CBL Options History — December 2016

In December 2016, CBL traded between $11.19 and $12.28. ATM implied volatility averaged 36.4%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 2.2% (HV 20d: 34.2%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.45.

Notable Days

  • 2016-12-21: Highest Volume — 3,780 contracts
  • 2016-12-05: Largest IV spike — 39.8% change
  • 2016-12-13: Highest IV Rank — 54.3%
  • 2016-12-15: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.66$11.19$12.28$11.31$11.54
Max Pain$12.14$10.00$12.50$12.50$12.50
ATM IV36.4%27.3%51.3%41.3%28.5%
Expected Move9.5%7.8%12.0%11.8%8.2%
HV 20d34.2%30.7%37.5%34.3%34.8%
HV 60d31.2%29.8%33.6%33.6%32.5%
IV Rank27.6%11.7%54.3%34.5%13.7%
IV Percentile56.1%13.9%97.2%84.9%14.7%
Term Structure3.5%-5.4%14.2%-5.4%2.3%
VWIV40.4%30.1%48.0%41.6%48.0%
Skew 25d10.6%-0.9%22.0%-0.8%16.2%
Skew 10d21.2%-4.2%69.4%-4.2%24.0%
Call IV 25d33.1%22.2%43.8%40.1%33.6%
Put IV 25d43.7%37.1%51.0%39.3%49.9%
Bid-Ask Spread %74.9520.51102.39102.3983.70
Gamma HHI0.540.410.740.480.50
Net GEX57.3K-25.6K177.1K36.3K54.9K
Net DEX-160.1K-1.4M1.5M677.3K-1.0M
Net VEX-12.3K-16.0K-9.5K-11.8K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.113.150.441.22
Total Volume1,329.4763073,780932803
Total OI11,176.9056,89913,44511,97910,156

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$11.31$12.5041.3%11.8%34.3%34.5%41.6%-0.8%-5.4%36.3K677.3K-11.8K0.44102.39N/AN/A6472856,4065,573
2016-12-02$11.38$12.5031.4%9.0%33.5%17.9%35.0%7.9%4.9%42.4K733.5K-10.4K0.52101.41N/AN/A6343306,3835,763
2016-12-05$11.57$10.0044.0%9.4%32.8%41.3%39.2%4.9%1.1%64.6K308.0K-10.7K0.8386.35N/AN/A3643016,3935,800
2016-12-06$11.84$10.0047.3%10.3%32.9%47.3%42.1%7.2%-0.1%84.6K-728.7K-11.9K1.5486.60N/AN/A3565506,4035,800
2016-12-07$12.28$10.0036.1%9.4%34.6%27.3%37.0%12.0%1.5%177.1K-1.4M-11.5K1.1683.27N/AN/A5636556,3806,029
2016-12-08$12.17$12.5039.1%10.0%35.0%32.6%38.6%11.8%1.2%146.9K-871.3K-11.2K1.3096.54N/AN/A5116656,3336,282
2016-12-09$12.14$12.5037.2%9.3%34.9%29.2%44.2%15.0%3.5%160.2K-541.1K-10.9K1.3886.45N/AN/A4836656,3446,282
2016-12-12$12.04$12.5044.0%9.4%34.4%41.4%46.0%16.3%3.0%174.7K-590.8K-10.4K1.8788.39N/AN/A4708796,3466,282
2016-12-13$11.74$12.5051.3%9.1%30.7%54.3%48.0%12.2%-0.4%79.2K702.7K-9.5K1.87101.97N/AN/A4518426,3596,418
2016-12-14$11.30$12.5033.4%9.6%32.9%22.5%43.0%11.4%3.6%-24.5K1.5M-11.0K1.7598.71N/AN/A3916856,4896,642
2016-12-15$11.22$12.5041.7%12.0%31.9%37.2%41.9%9.7%5.8%-25.6K1.5M-11.1K3.0097.49N/AN/A3129356,5296,692
2016-12-16$11.60$12.5027.3%7.8%34.3%11.7%42.5%21.3%13.4%-18.4K1.3M-10.2K1.9062.65N/AN/A3727076,5346,911
2016-12-19$11.80$12.5029.6%8.5%34.6%15.8%37.0%9.5%3.8%-9.5K-63.6K-9.7K1.6291.54N/AN/A3916342,2434,656
2016-12-20$11.90$12.5030.0%8.6%34.6%16.4%35.3%2.7%0.8%-5.0K-145.9K-9.9K0.1162.49N/AN/A3,3883732,3084,652
2016-12-21$11.75$12.5029.0%8.3%33.9%14.7%32.6%9.5%1.7%59.2K-1.1M-15.8K0.1184.98N/AN/A3,4023785,0234,732
2016-12-22$11.51$12.5033.5%9.6%34.4%22.7%38.0%1.0%-4.3%43.9K-782.2K-15.4K0.1146.62N/AN/A3,3963745,0274,763
2016-12-23$11.58$12.5029.4%8.4%34.5%15.5%30.1%22.0%12.3%43.6K-746.2K-14.8K1.3839.67N/AN/A1381915,0364,769
2016-12-27$11.68$12.5029.3%8.4%34.6%15.1%42.8%13.2%1.3%53.4K-1.0M-14.9K2.2720.51N/AN/A942135,0364,849
2016-12-28$11.19$12.5040.1%11.5%37.5%34.3%43.1%-0.9%9.8%34.1K-517.9K-15.7K3.1531.39N/AN/A1314125,0684,898
2016-12-29$11.25$12.5040.3%11.6%37.5%34.8%43.1%21.0%14.2%31.8K-518.8K-15.3K2.8920.81N/AN/A1414075,0585,068
2016-12-30$11.54$12.5028.5%8.2%34.8%13.7%48.0%16.2%2.3%54.9K-1.0M-16.0K1.2283.70N/AN/A3624415,0785,078