CBL Options History — August 2017

In August 2017, CBL traded between $8.00 and $8.98. ATM implied volatility averaged 43.6%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 2.2% (HV 20d: 45.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 5.11.

Notable Days

  • 2017-08-04: Highest Volume — 6,562 contracts
  • 2017-08-07: Largest IV drop — 33.7% change
  • 2017-08-03: Highest IV Rank — 61.2%
  • 2017-08-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.38$8.00$8.98$8.92$8.02
Max Pain$9.78$7.50$10.00$7.50$10.00
ATM IV43.6%31.1%53.0%41.7%40.1%
Expected Move12.6%11.1%14.7%12.0%11.5%
HV 20d45.8%34.3%50.6%42.5%35.2%
HV 60d40.1%38.9%41.6%38.9%39.7%
IV Rank43.2%19.2%61.2%39.6%36.5%
IV Percentile73.8%20.2%97.6%72.2%56.7%
Term Structure1.5%-6.4%8.4%-6.4%5.8%
VWIV43.6%37.8%53.0%53.0%40.4%
Skew 25d6.5%-3.8%14.8%7.4%1.8%
Skew 10d33.0%2.7%84.7%17.5%60.5%
Call IV 25d38.1%28.8%47.1%42.3%38.9%
Put IV 25d44.5%40.0%49.6%49.6%40.6%
Bid-Ask Spread %14.024.9446.278.9910.56
Gamma HHI0.690.480.940.540.88
Net GEX-134.4K-327.4K97.9K97.9K-327.4K
Net DEX11.4M1.9M15.8M1.9M15.3M
Net VEX-65.8K-85.5K-55.1K-68.1K-55.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.110.5816.069.810.73
Total Volume2,559.5225996,5625,914599
Total OI64,222.95753,41071,61653,41071,616

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$8.92$7.5041.7%12.0%42.5%39.6%53.0%7.4%-6.4%97.9K1.9M-68.1K9.818.99N/AN/A5475,36726,31727,093
2017-08-02$8.44$7.5051.2%14.7%45.3%57.7%52.1%1.9%7.5%7.8K5.4M-60.2K1.9123.30N/AN/A39174626,35327,143
2017-08-03$8.38$10.0053.0%13.8%44.6%61.2%46.5%1.8%-3.8%-20.7K6.3M-57.4K1.4220.71N/AN/A42460226,38227,408
2017-08-04$8.75$10.0046.9%13.8%46.8%49.6%44.3%-1.5%-2.8%55.9K3.8M-64.1K5.2223.06N/AN/A1,0555,50726,35827,670
2017-08-07$8.98$10.0031.1%11.6%47.4%19.2%42.4%4.8%0.1%63.8K4.8M-75.3K11.9313.98N/AN/A3994,75926,77832,283
2017-08-08$8.98$10.0038.1%11.1%47.4%32.7%39.1%5.8%1.9%2.7K7.5M-84.2K13.6612.31N/AN/A3604,91826,85837,152
2017-08-09$8.87$10.0044.2%12.7%47.8%44.3%44.5%1.7%-3.8%-17.1K8.2M-85.5K13.7613.78N/AN/A3434,71826,89637,341
2017-08-10$8.57$10.0044.9%12.9%49.0%45.7%38.4%-1.2%0.7%-85.6K11.0M-77.8K13.6418.80N/AN/A3554,84126,90137,356
2017-08-11$8.37$10.0046.7%13.4%48.4%49.1%46.0%-1.4%-0.3%-125.9K12.0M-72.0K0.5814.59N/AN/A99858326,87437,460
2017-08-14$8.58$10.0044.3%12.7%49.4%44.6%43.1%-3.8%0.6%-93.5K10.9M-73.3K0.918.03N/AN/A42038227,30937,616
2017-08-15$8.31$10.0044.7%12.8%50.6%45.4%37.8%11.6%1.0%-146.6K13.0M-68.0K0.699.58N/AN/A81356427,59537,647
2017-08-16$8.30$10.0044.4%12.7%50.4%44.7%43.2%14.8%2.4%-158.8K13.3M-65.8K1.829.94N/AN/A35464627,92637,810
2017-08-17$8.19$10.0044.9%12.9%50.1%45.7%43.1%13.8%0.2%-181.6K13.9M-63.6K1.6613.93N/AN/A38664028,04837,989
2017-08-18$8.02$10.0044.4%12.7%50.3%44.8%44.4%12.2%-0.5%-210.0K14.7M-60.8K1.468.02N/AN/A46467928,04638,314
2017-08-21$8.11$10.0046.7%13.4%50.6%49.2%46.8%13.1%-0.1%-199.6K14.5M-61.3K1.6013.66N/AN/A32752327,18537,970
2017-08-22$8.00$10.0043.2%12.4%50.4%42.4%43.2%12.3%1.9%-249.0K15.5M-59.2K2.5112.80N/AN/A33684527,22738,295
2017-08-23$8.17$10.0040.9%11.7%50.2%38.0%40.8%7.3%5.8%-243.3K14.7M-60.4K2.2316.19N/AN/A35579227,23738,491
2017-08-24$8.10$10.0043.8%12.6%45.3%43.7%43.9%8.9%0.9%-258.5K14.7M-60.8K16.0646.27N/AN/A3315,31627,29438,674
2017-08-25$8.32$10.0041.6%11.9%38.8%39.4%42.3%12.5%5.6%-206.4K14.1M-62.9K13.195.50N/AN/A3394,47227,31243,469
2017-08-28$8.14$10.0041.9%12.0%39.3%39.9%42.2%6.5%3.6%-287.2K15.8M-61.4K1.274.94N/AN/A34043227,34943,637
2017-08-29$8.11$10.0041.6%11.9%38.9%39.4%41.7%5.3%5.6%-279.0K15.4M-57.2K0.615.47N/AN/A51331127,41143,677
2017-08-30$8.21$10.0042.8%12.3%34.3%41.6%44.3%13.6%8.4%-228.2K14.7M-58.1K0.858.15N/AN/A41935827,59743,764
2017-08-31$8.02$10.0040.1%11.5%35.2%36.5%40.4%1.8%5.8%-327.4K15.3M-55.1K0.7310.56N/AN/A34725227,70343,913