CBL Options History — October 2016

In October 2016, CBL traded between $10.72 and $12.14. ATM implied volatility averaged 35.5%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.9% (HV 20d: 25.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.10.

Notable Days

  • 2016-10-05: Highest Volume — 3,416 contracts
  • 2016-10-27: Largest IV spike — 62.9% change
  • 2016-10-27: Highest IV Rank — 52.4%
  • 2016-10-27: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.76$10.72$12.14$12.01$10.72
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV35.5%27.6%50.9%36.3%42.1%
Expected Move10.5%9.0%14.6%10.4%12.1%
HV 20d25.6%18.4%39.1%39.1%23.9%
HV 60d39.6%33.8%43.3%43.3%34.5%
IV Rank27.5%14.8%52.4%28.9%37.5%
IV Percentile61.1%22.6%96.4%70.6%87.3%
Term Structure-2.2%-10.7%2.5%-4.4%-4.4%
VWIV37.5%31.7%46.1%40.5%42.2%
Skew 25d13.8%-11.4%30.6%-11.4%13.1%
Skew 10d20.1%-18.7%40.8%-18.7%37.5%
Call IV 25d35.8%22.6%50.9%43.3%29.3%
Put IV 25d49.6%32.0%65.3%32.0%42.4%
Bid-Ask Spread %91.3981.9999.3496.1387.57
Gamma HHI0.650.370.740.380.52
Net GEX86.5K27.6K121.0K30.1K42.4K
Net DEX-598.6K-1.4M853.3K-178.3K853.3K
Net VEX-17.2K-20.1K-13.5K-16.1K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.257.531.020.32
Total Volume1,5312863,4161,347286
Total OI11,642.0959,75812,2349,75812,234

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$12.01$12.5036.3%10.4%39.1%28.9%40.5%-11.4%-4.4%30.1K-178.3K-16.1K1.0296.13N/AN/A6666815,4814,277
2016-10-04$11.91$12.5034.6%9.9%37.5%26.2%34.8%30.6%2.5%27.6K-73.1K-16.0K0.2590.44N/AN/A2,6896845,4924,277
2016-10-05$12.00$12.5034.1%9.8%36.7%25.3%34.2%-0.2%1.6%89.9K-1.2M-20.1K0.2693.75N/AN/A2,7186987,5074,279
2016-10-06$11.74$12.5033.8%10.3%36.9%24.9%35.8%8.5%-0.6%81.7K-590.5K-19.1K0.2991.59N/AN/A2,3847017,5174,304
2016-10-07$11.91$12.5027.6%10.1%31.6%14.8%36.6%8.0%-1.1%89.9K-863.3K-19.2K0.2793.97N/AN/A2,4006397,5194,324
2016-10-10$11.98$12.5029.8%10.0%31.7%18.4%36.7%9.5%-0.4%90.0K-1.1M-19.1K1.3692.56N/AN/A4706407,5174,325
2016-10-11$12.02$12.5029.7%10.1%23.0%18.2%37.0%14.6%-0.9%96.0K-1.1M-19.1K1.3691.55N/AN/A4706407,6124,325
2016-10-12$11.94$12.5035.9%10.3%21.6%28.2%38.3%16.4%-1.8%96.8K-938.2K-18.4K1.4497.34N/AN/A4466407,6174,325
2016-10-13$11.81$12.5034.8%10.0%21.7%26.6%37.3%18.4%-2.5%94.7K-525.9K-18.2K1.4986.98N/AN/A4466637,6944,325
2016-10-14$11.72$12.5035.4%10.2%21.7%27.5%38.0%13.8%-2.3%91.9K-393.4K-17.5K1.5386.99N/AN/A4366667,6944,359
2016-10-17$11.70$12.5034.6%9.9%21.3%26.1%37.3%19.0%-0.9%91.9K-370.9K-16.9K1.6084.07N/AN/A4266827,7034,359
2016-10-18$11.73$12.5033.1%9.5%19.3%23.7%34.6%16.4%0.7%94.4K-290.8K-16.9K1.6081.99N/AN/A4276827,7034,401
2016-10-19$12.06$12.5035.7%10.2%22.0%27.9%36.1%18.0%-2.4%109.9K-1.2M-17.8K6.8793.78N/AN/A1087427,6984,401
2016-10-20$12.14$12.5033.5%9.6%21.8%24.3%33.8%17.0%-0.2%108.5K-1.3M-17.9K3.9991.48N/AN/A1927667,7204,401
2016-10-21$12.11$12.5034.0%9.8%20.5%25.2%41.8%23.5%-0.5%120.5K-1.1M-17.8K3.5594.92N/AN/A2077357,8004,422
2016-10-24$12.02$12.5034.2%9.8%19.8%25.4%34.6%23.4%-1.5%121.0K-1.4M-16.8K1.7185.10N/AN/A3716357,1883,847
2016-10-25$11.87$12.5037.0%10.6%18.4%30.1%38.3%14.3%-3.8%111.2K-1.1M-16.6K0.5392.49N/AN/A3711977,1993,868
2016-10-26$11.50$12.5031.3%9.0%21.3%20.8%31.7%8.6%-2.8%90.4K-350.1K-15.2K0.5793.72N/AN/A4562597,1993,930
2016-10-27$11.13$12.5050.9%14.6%23.8%52.4%42.7%-0.5%-9.2%74.1K377.0K-13.5K6.5393.53N/AN/A3872,5267,4843,932
2016-10-28$10.98$12.5046.8%13.4%23.1%45.8%46.1%28.5%-10.7%63.8K313.1K-15.4K7.5399.34N/AN/A2251,6947,5764,649
2016-10-31$10.72$12.5042.1%12.1%23.9%37.5%42.2%13.1%-4.4%42.4K853.3K-13.5K0.3287.57N/AN/A216707,5854,649