CBL Options History — August 2016

In August 2016, CBL traded between $11.78 and $14.24. ATM implied volatility averaged 29.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 17.3% (HV 20d: 46.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 3.51.

Notable Days

  • 2016-08-31: Highest Volume — 1,744 contracts
  • 2016-08-05: Largest IV spike — 52.8% change
  • 2016-08-05: Highest IV Rank — 29.9%
  • 2016-08-02: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.78$11.78$14.24$12.16$14.24
Max Pain$10.33$10.00$12.50$12.50$10.00
ATM IV29.0%22.7%34.7%31.6%24.4%
Expected Move8.3%7.0%9.6%9.1%7.0%
HV 20d46.3%28.8%50.9%48.9%32.2%
HV 60d43.9%40.2%47.2%47.0%40.2%
IV Rank18.8%9.6%29.9%25.1%9.7%
IV Percentile34.9%7.1%64.7%49.6%8.7%
Term Structure0.9%-8.2%10.9%-0.7%-1.1%
VWIV31.9%26.3%49.1%31.5%28.0%
Skew 25d19.9%-5.2%56.7%-5.2%1.9%
Skew 10d38.4%-12.2%121.9%-12.2%-2.8%
Call IV 25d27.3%22.1%36.7%36.7%27.2%
Put IV 25d47.2%27.9%84.5%31.5%29.1%
Bid-Ask Spread %38.4615.8482.3282.3226.44
Gamma HHI0.720.530.870.560.63
Net GEX87.0K47.6K111.5K54.1K80.1K
Net DEX-3.7M-5.5M-2.3M-2.9M-5.5M
Net VEX-11.6K-13.5K-9.8K-13.0K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.0010.540.747.68
Total Volume725.652371,7449251,744
Total OI10,696.95710,06811,37210,06811,372

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$12.16$12.5031.6%9.1%48.9%25.1%31.5%-5.2%-0.7%54.1K-2.9M-13.0K0.7482.32N/AN/A5313944,8205,248
2016-08-02$12.09$12.5033.4%9.6%49.1%27.8%34.5%5.6%-3.5%65.8K-2.8M-13.5K0.8341.30N/AN/A4673874,9295,288
2016-08-03$11.78$12.5026.5%7.6%50.7%17.3%26.3%11.9%1.4%47.6K-2.3M-13.0K0.4367.76N/AN/A5852514,9255,285
2016-08-04$12.01$10.0022.7%8.6%50.9%11.5%30.3%10.6%0.9%59.2K-2.7M-13.1K1.1243.87N/AN/A2672984,9155,291
2016-08-05$12.22$10.0034.7%8.8%50.6%29.9%37.2%15.0%0.3%66.8K-2.9M-12.5K1.4078.72N/AN/A2293204,9275,361
2016-08-08$12.14$10.0029.9%8.4%48.5%22.5%34.2%13.6%2.3%60.0K-2.9M-11.9K1.4460.70N/AN/A2273274,9275,381
2016-08-09$12.27$10.0029.7%8.6%47.3%22.2%35.2%15.4%1.1%75.7K-3.1M-12.1K1.4146.49N/AN/A2323274,9275,405
2016-08-10$12.57$10.0029.0%8.3%46.5%21.0%33.3%14.7%2.6%85.9K-3.5M-12.0K2.1526.59N/AN/A3106664,9305,405
2016-08-11$12.46$10.0029.5%8.5%46.7%21.8%29.5%14.0%0.5%94.5K-3.4M-11.2K5.2218.17N/AN/A1397264,9515,755
2016-08-12$12.55$10.0027.4%7.9%46.3%18.7%27.6%16.4%3.2%92.7K-3.5M-11.8K2.3627.67N/AN/A2756494,9615,827
2016-08-15$13.18$10.0030.3%8.7%48.7%20.5%30.2%8.7%0.3%107.4K-4.4M-11.4K2.0540.49N/AN/A3036215,0395,874
2016-08-16$12.90$10.0029.5%8.5%49.8%18.0%29.5%44.0%1.9%100.9K-4.0M-11.5K5.3619.92N/AN/A1045575,0105,855
2016-08-17$12.77$10.0028.5%8.2%50.1%16.4%0.0%51.8%3.1%104.6K-3.8M-11.4K0.0017.07N/AN/A4005,0355,867
2016-08-18$12.81$10.0028.6%8.2%50.1%16.4%28.6%52.4%2.3%107.6K-3.9M-11.3K0.0919.25N/AN/A3435,0355,867
2016-08-19$12.71$10.0028.1%8.1%50.3%15.7%28.1%56.7%2.4%107.1K-3.7M-11.2K6.5036.01N/AN/A1036695,0035,864
2016-08-22$12.79$10.0028.1%8.1%50.3%15.7%28.1%55.6%3.0%109.1K-3.8M-11.0K6.8815.84N/AN/A805504,9765,763
2016-08-23$12.88$10.0029.5%8.4%50.0%17.9%29.5%46.2%1.0%109.3K-3.9M-11.0K5.1016.96N/AN/A964904,9765,764
2016-08-24$12.75$10.0028.5%8.2%49.3%16.4%0.0%6.9%3.7%104.9K-3.7M-11.0K0.1216.95N/AN/A4254,9965,795
2016-08-25$13.14$10.0031.5%9.0%49.9%21.2%31.7%4.0%-0.7%111.5K-4.3M-10.8K10.5423.78N/AN/A961,0125,0035,799
2016-08-26$13.24$10.0024.3%7.0%28.8%9.6%27.4%2.1%10.9%97.5K-4.2M-11.3K9.7048.70N/AN/A1041,0094,9926,220
2016-08-29$14.08$10.0028.7%8.2%34.8%16.7%40.6%8.1%-5.6%74.4K-5.2M-10.6K6.3627.25N/AN/A925854,9916,220
2016-08-30$14.20$10.0031.4%9.0%34.5%21.0%49.1%6.5%-8.2%84.3K-5.5M-9.8K3.2382.23N/AN/A1765685,0186,238
2016-08-31$14.24$10.0024.4%7.0%32.2%9.7%28.0%1.9%-1.1%80.1K-5.5M-10.0K7.6826.44N/AN/A2011,5435,1086,264