CBL Options History — June 2016

In June 2016, CBL traded between $9.11 and $10.38. ATM implied volatility averaged 37.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 8.3% (HV 20d: 45.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.06.

Notable Days

  • 2016-06-13: Highest Volume — 1,082 contracts
  • 2016-06-27: Largest IV spike — 64.6% change
  • 2016-06-07: Highest IV Rank — 60.7%
  • 2016-06-03: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.72$9.11$10.38$9.65$9.29
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV37.1%26.8%54.8%37.9%33.4%
Expected Move10.5%7.7%13.8%10.9%9.6%
HV 20d45.4%35.0%51.6%46.8%39.5%
HV 60d37.3%35.9%39.3%36.9%37.1%
IV Rank33.5%17.7%60.7%34.7%27.9%
IV Percentile71.0%30.6%97.6%79.8%61.5%
Term Structure0.5%-12.2%11.0%0.5%11.0%
VWIV37.0%24.1%53.9%37.6%37.3%
Skew 25d8.6%-16.0%77.4%-1.4%14.0%
Skew 10d12.6%-13.6%106.7%-2.8%10.3%
Call IV 25d38.3%30.6%54.5%38.9%30.6%
Put IV 25d46.9%34.2%119.8%37.5%44.6%
Bid-Ask Spread %64.8720.44121.4894.1467.29
Gamma HHI0.400.330.640.380.37
Net GEX3.7K-6.0K18.1K-1.4K-123
Net DEX121.3K-521.5K513.7K260.8K410.9K
Net VEX-5.9K-7.1K-4.8K-5.4K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.060.424.040.422.16
Total Volume730.1823571,082976636
Total OI6,859.3644,5088,7867,6064,726

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$9.65$10.0037.9%10.9%46.8%34.7%37.6%-1.4%0.5%-1.4K260.8K-5.4K0.4294.14N/AN/A6852915,0892,517
2016-06-02$9.65$10.0035.5%11.1%44.7%31.0%39.0%17.3%-0.3%6.0K104.2K-5.8K0.4944.35N/AN/A5442695,5382,522
2016-06-03$9.64$10.0042.9%13.8%44.4%42.5%53.9%2.4%-12.2%6.5K158.9K-6.1K1.03121.48N/AN/A2432505,5842,536
2016-06-06$9.46$10.0037.4%8.8%42.7%33.9%36.1%17.0%-1.8%3.8K223.4K-6.1K1.3347.68N/AN/A1532045,5792,537
2016-06-07$10.13$10.0054.8%11.8%51.3%60.7%41.6%17.9%-7.2%16.2K-229.7K-6.5K1.0549.19N/AN/A1932025,5782,657
2016-06-08$10.20$10.0039.8%11.4%51.6%37.7%39.8%6.2%-2.8%15.4K-369.4K-6.6K2.0233.10N/AN/A1793615,5442,684
2016-06-09$10.38$10.0040.8%11.7%50.0%39.2%46.2%8.4%-3.7%18.1K-521.5K-7.1K1.0536.29N/AN/A1861955,5842,839
2016-06-10$10.31$10.0039.8%11.4%49.6%37.6%40.1%5.9%-2.5%10.4K-382.2K-6.8K0.84102.05N/AN/A2331955,5862,860
2016-06-13$9.82$10.0039.5%11.3%50.9%37.2%39.3%-1.3%0.6%7.1K-17.1K-6.5K2.5543.00N/AN/A3057775,6532,860
2016-06-14$9.73$10.0037.2%10.7%50.6%33.7%37.0%-2.6%3.8%-326182.9K-6.4K1.8976.29N/AN/A2905495,7142,985
2016-06-15$9.82$10.0038.7%11.1%50.8%35.9%38.0%-3.7%0.1%-6.0K213.2K-6.4K1.63115.39N/AN/A2904735,6943,092
2016-06-16$9.62$10.0036.0%10.3%47.2%31.8%35.4%-4.4%1.4%-5.3K455.5K-6.1K2.5888.00N/AN/A3027795,6803,090
2016-06-17$9.80$10.0042.2%12.1%47.8%41.3%41.8%77.4%-4.0%7.7K320.0K-5.9K2.4670.45N/AN/A2907125,7422,874
2016-06-20$9.83$10.0032.6%9.3%47.4%26.6%32.2%1.0%1.3%7.3K-65.3K-5.8K3.5558.31N/AN/A2097412,3612,147
2016-06-21$9.79$10.0026.8%7.7%47.4%17.7%24.1%1.0%5.1%2.2K34.5K-5.8K3.2037.53N/AN/A2297322,3612,261
2016-06-22$9.77$10.0030.4%8.7%47.4%23.2%26.8%-0.9%0.9%2.3K103.4K-5.7K2.9767.70N/AN/A2296802,3662,261
2016-06-23$9.77$10.0032.7%9.4%35.5%26.8%32.4%3.1%0.0%-2.5K178.7K-5.5K4.0495.68N/AN/A1696822,3662,361
2016-06-24$9.60$10.0027.9%8.0%35.0%19.4%26.6%39.0%8.4%-1.1K163.0K-5.5K4.04105.93N/AN/A1696822,3902,363
2016-06-27$9.13$10.0046.0%13.2%39.2%47.1%41.6%-16.0%-6.2%-4.3K475.9K-5.1K2.0322.00N/AN/A1723502,3902,363
2016-06-28$9.11$10.0034.3%9.8%39.0%29.1%36.0%2.8%10.4%-1.6K513.7K-4.8K1.6830.83N/AN/A2083502,3902,395
2016-06-29$9.23$10.0029.8%8.6%39.4%22.4%32.2%7.0%8.3%-100454.4K-4.9K2.3620.44N/AN/A2014752,3912,396
2016-06-30$9.29$10.0033.4%9.6%39.5%27.9%37.3%14.0%11.0%-123410.9K-4.9K2.1667.29N/AN/A2014352,3722,354