CBL Options History — April 2017

In April 2017, CBL traded between $8.98 and $10.01. ATM implied volatility averaged 34.1%, placing in the 30.8% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 1.0% (HV 20d: 35.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.91.

Notable Days

  • 2017-04-19: Highest Volume — 15,317 contracts
  • 2017-04-12: Largest IV spike — 51.4% change
  • 2017-04-28: Highest IV Rank — 48.8%
  • 2017-04-28: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.50$8.98$10.01$9.41$9.24
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV34.1%23.3%41.9%34.3%41.9%
Expected Move10.3%7.5%12.0%9.8%12.0%
HV 20d35.1%27.6%39.2%38.3%31.6%
HV 60d34.6%30.8%36.1%34.9%31.6%
IV Rank30.8%5.9%48.8%31.4%48.8%
IV Percentile49.3%3.2%86.5%48.0%86.5%
Term Structure-0.1%-3.9%8.0%-0.5%-3.6%
VWIV36.2%26.2%41.6%34.7%41.6%
Skew 25d5.2%-7.8%90.6%5.3%-7.8%
Skew 10d8.6%-7.9%119.3%4.7%-7.9%
Call IV 25d35.1%30.5%42.7%35.6%42.7%
Put IV 25d40.2%27.7%127.8%40.9%34.9%
Bid-Ask Spread %24.686.8395.4620.6414.70
Gamma HHI0.560.460.850.520.85
Net GEX44.7K-85.1K132.2K59.0K-85.1K
Net DEX-735.5K-3.3M4.5M-1.3M4.5M
Net VEX-46.6K-73.0K-32.6K-35.0K-69.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.315.730.633.80
Total Volume2,126.68438815,3178332,471
Total OI27,402.47420,64441,68420,74341,684

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-04-03$9.41$10.0034.3%9.8%38.3%31.4%34.7%5.3%-0.5%59.0K-1.3M-35.0K0.6320.64N/AN/A51032310,35110,392
2017-04-04$9.29$10.0028.8%8.3%38.2%18.6%32.4%-5.7%-1.4%57.1K-838.0K-33.9K0.9131.05N/AN/A36032910,32810,402
2017-04-05$8.98$10.0026.3%7.5%39.0%12.8%26.2%0.5%8.0%32.1K196.2K-33.5K0.656.83N/AN/A33622010,34510,431
2017-04-06$9.06$10.0024.4%9.6%37.9%8.4%37.7%9.0%0.4%25.5K-91.3K-32.6K0.318.97N/AN/A67621210,19210,452
2017-04-07$9.09$10.0023.7%9.4%38.0%6.7%32.1%-2.4%1.7%39.1K-348.4K-33.0K0.8422.18N/AN/A24220310,65610,442
2017-04-10$9.17$10.0026.6%9.8%37.8%13.6%32.6%-2.3%-0.6%62.0K-58.8K-32.7K1.8716.26N/AN/A13525310,65610,443
2017-04-11$9.37$10.0023.3%9.6%38.6%5.9%33.8%-5.3%0.3%60.8K-1.1M-33.7K1.4357.75N/AN/A18125810,65610,535
2017-04-12$9.40$10.0035.3%10.1%36.2%33.6%34.6%-1.8%-1.1%64.2K-1.2M-33.6K3.7915.08N/AN/A22685610,70510,552
2017-04-13$9.39$10.0033.7%9.7%36.2%30.0%33.6%-1.5%0.6%59.5K-1.0M-33.9K1.0219.43N/AN/A23023510,69310,847
2017-04-17$9.51$10.0035.3%10.1%36.4%33.7%35.4%90.6%-0.3%79.4K-1.6M-33.5K1.0495.46N/AN/A22523510,69310,847
2017-04-18$9.90$10.0034.4%9.9%39.2%31.6%34.4%2.7%0.8%132.2K-3.0M-33.9K3.0614.78N/AN/A3661,12010,72010,877
2017-04-19$9.91$10.0040.5%11.6%38.3%45.7%40.4%6.6%-3.5%129.6K-3.3M-34.4K1.3150.47N/AN/A6,6348,68310,86910,759
2017-04-20$9.91$10.0039.0%11.2%31.9%42.1%39.0%0.6%-1.6%114.8K-2.5M-66.8K1.1315.02N/AN/A54961817,04918,117
2017-04-21$10.01$10.0039.6%11.3%31.2%43.5%39.6%5.0%-2.0%73.9K-3.1M-66.4K0.5113.27N/AN/A69535517,08218,392
2017-04-24$9.73$10.0041.1%11.8%31.2%47.0%41.1%0.0%1.7%54.9K-1.5M-65.1K5.7334.18N/AN/A7414,24516,68418,326
2017-04-25$9.70$10.0039.3%11.3%31.2%42.9%39.5%0.4%1.1%3.7K82.3K-68.3K4.4910.69N/AN/A8183,67216,95520,849
2017-04-26$9.74$10.0038.0%10.9%27.6%39.8%38.2%5.5%1.3%-46.2K757.8K-72.6K1.879.73N/AN/A6691,24917,08923,288
2017-04-27$9.63$10.0041.6%11.9%28.1%48.2%41.5%-1.0%-3.9%-67.6K1.5M-73.0K1.9612.37N/AN/A43284517,26424,025
2017-04-28$9.24$10.0041.9%12.0%31.6%48.8%41.6%-7.8%-3.6%-85.1K4.5M-69.0K3.8014.70N/AN/A5151,95617,31924,365