CBL Options History — September 2017

In September 2017, CBL traded between $8.15 and $8.82. ATM implied volatility averaged 41.9%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 13.8% (HV 20d: 28.1%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 7.37.

Notable Days

  • 2017-09-11: Highest Volume — 10,158 contracts
  • 2017-09-11: Largest IV spike — 56.7% change
  • 2017-09-25: Highest IV Rank — 82.4%
  • 2017-09-25: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.41$8.15$8.82$8.22$8.38
Max Pain$7.75$7.50$10.00$10.00$10.00
ATM IV41.9%27.0%64.0%35.1%47.4%
Expected Move12.7%7.8%18.3%10.1%13.6%
HV 20d28.1%24.6%32.5%32.5%31.5%
HV 60d37.5%36.0%39.7%39.7%37.0%
IV Rank39.9%11.4%82.4%26.9%50.5%
IV Percentile59.9%4.8%99.6%34.9%87.3%
Term Structure1.2%-33.5%18.0%18.0%-3.4%
VWIV49.3%39.9%85.6%39.9%45.7%
Skew 25d16.3%5.1%23.6%10.7%11.7%
Skew 10d23.2%11.1%37.3%37.3%24.2%
Call IV 25d29.9%23.2%41.5%33.6%32.6%
Put IV 25d46.2%43.1%50.9%44.3%44.3%
Bid-Ask Spread %12.446.6929.457.506.97
Gamma HHI0.750.470.940.940.55
Net GEX-162.6K-281.2K-101.3K-261.5K-152.4K
Net DEX10.9M6.3M15.4M14.2M7.9M
Net VEX-59.0K-69.8K-51.0K-57.3K-68.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.370.2131.950.873.61
Total Volume3,592.749210,158838715
Total OI66,209.251,57081,97171,15454,656

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$8.22$10.0035.1%10.1%32.5%26.9%39.9%10.7%18.0%-261.5K14.2M-57.3K0.877.50N/AN/A44739127,75643,398
2017-09-05$8.15$7.5040.1%13.4%30.7%36.4%46.6%17.4%0.1%-281.2K14.2M-56.9K20.2912.03N/AN/A4368,84827,78943,399
2017-09-06$8.29$7.5034.1%13.4%31.6%24.9%46.6%19.6%-2.8%-173.0K13.2M-56.8K13.9410.79N/AN/A6338,82327,76951,914
2017-09-07$8.18$7.5030.0%13.6%31.7%17.2%47.4%19.1%-2.6%-231.4K14.6M-66.2K19.9316.24N/AN/A4428,80727,63652,111
2017-09-08$8.19$7.5031.2%13.5%29.6%19.4%46.7%18.8%-1.6%-166.9K13.5M-54.6K20.398.65N/AN/A4579,31927,64252,299
2017-09-11$8.24$7.5048.9%13.2%28.6%53.4%46.1%18.1%0.5%-228.1K15.4M-68.4K19.328.78N/AN/A5009,65827,64653,111
2017-09-12$8.28$7.5053.5%14.2%27.1%62.2%48.9%20.4%-4.9%-170.3K13.9M-54.4K31.9513.17N/AN/A2788,88227,88053,673
2017-09-13$8.43$7.5046.6%13.3%25.4%48.9%46.5%19.7%-0.0%-182.5K14.9M-69.8K0.7610.55N/AN/A35627227,90053,947
2017-09-14$8.57$7.5045.6%13.1%26.0%47.0%45.3%21.3%0.2%-123.1K12.7M-58.5K0.6913.07N/AN/A38026227,87854,073
2017-09-15$8.61$7.5047.7%13.7%25.4%51.0%47.1%22.2%-1.9%-133.1K13.1M-58.5K0.3211.01N/AN/A61519827,97753,994
2017-09-18$8.50$7.5040.3%11.5%24.6%36.8%40.7%23.6%14.3%-132.3K7.7M-57.1K0.3213.95N/AN/A88227913,09138,479
2017-09-19$8.24$7.5045.7%13.1%27.1%47.2%45.8%14.2%-0.1%-140.3K8.7M-54.8K3.4110.10N/AN/A4271,45513,61338,441
2017-09-20$8.17$7.5047.1%13.5%26.8%49.9%45.9%14.3%-2.7%-144.8K8.9M-53.1K3.0214.75N/AN/A16750513,60139,328
2017-09-21$8.24$7.5043.4%12.4%26.0%42.8%43.3%12.1%0.4%-146.2K9.3M-54.2K0.5716.20N/AN/A31317913,62139,596
2017-09-22$8.32$7.5045.9%13.1%25.9%47.6%40.1%14.0%-1.0%-148.9K9.2M-51.0K0.8215.79N/AN/A39432513,82539,616
2017-09-25$8.71$7.5064.0%18.3%29.1%82.4%45.7%10.6%-33.5%-122.5K6.8M-57.9K1.3012.12N/AN/A75398113,89539,610
2017-09-26$8.80$7.5031.7%9.1%27.8%20.3%67.1%20.9%16.5%-109.0K6.3M-60.9K0.2129.45N/AN/A1,86639114,23539,324
2017-09-27$8.82$7.5027.0%7.8%27.6%11.4%64.0%5.1%17.2%-102.8K6.4M-60.0K5.136.69N/AN/A16886115,11739,563
2017-09-28$8.78$7.5032.7%9.4%27.6%22.3%85.6%11.3%11.2%-101.3K6.3M-62.3K0.5210.93N/AN/A78340615,15339,628
2017-09-29$8.38$10.0047.4%13.6%31.5%50.5%45.7%11.7%-3.4%-152.4K7.9M-68.1K3.616.97N/AN/A15556014,98739,669