84$11.53$12.25$11.75$11.69
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV29.4%22.8%40.8%28.7%31.2%
Expected Move7.8%6.5%9.1%8.2%8.9%
HV 20d29.6%17.7%38.6%38.5%20.0%
HV 60d40.1%36.9%42.4%42.2%36.9%
IV Rank15.1%7.9%26.6%14.0%24.4%
IV Percentile50.7%18.3%87.3%53.2%61.1%
Term Structure-1.2%-6.6%3.1%3.1%-3.9%
VWIV26.9%21.1%33.0%31.7%32.6%
Skew 25d11.4%-4.4%103.3%10.2%2.0%
Skew 10d16.7%-4.5%138.8%6.3%-0.0%
Call IV 25d28.3%23.7%31.5%28.6%31.2%
Put IV 25d39.7%24.9%133.2%38.8%33.2%
Bid-Ask Spread %50.6616.6682.5743.3344.36
Gamma HHI0.940.910.980.920.97
Net GEX106.9K94.6K125.9K102.3K105.3K
Net DEX-1.2M-1.6M-841.8K-1.2M-857.3K
Net VEX-6.6K-7.6K-5.3K-7.6K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.602.430.601.37
Total Volume698376864667396
Total OI4,652.7144,4164,8914,7234,563

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$11.75$12.5028.7%8.2%38.5%14.0%31.7%10.2%3.1%102.3K-1.2M-7.6K0.6043.33N/AN/A4182494,163560
2016-04-04$11.53$12.5030.6%6.6%38.6%16.0%21.1%0.1%1.4%95.5K-1.1M-7.0K0.6068.43N/AN/A4182494,123560
2016-04-05$11.57$12.5031.8%7.7%38.6%17.2%29.5%6.2%-4.7%94.6K-841.8K-6.2K0.8222.00N/AN/A4263494,123560
2016-04-06$11.74$12.5040.8%8.0%38.6%26.6%29.0%8.5%2.6%97.0K-1.2M-7.3K0.8271.40N/AN/A4263494,137660
2016-04-07$11.67$12.5029.1%7.9%38.3%14.4%27.4%-0.1%1.6%95.2K-1.1M-7.0K0.8351.39N/AN/A3983304,137660
2016-04-08$11.72$12.5035.6%9.0%37.2%21.2%30.6%-0.6%-2.2%101.5K-1.1M-7.0K0.8362.47N/AN/A3983304,149665
2016-04-11$11.81$12.5036.5%8.5%34.6%22.1%29.2%-0.6%-0.8%106.3K-1.2M-6.9K0.8334.98N/AN/A3973304,149665
2016-04-12$11.84$12.5036.2%8.3%34.3%21.9%28.8%-0.6%-0.3%107.6K-1.3M-7.0K0.7840.62N/AN/A4233304,146665
2016-04-13$11.89$12.5026.1%7.5%34.4%11.3%26.0%-0.5%0.5%117.5K-1.2M-6.6K1.0164.88N/AN/A4224274,146665
2016-04-14$11.76$12.5024.7%7.1%33.3%9.9%22.4%-3.1%-2.0%98.6K-967.7K-6.6K0.9847.65N/AN/A4374274,126765
2016-04-15$11.85$12.5026.1%7.5%33.0%11.3%24.0%-4.4%-3.1%98.6K-1.1M-6.8K1.0582.57N/AN/A4084274,091765
2016-04-18$12.01$12.5026.4%7.6%26.3%11.6%24.0%100.6%-1.8%109.2K-1.3M-6.2K0.8281.48N/AN/A3953253,773643
2016-04-19$12.25$12.5027.0%7.7%24.3%12.2%26.9%1.1%-0.3%120.6K-1.6M-6.8K0.8049.59N/AN/A4083263,776643
2016-04-20$12.18$12.5027.7%7.9%23.7%12.9%27.9%4.1%-1.7%120.8K-1.6M-6.9K0.7043.04N/AN/A4633263,773644
2016-04-21$11.90$12.5025.4%7.3%24.5%10.6%25.1%3.0%-1.1%111.2K-1.1M-6.4K0.7241.01N/AN/A4543263,800744
2016-04-22$11.83$12.5029.1%8.3%24.5%14.4%27.4%-1.3%-6.6%110.2K-1.1M-6.4K0.7137.15N/AN/A4613263,777744
2016-04-25$11.82$12.5025.0%7.2%23.6%10.1%23.0%2.4%-0.8%103.1K-1.1M-6.1K0.7162.83N/AN/A4613263,787744
2016-04-26$11.89$12.5024.9%7.1%17.7%10.0%22.6%0.1%-3.9%112.1K-1.1M-6.0K2.4316.66N/AN/A1343263,787744
2016-04-27$12.10$12.5031.9%9.1%18.7%17.3%33.0%103.3%-1.9%112.2K-1.3M-6.1K2.4169.11N/AN/A1353263,796744
2016-04-28$11.87$12.5022.8%6.5%19.9%7.9%22.8%8.2%1.0%125.9K-1.2M-6.2K1.5628.90N/AN/A1472293,801744
2016-04-29$11.69$12.5031.2%8.9%20.0%24.4%32.6%2.0%-3.9%105.3K-857.3K-5.3K1.3744.36N/AN/A1672293,819744