CBL Options History — May 2016

In May 2016, CBL traded between $9.41 and $12.23. ATM implied volatility averaged 34.2%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 1.5% (HV 20d: 32.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2016-05-25: Highest Volume — 2,026 contracts
  • 2016-05-05: Largest IV spike — 73.9% change
  • 2016-05-25: Highest IV Rank — 47.7%
  • 2016-05-25: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.93$9.41$12.23$11.80$9.65
Max Pain$12.14$10.00$12.50$12.50$10.00
ATM IV34.2%20.7%46.4%24.3%36.1%
Expected Move9.6%6.3%13.3%7.0%10.3%
HV 20d32.7%19.0%47.1%19.0%47.1%
HV 60d34.9%31.8%37.1%37.0%36.9%
IV Rank29.1%8.4%47.7%14.0%31.9%
IV Percentile64.4%8.7%94.4%25.8%75.4%
Term Structure0.3%-8.7%8.8%8.7%0.6%
VWIV34.4%24.1%60.0%28.2%36.4%
Skew 25d15.1%-5.5%92.7%12.2%-3.6%
Skew 10d26.2%-5.8%132.0%11.8%-5.8%
Call IV 25d31.7%21.8%43.7%22.9%38.0%
Put IV 25d46.8%22.9%133.3%35.1%34.4%
Bid-Ask Spread %52.6317.53122.6251.1450.96
Gamma HHI0.750.340.980.960.34
Net GEX64.1K-3.4K152.3K104.9K-3.4K
Net DEX-432.4K-1.6M538.5K-949.3K400.7K
Net VEX-5.2K-6.2K-3.9K-5.6K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.083.882.670.68
Total Volume634.7623152,026319707
Total OI5,474.0484,5547,2204,5837,220

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$11.80$12.5024.3%7.0%19.0%14.0%28.2%12.2%8.7%104.9K-949.3K-5.6K2.6751.14N/AN/A872323,839744
2016-05-03$11.89$12.5021.9%6.3%19.1%10.2%24.6%13.7%8.8%111.0K-986.1K-5.4K2.6419.19N/AN/A872303,830745
2016-05-04$12.23$12.5025.8%7.4%20.9%16.2%25.7%12.2%0.2%131.6K-1.5M-6.2K2.7591.62N/AN/A842313,830740
2016-05-05$11.89$12.5044.8%6.3%23.4%45.4%25.2%-2.6%0.7%123.9K-1.1M-5.6K2.3657.33N/AN/A982313,838740
2016-05-06$12.17$12.5026.6%7.1%24.7%17.4%25.3%71.3%2.6%137.3K-1.2M-5.5K1.6728.01N/AN/A1382313,814740
2016-05-09$12.20$12.5020.7%7.2%24.6%8.4%25.4%2.2%0.4%140.8K-1.5M-5.9K1.4817.53N/AN/A1562313,864740
2016-05-10$12.18$12.5021.5%6.9%24.6%9.6%24.1%3.2%-0.4%152.3K-1.6M-5.7K1.5819.59N/AN/A1462313,844740
2016-05-11$11.59$12.5029.0%8.3%30.5%21.2%25.5%18.3%0.5%116.9K-898.7K-5.0K0.5544.78N/AN/A4922713,864737
2016-05-12$11.33$12.5036.4%10.4%31.3%32.4%40.4%6.8%-4.8%79.4K-739.8K-5.4K3.3442.14N/AN/A2759184,203767
2016-05-13$10.94$12.5034.6%9.9%33.2%29.7%38.7%2.2%4.1%55.9K-338.1K-5.7K3.5980.61N/AN/A2308254,2661,197
2016-05-16$11.04$12.5035.6%10.2%32.9%31.2%42.5%-5.5%3.9%55.4K-379.2K-5.7K2.2154.26N/AN/A2425344,3651,209
2016-05-17$10.86$12.5038.6%11.1%31.9%35.8%31.9%11.3%-2.6%52.5K-342.7K-5.7K2.2142.61N/AN/A2425344,3651,209
2016-05-18$10.25$12.5041.6%11.9%36.8%40.4%36.5%11.9%-8.7%23.2K144.1K-4.5K0.4080.27N/AN/A3521424,3751,209
2016-05-19$10.14$12.5039.4%11.3%36.4%37.0%38.8%6.6%-4.3%11.1K261.6K-4.1K1.2037.22N/AN/A3704434,5751,216
2016-05-20$10.29$12.5039.4%11.3%37.3%37.1%37.5%7.9%-4.6%21.6K236.5K-5.3K1.1850.35N/AN/A3604254,6151,519
2016-05-23$10.29$12.5034.7%9.9%37.3%29.8%33.7%8.2%5.4%14.4K146.5K-4.9K0.0836.33N/AN/A325274,6031,320
2016-05-24$10.26$12.5038.1%10.9%37.0%35.0%37.9%6.8%0.9%17.0K142.8K-4.8K0.1029.35N/AN/A313304,6031,320
2016-05-25$9.41$12.5046.4%13.3%45.3%47.7%60.0%18.6%-3.8%4.1K538.5K-3.9K3.88100.42N/AN/A4151,6114,5991,323
2016-05-26$9.65$10.0043.3%12.4%47.1%43.0%43.3%92.7%-0.9%-1.0K324.4K-4.9K0.5548.94N/AN/A2491374,8202,269
2016-05-27$9.56$10.0039.4%11.3%47.1%37.1%39.6%21.8%-0.6%-2.2K324.0K-4.8K0.54122.62N/AN/A2911574,8312,308
2016-05-31$9.65$10.0036.1%10.3%47.1%31.9%36.4%-3.6%0.6%-3.4K400.7K-4.4K0.6850.96N/AN/A4222854,8762,344