CBL Options History — May 2017

In May 2017, CBL traded between $7.43 and $9.64. ATM implied volatility averaged 44.7%, placing in the 55.1% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 1.3% (HV 20d: 46.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.93.

Notable Days

  • 2017-05-04: Highest Volume — 7,090 contracts
  • 2017-05-05: Largest IV spike — 42.9% change
  • 2017-05-09: Highest IV Rank — 81.8%
  • 2017-05-17: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.11$7.43$9.64$9.64$7.63
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV44.7%35.0%56.2%39.8%44.9%
Expected Move12.6%11.4%14.2%11.4%12.9%
HV 20d46.0%33.1%51.3%33.7%46.8%
HV 60d38.7%32.7%40.6%32.8%40.1%
IV Rank55.1%33.0%81.8%44.0%55.4%
IV Percentile87.8%50.8%99.2%78.2%90.1%
Term Structure-0.0%-7.0%7.9%-2.7%0.3%
VWIV42.5%29.5%49.6%40.2%44.9%
Skew 25d16.9%-11.5%46.7%0.4%46.7%
Skew 10d35.7%-14.4%85.3%1.0%85.3%
Call IV 25d38.8%27.1%59.1%39.2%44.9%
Put IV 25d55.7%39.6%91.6%39.6%91.6%
Bid-Ask Spread %14.765.7643.8015.0113.02
Gamma HHI0.630.560.730.640.70
Net GEX-108.2K-177.2K-51.4K-51.4K-161.7K
Net DEX7.0M1.7M9.3M1.7M9.0M
Net VEX-53.4K-73.0K-44.4K-70.7K-45.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.930.7711.375.420.90
Total Volume1,962.3183987,0903,4171,251
Total OI43,516.81838,39246,74040,82346,132

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$9.64$10.0039.8%11.4%33.7%44.0%40.2%0.4%-2.7%-51.4K1.7M-70.7K5.4215.01N/AN/A5322,88517,34623,477
2017-05-02$9.62$10.0040.9%11.7%33.1%46.5%41.0%0.3%-3.4%-57.9K1.7M-73.0K3.6213.51N/AN/A5652,04517,45724,816
2017-05-03$9.27$10.0042.1%12.1%35.5%49.3%44.0%20.3%-4.7%-72.0K4.6M-67.7K4.7921.98N/AN/A5252,51717,47724,684
2017-05-04$8.44$10.0035.0%12.2%47.4%33.0%29.5%8.2%7.9%-98.7K7.7M-55.7K11.3735.96N/AN/A5736,51717,41824,017
2017-05-05$8.35$10.0050.0%13.0%47.3%67.7%40.3%0.5%-0.3%-71.0K6.3M-52.1K1.1226.66N/AN/A1,9202,15017,20921,183
2017-05-08$8.26$10.0048.5%12.2%47.3%64.1%41.6%-0.1%1.9%-81.7K6.3M-55.0K1.8714.59N/AN/A49191719,12822,481
2017-05-09$8.10$10.0056.2%12.4%47.3%81.8%39.6%14.8%1.2%-96.0K7.3M-53.2K1.3011.19N/AN/A32842819,28322,970
2017-05-10$8.16$10.0043.8%12.6%46.4%52.8%43.7%15.7%1.0%-88.1K6.8M-53.0K1.6014.23N/AN/A30348519,25822,803
2017-05-11$8.24$10.0043.4%12.4%46.7%51.8%41.3%15.6%2.3%-83.1K6.2M-54.8K1.6713.39N/AN/A1,0581,77019,36422,607
2017-05-12$7.85$10.0042.3%12.1%48.9%49.3%35.0%27.2%1.1%-111.2K7.6M-49.0K2.099.48N/AN/A24451020,08822,506
2017-05-15$7.85$10.0044.2%12.7%48.4%53.8%41.9%11.8%-0.0%-114.0K8.1M-48.8K1.158.83N/AN/A18521320,15122,861
2017-05-16$7.47$10.0047.3%13.5%46.6%60.9%47.1%38.5%-3.9%-141.3K9.2M-44.4K1.4443.80N/AN/A1,4892,14420,23922,889
2017-05-17$7.43$10.0049.7%14.2%46.4%66.6%49.6%6.9%-7.0%-173.6K9.3M-44.5K3.659.95N/AN/A3541,29321,61523,469
2017-05-18$7.48$10.0047.4%13.6%46.7%61.3%47.3%39.7%-2.9%-177.2K8.5M-50.8K8.675.76N/AN/A2081,80321,76123,989
2017-05-19$7.69$10.0044.9%12.9%48.3%55.3%44.8%10.4%1.4%-96.6K7.8M-49.8K1.557.72N/AN/A47273221,88024,860
2017-05-22$7.61$10.0043.6%12.5%48.0%52.5%43.8%-11.5%0.9%-112.8K8.3M-47.1K2.009.27N/AN/A5161,03120,81123,887
2017-05-23$7.74$10.0041.6%11.9%49.0%47.8%41.6%32.6%3.0%-126.4K7.8M-51.9K1.908.19N/AN/A24947420,66024,377
2017-05-24$7.91$10.0043.8%12.6%50.1%52.8%43.8%21.8%0.2%-106.7K6.9M-53.4K3.607.04N/AN/A2891,04120,74124,479
2017-05-25$8.08$10.0042.9%12.3%51.3%50.8%42.8%7.7%7.1%-103.4K6.8M-53.3K0.779.09N/AN/A55242320,65225,076
2017-05-26$7.85$10.0043.4%12.4%50.5%52.0%43.5%24.6%0.9%-122.1K7.5M-54.1K1.3112.73N/AN/A26234420,54725,052
2017-05-30$7.70$10.0048.0%13.8%46.9%62.6%48.0%39.9%-4.6%-133.0K8.2M-46.2K2.6513.26N/AN/A29778620,57425,096
2017-05-31$7.63$10.0044.9%12.9%46.8%55.4%44.9%46.7%0.3%-161.7K9.0M-45.6K0.9013.02N/AN/A65759420,66025,472