CBL Options History — January 2017

In January 2017, CBL traded between $9.88 and $11.87. ATM implied volatility averaged 39.2%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 6.1% (HV 20d: 33.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 3.90.

Notable Days

  • 2017-01-27: Highest Volume — 14,574 contracts
  • 2017-01-10: Largest IV spike — 68.1% change
  • 2017-01-30: Highest IV Rank — 54.3%
  • 2017-01-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.89$9.88$11.87$11.58$10.87
Max Pain$10.38$10.00$12.50$12.50$10.00
ATM IV39.2%27.2%45.8%33.1%33.5%
Expected Move11.1%8.1%13.0%9.5%9.6%
HV 20d33.1%29.3%40.9%34.8%40.9%
HV 60d33.6%32.2%36.4%32.2%36.4%
IV Rank38.6%11.5%54.3%21.9%28.1%
IV Percentile69.7%11.1%92.1%40.1%42.1%
Term Structure0.7%-5.7%14.5%-4.2%14.5%
VWIV40.1%29.4%45.3%31.7%42.6%
Skew 25d10.3%-8.6%35.3%-8.6%19.5%
Skew 10d25.7%-10.3%85.8%-7.3%23.1%
Call IV 25d34.7%24.1%43.3%38.7%24.1%
Put IV 25d45.0%24.1%67.0%30.1%43.6%
Bid-Ask Spread %35.6211.6886.2319.9624.67
Gamma HHI0.520.450.830.510.72
Net GEX-47.1K-504.2K88.5K59.0K-363.5K
Net DEX542.4K-1.5M5.9M-1.1M2.1M
Net VEX-15.1K-23.0K-12.4K-16.0K-20.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.900.8627.303.4518.25
Total Volume1,915.726414,57457011,589
Total OI12,455.510,47623,48410,51223,484

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$11.58$12.5033.1%9.5%34.8%21.9%31.7%-8.6%-4.2%59.0K-1.1M-16.0K3.4519.96N/AN/A1284425,3395,173
2017-01-04$11.87$12.5028.2%8.1%35.4%13.3%29.4%-8.2%1.2%88.5K-1.5M-15.4K2.5421.06N/AN/A1744425,3025,174
2017-01-05$11.56$10.0034.7%8.7%35.7%24.9%43.1%12.6%-0.0%58.3K-1.1M-16.2K2.0438.30N/AN/A2044175,3115,174
2017-01-06$11.69$10.0036.6%9.5%33.2%28.1%40.7%14.0%-0.7%75.8K-1.3M-15.4K1.1434.15N/AN/A3353815,3735,216
2017-01-09$11.32$12.5027.2%8.4%34.8%11.5%39.2%16.8%3.8%45.4K-846.9K-15.5K1.0963.83N/AN/A3503825,4535,732
2017-01-10$11.03$10.0045.8%12.0%35.7%44.4%44.8%11.2%7.7%12.5K-77.4K-15.3K1.7756.29N/AN/A3506195,4785,757
2017-01-11$11.10$10.0043.2%12.4%35.9%39.9%41.9%3.4%3.4%16.0K-115.0K-15.6K1.6649.41N/AN/A3605995,4785,938
2017-01-12$11.11$10.0037.3%10.7%35.0%36.6%37.7%5.3%10.6%10.6K-73.6K-15.2K0.9653.60N/AN/A3683545,4885,948
2017-01-13$10.98$10.0044.8%12.8%32.6%53.1%41.7%4.5%0.0%7.8K-44.2K-14.8K0.9846.40N/AN/A3563505,4785,948
2017-01-17$10.91$10.0043.0%12.3%32.6%49.0%40.3%9.4%5.5%-317141.6K-14.7K1.0324.61N/AN/A3563685,5285,958
2017-01-18$10.73$10.0043.9%12.6%30.3%51.1%43.2%14.0%-5.7%-21.7K550.3K-13.8K3.3618.90N/AN/A2217435,5285,989
2017-01-19$10.46$10.0041.9%12.0%30.2%46.6%40.9%35.3%-2.1%-60.6K1.1M-13.1K1.1531.89N/AN/A3333845,5736,238
2017-01-20$10.45$10.0041.1%11.8%29.7%45.0%41.1%13.8%-1.7%-50.9K1.1M-13.4K1.3113.63N/AN/A2863755,6736,257
2017-01-23$10.50$10.0041.7%12.0%29.9%46.3%38.7%31.0%-2.0%-45.4K913.8K-13.0K1.6412.57N/AN/A1001645,2235,924
2017-01-24$10.46$10.0040.2%11.5%29.4%42.8%39.1%9.3%-1.3%-53.6K990.2K-12.5K1.8474.04N/AN/A1051935,2255,999
2017-01-25$10.57$10.0041.1%11.8%29.6%44.9%38.4%9.2%-5.1%-48.7K815.5K-12.8K3.9917.47N/AN/A1024075,2306,113
2017-01-26$10.46$10.0039.0%11.2%29.3%40.3%39.4%3.7%-2.2%-70.4K1.1M-12.9K1.6486.23N/AN/A1061745,2306,408
2017-01-27$9.88$10.0043.0%12.3%32.0%49.2%43.0%1.6%-3.7%-97.1K2.2M-12.4K27.3013.72N/AN/A51514,0595,2376,485
2017-01-30$10.21$10.0045.3%13.0%34.7%54.3%45.3%8.2%-4.8%-504.2K5.9M-23.0K0.8611.68N/AN/A6045195,62917,419
2017-01-31$10.87$10.0033.5%9.6%40.9%28.1%42.6%19.5%14.5%-363.5K2.1M-20.1K18.2524.67N/AN/A60210,9875,77417,710