CBL Options History — March 2017

In March 2017, CBL traded between $8.94 and $10.29. ATM implied volatility averaged 31.2%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 0.9% (HV 20d: 32.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.90.

Notable Days

  • 2017-03-24: Highest Volume — 7,109 contracts
  • 2017-03-15: Largest IV drop — 36.3% change
  • 2017-03-14: Highest IV Rank — 57.1%
  • 2017-03-01: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.55$8.94$10.29$9.97$9.56
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV31.2%21.1%45.5%35.8%28.1%
Expected Move8.2%6.1%10.3%10.3%8.1%
HV 20d32.1%24.2%38.8%24.2%38.8%
HV 60d34.0%32.7%35.5%33.6%35.1%
IV Rank24.1%0.9%57.1%34.8%17.0%
IV Percentile33.1%0.4%93.3%57.9%14.3%
Term Structure3.4%-2.3%15.6%-1.3%6.4%
VWIV30.1%19.1%35.9%35.9%28.1%
Skew 25d13.3%-9.1%104.4%-0.3%99.9%
Skew 10d21.2%-15.9%132.0%-0.5%125.7%
Call IV 25d31.5%22.7%41.5%36.1%28.4%
Put IV 25d44.7%25.1%129.6%35.8%128.3%
Bid-Ask Spread %22.589.4385.019.8620.58
Gamma HHI0.680.430.880.840.53
Net GEX-100.9K-225.0K60.4K-172.9K60.4K
Net DEX2.1M-1.7M4.0M2.3M-1.7M
Net VEX-12.8K-35.6K-8.1K-11.5K-35.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.900.0723.587.300.31
Total Volume1,444.9573137,1091,336849
Total OI12,500.1746,30820,36913,26720,369

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$9.97$10.0035.8%10.3%24.2%34.8%35.9%-0.3%-1.3%-172.9K2.3M-11.5K7.309.86N/AN/A1611,1756,2197,048
2017-03-02$10.29$10.0035.5%10.2%26.5%34.0%35.8%41.9%-2.3%-167.5K1.4M-11.2K1.2014.34N/AN/A1742096,2867,070
2017-03-03$10.22$10.0034.5%9.9%26.1%31.7%34.6%4.9%0.1%-178.3K1.5M-11.0K1.2211.52N/AN/A1742136,2897,047
2017-03-06$9.97$10.0034.3%9.4%27.0%31.2%32.9%-9.1%0.4%-213.5K2.3M-10.6K2.1812.95N/AN/A1783886,2897,097
2017-03-07$9.81$10.0034.5%9.1%27.4%31.7%31.6%0.5%1.3%-220.3K2.9M-10.3K0.6159.58N/AN/A2131316,2937,255
2017-03-08$9.57$10.0032.3%9.9%28.4%26.7%34.5%-4.2%-2.1%-173.3K3.6M-9.2K1.4517.02N/AN/A2894186,2767,253
2017-03-09$9.29$10.0040.7%8.8%29.5%46.0%32.8%-7.8%1.2%-121.7K4.0M-8.6K2.5721.10N/AN/A3158096,3357,315
2017-03-10$9.28$10.0034.4%7.5%29.4%31.6%31.7%-4.2%0.9%-85.0K3.6M-8.1K1.3119.82N/AN/A1762316,3176,771
2017-03-13$9.40$10.0042.5%7.8%29.1%50.2%30.6%-8.2%1.3%-112.1K3.7M-8.2K2.2719.34N/AN/A1383136,3517,022
2017-03-14$9.42$10.0045.5%7.3%29.2%57.1%30.4%4.5%2.8%-111.3K3.7M-8.6K2.1637.29N/AN/A1382986,3867,125
2017-03-15$9.77$10.0029.0%8.3%33.0%19.0%30.8%1.9%3.9%-225.0K2.9M-9.1K0.3111.84N/AN/A9252886,3867,105
2017-03-16$9.73$10.0030.9%8.9%32.3%23.5%35.7%-2.6%2.0%-199.3K3.2M-10.4K3.3311.58N/AN/A1294307,1177,104
2017-03-17$9.63$10.0032.0%9.2%32.3%26.0%32.9%-1.1%-0.7%-32.1K3.7M-10.0K3.1115.49N/AN/A2226907,1427,183
2017-03-20$9.64$10.0021.1%6.1%32.3%0.9%19.1%104.4%4.4%-30.6K919.3K-10.0K3.7685.01N/AN/A903382,2984,010
2017-03-21$9.44$10.0027.9%8.0%31.3%16.4%31.3%52.6%1.7%-30.3K1.1M-9.7K0.6811.14N/AN/A1861272,3484,014
2017-03-22$8.94$10.0026.6%7.6%35.7%13.4%24.7%15.9%4.3%-29.6K1.4M-9.2K2.4611.49N/AN/A2526192,4214,058
2017-03-23$9.15$10.0022.8%6.5%37.4%4.7%22.3%23.1%13.2%-33.6K1.3M-10.1K1.3774.46N/AN/A5036912,6094,685
2017-03-24$9.47$10.0025.8%7.4%37.7%11.8%26.3%-8.5%3.7%-36.7K1.1M-11.1K3.7512.01N/AN/A1,4975,6122,6315,443
2017-03-27$9.45$10.0029.0%8.3%36.8%19.0%32.4%-3.5%3.4%-56.3K1.5M-20.4K23.5810.85N/AN/A2295,3993,9529,770
2017-03-28$9.10$10.0022.2%6.4%38.5%3.4%20.8%3.8%14.5%-56.2K1.7M-20.2K1.2811.83N/AN/A2793584,0449,807
2017-03-29$9.15$10.0023.6%6.8%38.6%6.6%26.6%5.1%15.6%-55.0K1.7M-20.4K0.4210.89N/AN/A6212624,10310,079
2017-03-30$9.30$10.0028.3%8.1%37.1%17.5%31.5%-3.8%2.7%-39.7K1.2M-21.5K0.079.43N/AN/A6,0804174,53310,249
2017-03-31$9.56$10.0028.1%8.1%38.8%17.0%28.1%99.9%6.4%60.4K-1.7M-35.6K0.3120.58N/AN/A6482019,98910,380