CBL Options History — September 2016

In September 2016, CBL traded between $12.02 and $14.25. ATM implied volatility averaged 35.9%, placing in the 28.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 7.4% (HV 20d: 43.3%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.39.

Notable Days

  • 2016-09-22: Highest Volume — 2,621 contracts
  • 2016-09-12: Largest IV spike — 61.8% change
  • 2016-09-12: Highest IV Rank — 59.6%
  • 2016-09-09: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.91$12.02$14.25$13.62$12.18
Max Pain$13.57$10.00$15.00$10.00$12.50
ATM IV35.9%31.1%55.4%32.0%32.2%
Expected Move9.9%8.4%11.4%9.2%9.2%
HV 20d43.3%36.9%48.1%37.2%39.1%
HV 60d43.1%40.0%44.8%41.5%43.4%
IV Rank28.3%20.5%59.6%22.0%22.3%
IV Percentile64.6%48.4%97.6%53.2%48.4%
Term Structure0.0%-7.8%3.7%-7.8%3.2%
VWIV35.2%29.7%41.7%29.7%32.2%
Skew 25d10.0%-20.5%32.1%-20.5%13.9%
Skew 10d16.3%-10.1%49.8%-10.1%20.7%
Call IV 25d32.7%26.4%46.7%46.7%30.7%
Put IV 25d42.7%26.2%63.0%26.2%44.7%
Bid-Ask Spread %74.0829.1498.4432.1292.65
Gamma HHI0.470.350.720.570.38
Net GEX35.9K13.2K68.9K52.2K30.7K
Net DEX-2.3M-5.3M-227.4K-4.1M-639.5K
Net VEX-15.5K-17.6K-13.3K-14.1K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.390.728.341.350.73
Total Volume1,2887572,6219971,617
Total OI11,386.2388,51714,50112,3629,758

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$13.62$10.0032.0%9.2%37.2%22.0%29.7%-20.5%-7.8%52.2K-4.1M-14.1K1.3532.12N/AN/A4245735,1087,254
2016-09-02$13.68$10.0036.9%10.6%36.9%29.9%41.7%18.1%-4.5%55.9K-4.2M-15.0K3.8229.14N/AN/A1576005,3527,482
2016-09-06$13.99$15.0032.4%9.0%37.1%22.6%34.2%6.4%0.3%60.5K-4.8M-13.7K2.9633.12N/AN/A2076125,4227,478
2016-09-07$14.25$15.0034.2%8.4%37.3%25.4%31.7%6.9%0.5%68.9K-5.3M-13.3K2.9036.47N/AN/A2116125,5417,490
2016-09-08$14.23$15.0031.1%8.4%36.9%20.5%33.6%8.4%0.4%66.7K-5.3M-13.3K2.5879.32N/AN/A2336015,5517,490
2016-09-09$13.34$15.0034.2%11.4%44.4%25.5%38.0%-1.6%-4.6%59.1K-4.1M-14.4K8.3432.81N/AN/A1311,0925,5517,494
2016-09-12$13.37$15.0055.4%10.6%44.4%59.6%36.2%-1.9%-1.2%40.0K-3.6M-15.3K3.3155.05N/AN/A1906285,5347,996
2016-09-13$12.54$15.0049.3%10.6%47.0%49.9%37.0%2.4%-1.3%37.5K-2.1M-15.0K1.6797.25N/AN/A3776285,5138,048
2016-09-14$12.79$15.0037.4%10.7%47.1%30.7%37.4%3.4%-1.0%48.3K-2.6M-15.3K3.2153.37N/AN/A3771,2115,8048,048
2016-09-15$12.78$15.0036.4%10.4%46.9%29.0%36.2%8.3%-0.6%40.3K-2.5M-16.0K3.3494.20N/AN/A3651,2185,8048,679
2016-09-16$12.74$15.0035.4%10.1%46.9%27.4%35.8%7.2%1.3%16.2K-2.5M-15.6K2.1098.44N/AN/A3868125,8048,697
2016-09-19$12.84$15.0036.0%10.3%46.9%28.4%35.3%30.0%0.1%18.4K-1.4M-15.6K1.4291.44N/AN/A4516394,6983,819
2016-09-20$12.47$15.0035.6%10.2%48.0%27.7%35.4%15.8%-0.1%14.5K-674.7K-15.4K1.2092.63N/AN/A5346414,8403,825
2016-09-21$12.34$12.5036.4%10.4%48.0%29.0%36.9%12.3%1.1%20.2K-651.8K-15.2K1.1588.69N/AN/A6046964,9323,825
2016-09-22$12.45$12.5033.7%9.6%48.1%24.6%33.7%12.0%0.8%21.9K-856.0K-16.3K3.6693.53N/AN/A5632,0585,2423,877
2016-09-23$12.69$12.5032.5%9.3%47.3%22.7%35.7%14.7%3.3%27.6K-1.2M-17.6K2.3493.10N/AN/A5861,3735,2664,142
2016-09-26$12.47$12.5033.8%9.7%47.5%24.9%38.9%29.5%2.1%24.8K-743.6K-16.7K1.1791.36N/AN/A5796755,2664,143
2016-09-27$12.17$12.5033.8%9.7%41.4%24.9%34.6%32.1%3.7%22.2K-227.4K-16.2K1.1592.78N/AN/A6537525,2664,152
2016-09-28$12.12$12.5033.2%9.5%41.0%23.9%33.4%1.2%1.1%14.2K-342.5K-16.9K1.0885.43N/AN/A6607135,1824,275
2016-09-29$12.02$12.5032.5%9.3%40.8%22.8%32.6%11.8%3.4%13.2K-307.1K-16.6K0.7292.81N/AN/A9366735,1884,275
2016-09-30$12.18$12.5032.2%9.2%39.1%22.3%32.2%13.9%3.2%30.7K-639.5K-17.0K0.7392.65N/AN/A9366815,4814,277