CBL Options History — June 2017

In June 2017, CBL traded between $7.73 and $8.85. ATM implied volatility averaged 48.5%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 10.8% (HV 20d: 37.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2017-06-19: Highest Volume — 3,908 contracts
2017-06-28: Largest IV spike — 62.9% change
2017-06-12: Highest IV Rank — 100.0%
2017-06-26: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.27	$7.73	$8.85	$7.92	$8.42
Max Pain	$8.07	$7.50	$10.00	$10.00	$10.00
ATM IV	48.5%	24.8%	73.2%	51.6%	38.4%
Expected Move	13.3%	7.1%	17.1%	14.8%	11.0%
HV 20d	37.7%	34.6%	48.8%	48.8%	36.0%
HV 60d	40.8%	39.7%	42.4%	40.9%	40.4%
IV Rank	55.9%	7.1%	100.0%	71.0%	33.3%
IV Percentile	86.1%	4.0%	100.0%	98.0%	60.7%
Term Structure	-2.5%	-27.3%	14.5%	-6.8%	14.5%
VWIV	48.8%	36.8%	77.6%	47.2%	47.4%
Skew 25d	13.6%	0.4%	25.8%	1.2%	19.8%
Skew 10d	20.4%	0.5%	27.2%	21.1%	26.0%
Call IV 25d	32.0%	24.6%	45.5%	45.5%	27.4%
Put IV 25d	45.6%	41.7%	52.0%	46.6%	47.1%
Bid-Ask Spread %	19.61	6.32	88.53	88.53	11.09
Gamma HHI	0.54	0.47	0.70	0.63	0.48
Net GEX	-55.6K	-179.0K	34.0K	-127.8K	6.5K
Net DEX	5.0M	1.3M	8.4M	7.2M	3.1M
Net VEX	-51.7K	-59.2K	-43.1K	-49.7K	-55.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.15	2.78	1.33	0.61
Total Volume	1,755.364	637	3,908	637	2,772
Total OI	45,474.636	39,871	48,756	46,531	44,651

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-06-01	$7.92	$10.00	51.6%	14.8%	48.8%	71.0%	47.2%	1.2%	-6.8%	-127.8K	7.2M	-49.7K	1.33	88.53	N/A	N/A	273	364	20,851	25,680
2017-06-02	$7.73	$10.00	45.8%	13.1%	37.5%	57.5%	45.8%	0.4%	0.2%	-150.1K	8.4M	-46.5K	1.34	75.22	N/A	N/A	382	512	20,908	25,562
2017-06-05	$7.76	$7.50	43.2%	12.9%	37.6%	51.4%	44.9%	8.7%	-0.9%	-172.7K	8.0M	-47.3K	0.50	11.95	N/A	N/A	837	419	20,976	25,713
2017-06-06	$7.87	$7.50	42.4%	13.1%	38.0%	49.6%	45.7%	11.3%	-0.7%	-146.9K	7.2M	-50.8K	0.42	13.95	N/A	N/A	648	272	21,203	25,813
2017-06-07	$7.95	$7.50	47.0%	13.0%	37.7%	60.3%	45.2%	12.0%	-2.6%	-135.8K	7.0M	-50.0K	0.42	15.34	N/A	N/A	924	391	21,282	25,794
2017-06-08	$7.77	$7.50	41.1%	12.3%	38.3%	46.5%	44.5%	8.6%	-1.3%	-179.0K	8.1M	-43.1K	0.57	14.03	N/A	N/A	697	396	21,567	25,867
2017-06-09	$8.07	$7.50	57.8%	13.1%	40.7%	85.4%	46.0%	13.8%	-2.4%	-118.7K	6.5M	-50.2K	0.93	12.45	N/A	N/A	835	774	21,627	25,948
2017-06-12	$8.49	$7.50	73.2%	14.5%	40.6%	100.0%	51.4%	25.8%	-6.2%	-40.3K	4.1M	-51.8K	0.55	14.50	N/A	N/A	1,421	779	21,901	26,078
2017-06-13	$8.47	$7.50	62.1%	13.3%	40.7%	78.7%	46.7%	20.3%	-2.7%	-29.4K	4.5M	-50.5K	2.78	13.19	N/A	N/A	690	1,918	21,536	26,261
2017-06-14	$8.48	$7.50	48.2%	13.8%	35.5%	52.1%	36.8%	17.9%	-1.9%	-11.9K	4.1M	-52.2K	1.24	13.88	N/A	N/A	987	1,224	21,552	25,730
2017-06-15	$8.51	$7.50	47.9%	13.7%	35.2%	51.5%	48.2%	20.9%	-2.8%	-17.3K	4.4M	-54.0K	0.89	12.18	N/A	N/A	663	589	21,888	26,596
2017-06-16	$8.35	$7.50	52.0%	14.9%	36.4%	59.3%	52.4%	23.5%	-5.9%	-33.0K	5.3M	-53.6K	0.85	36.45	N/A	N/A	624	529	21,952	26,804
2017-06-19	$8.38	$7.50	47.9%	13.7%	35.4%	51.6%	42.7%	17.9%	-2.2%	-32.2K	4.7M	-47.1K	0.15	13.27	N/A	N/A	3,395	513	18,762	21,109
2017-06-20	$8.46	$7.50	52.5%	15.0%	35.0%	60.2%	46.1%	15.9%	-11.9%	-6.8K	3.6M	-54.9K	0.30	12.97	N/A	N/A	1,717	515	21,069	21,358
2017-06-21	$8.21	$7.50	44.3%	12.7%	36.9%	44.6%	44.5%	13.2%	2.2%	-37.0K	5.1M	-50.0K	0.50	11.99	N/A	N/A	824	408	21,141	21,434
2017-06-22	$8.28	$7.50	48.3%	13.8%	36.3%	52.2%	45.8%	12.5%	-4.3%	-29.6K	4.6M	-50.0K	2.13	12.88	N/A	N/A	375	800	21,178	21,585
2017-06-23	$8.41	$7.50	48.1%	13.8%	35.9%	51.9%	52.5%	10.4%	-6.0%	-22.5K	3.9M	-52.2K	0.69	15.45	N/A	N/A	583	401	21,228	21,932
2017-06-26	$8.69	$7.50	59.5%	17.1%	35.6%	73.7%	70.9%	1.6%	-27.3%	7.3K	2.4M	-56.5K	0.32	7.88	N/A	N/A	852	272	21,407	22,034
2017-06-27	$8.85	$7.50	24.8%	7.1%	34.6%	7.1%	77.6%	12.4%	13.0%	34.0K	1.3M	-59.2K	0.30	6.32	N/A	N/A	1,985	597	21,857	22,089
2017-06-28	$8.45	$10.00	40.4%	11.6%	39.1%	37.1%	44.2%	16.7%	8.6%	3.2K	3.0M	-56.9K	0.32	9.55	N/A	N/A	2,135	691	21,304	22,212
2017-06-29	$8.47	$10.00	49.8%	14.3%	37.2%	55.2%	48.0%	14.9%	-8.3%	16.9K	2.9M	-55.6K	0.59	8.37	N/A	N/A	1,661	974	22,525	22,478
2017-06-30	$8.42	$10.00	38.4%	11.0%	36.0%	33.3%	47.4%	19.8%	14.5%	6.5K	3.1M	-55.9K	0.61	11.09	N/A	N/A	1,724	1,048	22,574	22,077