CBL Options History — February 2017

In February 2017, CBL traded between $10.00 and $10.79. ATM implied volatility averaged 38.4%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 0.6% (HV 20d: 37.8%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 2.68.

Notable Days

  • 2017-02-27: Highest Volume — 2,993 contracts
  • 2017-02-03: Largest IV drop — 24.7% change
  • 2017-02-01: Highest IV Rank — 61.9%
  • 2017-02-01: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.49$10.00$10.79$10.65$10.03
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV38.4%31.1%48.8%48.8%39.1%
Expected Move11.0%9.9%14.0%14.0%11.2%
HV 20d37.8%33.9%41.3%41.3%33.9%
HV 60d34.7%33.4%36.4%36.4%34.9%
IV Rank39.0%22.8%61.9%61.9%42.4%
IV Percentile70.4%30.2%96.8%96.8%75.8%
Term Structure-2.3%-8.4%0.5%-8.4%-3.9%
VWIV37.7%33.0%48.3%48.3%39.3%
Skew 25d20.7%-3.3%67.6%8.1%67.6%
Skew 10d45.3%-4.4%113.1%18.8%113.1%
Call IV 25d32.2%25.4%43.3%40.9%36.6%
Put IV 25d52.9%37.1%104.2%49.0%104.2%
Bid-Ask Spread %25.0010.8379.7514.6611.79
Gamma HHI0.690.580.810.650.79
Net GEX-201.9K-383.6K-98.8K-214.3K-152.0K
Net DEX1.3M223.3K2.1M1.8M2.1M
Net VEX-12.5K-17.6K-9.3K-17.6K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.680.2715.631.326.71
Total Volume858.2633032,9931,0811,387
Total OI16,048.10512,35417,72617,60713,213

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$10.65$10.0048.8%14.0%41.3%61.9%48.3%8.1%-8.4%-214.3K1.8M-17.6K1.3214.66N/AN/A4666155,77911,828
2017-02-02$10.49$10.0041.3%11.3%40.0%45.4%39.8%5.9%-1.4%-262.4K2.1M-16.8K0.9962.52N/AN/A6126035,78111,632
2017-02-03$10.59$10.0031.1%10.9%39.6%22.8%37.9%11.0%-2.0%-291.0K1.5M-15.7K2.4211.50N/AN/A1513655,92811,535
2017-02-06$10.61$10.0036.1%10.7%39.3%34.0%37.2%-3.3%-1.0%-253.7K1.4M-15.3K3.1112.13N/AN/A1103425,98511,721
2017-02-07$10.56$10.0040.2%10.5%37.9%42.9%35.2%11.0%0.0%-262.4K1.5M-14.8K1.7714.96N/AN/A1101955,99011,713
2017-02-08$10.60$10.0037.6%10.8%37.1%37.3%36.9%11.8%-0.5%-271.2K1.5M-14.8K1.5214.53N/AN/A1201835,99011,640
2017-02-09$10.62$10.0038.8%11.1%37.0%39.8%37.9%-2.1%-2.8%-239.7K873.5K-13.7K0.5149.82N/AN/A4612376,00511,583
2017-02-10$10.79$10.0039.2%11.2%37.5%40.8%38.2%1.2%-2.3%-139.3K319.3K-13.0K0.4615.75N/AN/A5102375,89511,608
2017-02-13$10.77$10.0037.8%10.8%37.3%37.6%33.0%12.7%-0.8%-127.3K223.3K-11.7K0.4333.11N/AN/A4922125,93511,608
2017-02-14$10.72$10.0038.8%11.1%37.3%39.9%33.5%13.3%-2.8%-127.1K363.4K-11.4K0.4512.21N/AN/A4592065,96911,602
2017-02-15$10.48$10.0039.7%11.4%37.7%41.8%39.7%43.4%-3.7%-329.9K1.3M-11.9K0.7312.61N/AN/A4713435,96611,609
2017-02-16$10.40$10.0038.1%10.9%36.7%38.2%37.9%43.1%-3.1%-383.6K1.4M-11.1K0.5111.81N/AN/A5532815,97811,641
2017-02-17$10.28$10.0036.8%10.6%36.9%35.4%36.6%50.6%-1.9%-117.9K1.3M-10.5K0.2712.54N/AN/A5041346,00611,720
2017-02-21$10.52$10.0038.1%10.9%37.8%38.4%38.4%25.7%-2.8%-98.8K862.2K-9.8K1.1814.77N/AN/A1531805,8556,499
2017-02-22$10.51$10.0037.0%10.6%37.8%36.0%37.0%11.2%-2.0%-103.7K797.5K-9.5K1.1279.75N/AN/A1812025,8906,547
2017-02-23$10.42$10.0034.6%9.9%37.7%30.6%34.6%8.5%0.5%-131.1K977.8K-9.3K1.5210.83N/AN/A1682555,9036,495
2017-02-24$10.00$10.0037.8%10.8%40.3%37.7%37.8%63.1%-2.4%-152.7K2.0M-9.6K10.3532.43N/AN/A1601,6566,0646,521
2017-02-27$10.20$10.0038.0%10.9%35.3%38.2%38.1%9.8%-2.2%-179.1K1.7M-10.1K15.6347.32N/AN/A1802,8136,1137,167
2017-02-28$10.03$10.0039.1%11.2%33.9%42.4%39.3%67.6%-3.9%-152.0K2.1M-11.5K6.7111.79N/AN/A1801,2076,2216,992