CBL Options History — November 2016

In November 2016, CBL traded between $10.36 and $12.04. ATM implied volatility averaged 36.8%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 4.0% (HV 20d: 32.8%). 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 6 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2016-11-16: Highest Volume — 2,681 contracts
2016-11-09: Largest IV drop — 32.7% change
2016-11-02: Highest IV Rank — 44.9%
2016-11-02: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.35	$10.36	$12.04	$10.41	$11.86
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	36.8%	28.6%	47.6%	45.7%	34.9%
Expected Move	10.2%	8.2%	13.6%	13.1%	10.0%
HV 20d	32.8%	25.3%	38.3%	25.3%	30.1%
HV 60d	34.9%	32.6%	36.7%	35.0%	32.6%
IV Rank	26.9%	13.1%	44.9%	41.8%	23.7%
IV Percentile	61.1%	19.4%	94.4%	92.5%	57.5%
Term Structure	-0.3%	-8.9%	11.3%	-8.5%	-0.7%
VWIV	35.1%	28.5%	47.9%	45.3%	34.6%
Skew 25d	6.8%	-8.0%	23.2%	18.8%	-0.8%
Skew 10d	15.8%	-10.4%	98.7%	39.9%	-10.4%
Call IV 25d	33.5%	21.7%	46.3%	34.9%	35.3%
Put IV 25d	40.4%	28.1%	53.6%	53.6%	34.5%
Bid-Ask Spread %	86.57	63.26	102.31	84.99	102.31
Gamma HHI	0.58	0.46	0.68	0.49	0.65
Net GEX	65.7K	15.2K	135.3K	22.8K	101.3K
Net DEX	77.7K	-1.3M	1.4M	1.4M	-405.5K
Net VEX	-12.8K	-15.5K	-11.8K	-12.2K	-12.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.15	1.33	0.89	1.33
Total Volume	889.238	251	2,681	269	1,465
Total OI	11,640.762	10,585	12,516	12,279	11,998

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-11-01	$10.41	$12.50	45.7%	13.1%	25.3%	41.8%	45.3%	18.8%	-8.5%	22.8K	1.4M	-12.2K	0.89	84.99	N/A	N/A	142	127	7,596	4,683
2016-11-02	$10.73	$12.50	47.6%	13.6%	28.2%	44.9%	47.9%	15.9%	-8.9%	37.8K	901.4K	-13.5K	0.17	88.86	N/A	N/A	349	58	7,604	4,761
2016-11-03	$10.54	$12.50	43.9%	10.9%	27.9%	38.8%	38.6%	-0.9%	-0.1%	25.8K	1.2M	-13.0K	0.21	78.77	N/A	N/A	322	67	7,693	4,762
2016-11-04	$10.36	$12.50	45.8%	10.8%	27.2%	42.0%	38.5%	-1.2%	-1.5%	15.2K	1.4M	-12.0K	0.20	77.81	N/A	N/A	343	67	7,681	4,762
2016-11-07	$10.58	$12.50	38.7%	10.9%	28.6%	30.1%	35.8%	3.7%	-1.9%	19.5K	1.3M	-12.0K	0.25	89.37	N/A	N/A	267	67	7,661	4,762
2016-11-08	$10.74	$12.50	47.1%	10.6%	29.4%	44.2%	31.0%	10.5%	0.1%	32.5K	1.1M	-12.3K	0.29	68.37	N/A	N/A	285	83	7,671	4,772
2016-11-09	$10.82	$12.50	31.7%	9.1%	29.8%	18.4%	31.7%	7.0%	11.3%	33.3K	994.6K	-12.6K	0.45	92.83	N/A	N/A	185	83	7,710	4,782
2016-11-10	$11.00	$12.50	35.3%	10.1%	30.6%	24.4%	29.4%	14.2%	7.0%	56.3K	479.3K	-13.8K	0.49	81.41	N/A	N/A	168	83	7,715	4,772
2016-11-11	$11.27	$12.50	33.5%	9.6%	32.1%	21.4%	28.5%	23.2%	9.0%	77.0K	-204.5K	-15.4K	0.42	93.34	N/A	N/A	196	83	7,730	4,772
2016-11-14	$11.87	$12.50	36.7%	10.5%	37.4%	26.7%	37.2%	11.0%	-3.3%	135.3K	-1.3M	-15.5K	0.15	63.26	N/A	N/A	2,198	320	7,744	4,772
2016-11-15	$12.04	$12.50	34.3%	9.8%	37.7%	22.7%	34.5%	5.8%	0.1%	92.1K	-1.0M	-13.2K	0.15	86.51	N/A	N/A	2,211	329	6,050	4,622
2016-11-16	$11.74	$12.50	33.8%	9.7%	37.4%	21.9%	34.2%	-2.4%	-1.7%	74.2K	-426.6K	-12.4K	0.15	91.82	N/A	N/A	2,341	340	6,041	4,631
2016-11-17	$11.73	$12.50	33.9%	9.7%	37.3%	22.0%	34.8%	0.9%	-1.4%	62.9K	-130.7K	-11.8K	0.62	94.94	N/A	N/A	697	433	5,939	4,646
2016-11-18	$11.60	$12.50	28.8%	8.3%	37.5%	13.5%	33.3%	15.1%	-0.1%	57.5K	-146.2K	-13.0K	0.69	89.48	N/A	N/A	638	437	6,129	4,897
2016-11-21	$11.54	$12.50	28.6%	8.2%	37.4%	13.1%	30.1%	19.5%	4.3%	72.3K	-309.3K	-12.6K	1.05	94.05	N/A	N/A	406	426	5,932	4,751
2016-11-22	$11.82	$12.50	32.1%	9.2%	38.3%	19.0%	30.3%	-8.0%	-2.8%	73.7K	-324.7K	-12.3K	0.25	88.95	N/A	N/A	327	83	5,989	4,788
2016-11-23	$11.94	$12.50	36.6%	10.5%	36.6%	26.5%	37.1%	-0.4%	-2.4%	85.9K	-707.2K	-12.3K	0.20	74.49	N/A	N/A	406	83	6,008	4,789
2016-11-25	$11.98	$12.50	33.5%	9.6%	34.2%	21.3%	33.6%	0.2%	-1.4%	101.5K	-734.5K	-12.3K	0.20	95.07	N/A	N/A	405	80	6,089	4,789
2016-11-28	$11.90	$12.50	34.5%	9.9%	33.9%	23.0%	35.1%	-1.6%	-0.8%	99.7K	-575.6K	-11.8K	0.38	86.97	N/A	N/A	409	157	6,089	4,790
2016-11-29	$11.98	$12.50	35.7%	10.2%	32.2%	25.1%	35.9%	13.4%	-2.9%	103.4K	-773.0K	-12.1K	1.12	94.45	N/A	N/A	711	797	6,104	4,980
2016-11-30	$11.86	$12.50	34.9%	10.0%	30.1%	23.7%	34.6%	-0.8%	-0.7%	101.3K	-405.5K	-12.0K	1.33	102.31	N/A	N/A	630	835	6,409	5,589