CBL Options History — July 2016

In July 2016, CBL traded between $9.74 and $12.28. ATM implied volatility averaged 37.5%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.4% (HV 20d: 37.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 3.60.

Notable Days

  • 2016-07-27: Highest Volume — 4,894 contracts
  • 2016-07-11: Largest IV spike — 110.5% change
  • 2016-07-11: Highest IV Rank — 74.8%
  • 2016-07-22: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.73$9.74$12.28$9.74$12.28
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV37.5%26.7%64.0%29.1%32.8%
Expected Move10.1%7.7%12.1%8.4%9.4%
HV 20d37.1%29.3%49.9%43.2%49.9%
HV 60d40.7%38.4%47.3%38.5%47.3%
IV Rank34.1%17.6%74.8%21.3%26.9%
IV Percentile67.3%26.6%98.0%40.1%57.1%
Term Structure-1.8%-15.6%12.0%5.5%-2.2%
VWIV34.8%27.6%42.8%29.1%35.8%
Skew 25d17.0%-5.9%79.1%12.9%25.1%
Skew 10d32.3%-3.6%113.6%13.2%38.0%
Call IV 25d30.1%21.3%45.5%32.4%30.5%
Put IV 25d47.1%23.2%115.3%45.3%55.6%
Bid-Ask Spread %52.3315.39121.2148.8050.94
Gamma HHI0.680.390.900.420.66
Net GEX46.7K-28.8K81.0K1.8K75.4K
Net DEX-1.3M-3.2M-11.4K-11.4K-3.2M
Net VEX-9.2K-15.2K-5.4K-5.5K-12.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.600.2230.261.230.90
Total Volume1,424.43824,894915745
Total OI6,276.954,67110,0534,67110,052

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$9.74$10.0029.1%8.4%43.2%21.3%29.1%12.9%5.5%1.8K-11.4K-5.5K1.2348.80N/AN/A4105052,3722,299
2016-07-05$9.74$10.0039.1%10.7%42.6%36.6%37.8%79.1%-1.1%11.3K-112.1K-5.7K0.90121.21N/AN/A3873472,6082,242
2016-07-06$9.74$10.0034.9%10.3%34.4%30.2%37.3%3.8%1.0%12.3K-157.7K-5.6K0.8457.57N/AN/A4143472,6082,232
2016-07-07$9.85$10.0032.2%9.4%34.6%25.9%33.2%7.5%2.1%13.1K-294.0K-5.7K0.8366.65N/AN/A4183472,6082,232
2016-07-08$10.10$10.0030.4%9.7%35.3%23.3%33.9%53.3%0.2%15.1K-565.6K-5.7K0.9444.29N/AN/A4624342,6252,232
2016-07-11$10.62$10.0064.0%10.6%39.6%74.8%37.1%11.9%-1.9%17.6K-974.6K-5.4K0.3334.08N/AN/A1,3044342,5712,312
2016-07-12$10.38$10.0058.5%9.9%36.2%66.3%34.7%6.4%1.2%26.6K-968.5K-7.0K0.2244.86N/AN/A2,0324563,4392,312
2016-07-13$10.77$10.0028.6%8.2%37.9%20.5%27.6%25.3%12.0%56.8K-1.7M-10.0K0.2226.27N/AN/A2,1864845,0392,325
2016-07-14$10.73$10.0037.7%10.8%38.0%34.4%37.3%11.5%-2.5%58.3K-1.7M-10.6K0.2329.75N/AN/A2,0264684,9722,305
2016-07-15$10.98$10.0034.8%10.0%37.3%30.1%30.0%23.9%3.6%68.9K-2.0M-10.7K1.2768.82N/AN/A3694684,9952,306
2016-07-18$11.08$10.0039.6%11.4%37.0%37.3%37.8%19.4%-12.8%71.1K-1.8M-10.5K0.5688.25N/AN/A4792684,7231,207
2016-07-19$11.09$10.0035.4%10.1%37.1%30.8%31.4%12.3%-6.2%71.7K-1.9M-11.4K0.6249.89N/AN/A4312684,8161,301
2016-07-20$11.06$10.0032.7%9.4%37.0%26.8%28.7%15.1%4.4%75.3K-1.7M-10.4K1.1423.83N/AN/A2362684,8141,301
2016-07-21$11.12$10.0036.6%10.5%36.9%32.8%34.2%13.9%-9.3%74.2K-1.9M-10.6K1.0561.51N/AN/A2562684,8271,301
2016-07-22$11.13$10.0042.3%12.1%36.9%41.4%42.0%-5.9%-15.6%77.7K-1.7M-10.3K0.9843.53N/AN/A2172134,8271,301
2016-07-25$11.23$10.0039.5%11.3%35.8%37.1%36.4%15.4%0.7%80.6K-2.0M-10.4K1.2653.02N/AN/A1692134,8161,291
2016-07-26$11.13$10.0026.7%7.7%29.3%17.6%31.1%-3.4%-9.1%81.0K-1.9M-10.5K1.2115.39N/AN/A1762134,8561,286
2016-07-27$10.90$10.0040.1%11.5%31.0%38.2%42.8%5.5%-11.9%74.1K-1.6M-9.6K26.9755.34N/AN/A1754,7194,8471,286
2016-07-28$10.91$10.0034.8%10.0%31.1%29.9%38.6%6.7%5.8%-28.8K-639.0K-15.2K30.2662.63N/AN/A1564,7204,8415,212
2016-07-29$12.28$10.0032.8%9.4%49.9%26.9%35.8%25.1%-2.2%75.4K-3.2M-12.9K0.9050.94N/AN/A3923534,8365,216