CBL Options History — July 2017

In July 2017, CBL traded between $8.18 and $9.61. ATM implied volatility averaged 40.4%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 4.7% (HV 20d: 35.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.47.

Notable Days

2017-07-28: Highest Volume — 6,401 contracts
2017-07-05: Largest IV spike — 51.1% change
2017-07-05: Highest IV Rank — 59.4%
2017-07-05: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.68	$8.18	$9.61	$8.67	$8.81
Max Pain	$9.75	$7.50	$10.00	$10.00	$7.50
ATM IV	40.4%	31.4%	52.0%	34.4%	31.4%
Expected Move	11.4%	9.0%	14.9%	9.9%	9.0%
HV 20d	35.7%	31.3%	43.5%	37.1%	43.5%
HV 60d	41.1%	38.9%	43.5%	40.8%	38.9%
IV Rank	37.1%	19.7%	59.4%	25.6%	19.7%
IV Percentile	62.4%	21.4%	96.4%	40.1%	21.4%
Term Structure	0.7%	-7.3%	15.4%	10.0%	15.4%
VWIV	41.7%	24.6%	52.5%	32.9%	47.5%
Skew 25d	13.7%	-2.6%	98.7%	4.1%	27.7%
Skew 10d	21.1%	-0.5%	125.9%	6.5%	26.3%
Call IV 25d	35.6%	24.3%	45.9%	27.7%	29.8%
Put IV 25d	49.3%	31.8%	137.4%	31.8%	57.5%
Bid-Ask Spread %	16.75	7.63	41.38	7.63	11.27
Gamma HHI	0.52	0.48	0.69	0.51	0.51
Net GEX	62.7K	-25.3K	255.2K	63.1K	69.7K
Net DEX	2.1M	-5.3M	4.6M	1.8M	3.0M
Net VEX	-53.0K	-69.3K	-46.0K	-55.3K	-66.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.47	0.21	13.13	0.65	13.13
Total Volume	2,167.9	431	6,401	2,793	5,963
Total OI	46,404.9	44,401	53,187	44,404	53,187

Daily Data (20 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
2017-07-03	$8.67	$10.00	34.4%	9.9%	37.1%	25.6%	32.9%	4.1%	10.0%	63.1K	1.8M	-55.3K	0.65	7.63	N/A	N/A	1,695	1,098	22,686	21,718
2017-07-05	$8.37	$10.00	52.0%	14.9%	39.6%	59.4%	52.5%	15.2%	-7.3%	1.4K	3.9M	-51.7K	1.75	41.38	N/A	N/A	711	1,243	22,706	21,695
2017-07-06	$8.18	$10.00	45.4%	12.1%	40.6%	46.6%	42.5%	-2.6%	2.6%	-25.3K	4.6M	-48.0K	2.24	11.68	N/A	N/A	670	1,501	22,731	21,794
2017-07-07	$8.30	$10.00	41.9%	12.8%	39.7%	39.9%	43.0%	15.6%	-0.7%	-8.9K	4.0M	-49.8K	1.47	8.79	N/A	N/A	670	985	22,743	22,037
2017-07-10	$8.26	$10.00	51.3%	13.1%	37.7%	58.1%	43.4%	15.5%	-1.5%	-16.6K	4.2M	-48.9K	0.58	13.67	N/A	N/A	636	372	22,743	22,016
2017-07-11	$8.26	$10.00	50.8%	13.3%	32.8%	57.1%	44.2%	15.6%	-4.1%	-22.7K	4.3M	-46.4K	0.64	9.95	N/A	N/A	752	479	22,747	22,105
2017-07-12	$8.28	$10.00	41.5%	11.9%	32.8%	39.1%	40.3%	11.7%	0.8%	-9.4K	4.1M	-46.0K	0.71	11.86	N/A	N/A	721	510	22,733	22,245
2017-07-13	$8.47	$10.00	45.8%	13.1%	33.9%	47.4%	43.1%	16.3%	-4.0%	18.6K	3.3M	-47.5K	0.79	12.37	N/A	N/A	648	510	22,733	22,291
2017-07-14	$8.73	$10.00	44.5%	12.8%	35.5%	44.9%	39.2%	0.7%	-0.1%	60.0K	1.8M	-51.2K	0.71	35.46	N/A	N/A	1,017	721	22,736	22,306
2017-07-17	$8.70	$10.00	39.0%	11.2%	34.8%	34.3%	41.0%	1.4%	10.1%	58.4K	2.2M	-49.3K	1.12	9.14	N/A	N/A	564	629	22,953	22,361
2017-07-18	$8.70	$10.00	41.6%	11.9%	34.8%	39.4%	24.6%	23.6%	7.1%	64.1K	2.3M	-48.5K	2.76	23.01	N/A	N/A	341	942	23,154	22,788
2017-07-19	$8.78	$10.00	38.1%	10.9%	34.8%	32.6%	43.7%	1.2%	-3.7%	69.2K	1.9M	-50.2K	0.72	23.47	N/A	N/A	687	498	23,144	22,707
2017-07-20	$8.92	$10.00	32.6%	9.3%	33.0%	22.0%	39.4%	2.3%	-0.8%	106.0K	702.3K	-52.9K	1.45	21.76	N/A	N/A	455	659	23,576	22,708
2017-07-21	$8.81	$10.00	36.1%	10.4%	33.4%	28.8%	42.2%	6.3%	-4.3%	87.5K	1.8M	-49.5K	0.21	11.78	N/A	N/A	2,808	602	23,903	23,168
2017-07-24	$8.81	$10.00	36.6%	10.5%	33.1%	29.8%	42.2%	7.0%	-5.2%	115.9K	1.1M	-55.1K	3.51	7.98	N/A	N/A	169	594	25,435	21,793
2017-07-25	$8.90	$10.00	33.6%	9.6%	31.3%	24.0%	40.2%	7.4%	-1.3%	139.6K	398.1K	-54.6K	0.66	9.33	N/A	N/A	260	171	25,440	21,862
2017-07-26	$9.12	$10.00	33.7%	9.7%	31.8%	24.3%	37.0%	98.7%	3.3%	144.6K	-635.9K	-55.2K	0.92	14.40	N/A	N/A	340	314	25,501	21,868
2017-07-27	$9.61	$10.00	40.9%	11.7%	31.4%	37.9%	42.4%	-1.7%	-0.9%	255.2K	-5.3M	-65.4K	5.10	37.62	N/A	N/A	988	5,034	25,582	21,957
2017-07-28	$8.89	$7.50	37.2%	10.7%	43.4%	30.9%	51.9%	8.2%	-2.1%	82.7K	1.8M	-69.3K	10.25	12.41	N/A	N/A	569	5,832	26,181	26,065
2017-07-31	$8.81	$7.50	31.4%	9.0%	43.5%	19.7%	47.5%	27.7%	15.4%	69.7K	3.0M	-66.1K	13.13	11.27	N/A	N/A	422	5,541	26,320	26,867