CBL Options History — October 2017

In October 2017, CBL traded between $7.84 and $8.60. ATM implied volatility averaged 44.2%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 18.0% (HV 20d: 26.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.79.

Notable Days

  • 2017-10-23: Highest Volume — 2,059 contracts
  • 2017-10-04: Largest IV spike — 45.9% change
  • 2017-10-30: Highest IV Rank — 54.4%
  • 2017-10-31: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.38$7.84$8.60$8.40$7.84
Max Pain$9.32$7.50$10.00$10.00$7.50
ATM IV44.2%30.8%49.5%47.7%49.5%
Expected Move13.2%8.8%14.2%13.7%14.2%
HV 20d26.2%17.0%30.4%30.4%17.1%
HV 60d34.0%26.7%36.9%36.9%26.7%
IV Rank44.5%18.7%54.4%51.0%54.4%
IV Percentile71.9%13.5%92.5%88.1%92.1%
Term Structure1.3%-4.9%16.5%1.8%-4.9%
VWIV43.8%31.5%49.6%45.6%49.3%
Skew 25d10.3%-0.7%31.5%16.0%31.5%
Skew 10d28.3%6.3%81.2%38.3%81.2%
Call IV 25d36.8%28.4%46.8%33.2%43.5%
Put IV 25d47.1%40.8%75.0%49.2%75.0%
Bid-Ask Spread %18.635.4942.927.4512.71
Gamma HHI0.560.510.660.540.60
Net GEX-169.5K-268.7K-135.9K-153.1K-268.7K
Net DEX8.5M7.0M11.9M7.9M11.9M
Net VEX-61.3K-68.6K-51.0K-68.6K-51.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.791.377.993.104.79
Total Volume997.1364432,0594671,244
Total OI56,430.04554,74758,45654,76158,456

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$8.40$10.0047.7%13.7%30.4%51.0%45.6%16.0%1.8%-153.1K7.9M-68.6K3.107.45N/AN/A11435314,98839,773
2017-10-03$8.43$10.0030.8%8.8%30.2%18.7%31.5%3.8%14.0%-144.1K7.8M-66.8K3.858.38N/AN/A10841615,01539,772
2017-10-04$8.49$10.0045.0%12.9%29.7%45.9%37.9%23.0%16.5%-150.5K7.8M-67.0K1.857.33N/AN/A22040615,01539,732
2017-10-05$8.56$10.0043.6%12.7%29.3%43.2%41.7%5.4%4.4%-140.5K7.2M-67.4K7.6710.48N/AN/A9572915,15039,732
2017-10-06$8.44$10.0036.2%13.7%29.9%29.1%44.0%3.8%-1.3%-137.9K7.3M-65.2K3.4310.62N/AN/A10034315,16840,027
2017-10-09$8.50$7.5034.4%13.8%29.9%25.6%44.2%4.8%-2.7%-141.9K7.8M-63.2K4.1014.72N/AN/A14559515,17540,030
2017-10-10$8.47$7.5034.0%12.8%29.9%24.7%42.0%0.1%2.1%-146.0K8.1M-62.8K7.9911.98N/AN/A1871,49515,19340,216
2017-10-11$8.60$10.0044.8%12.8%29.8%45.5%39.7%-0.7%1.7%-135.9K7.0M-65.0K2.2819.98N/AN/A15234715,23040,965
2017-10-12$8.47$10.0047.3%13.6%29.7%50.4%46.7%0.4%2.4%-160.0K8.1M-63.2K5.5425.83N/AN/A1841,01915,24540,972
2017-10-13$8.57$10.0047.3%13.6%30.0%50.4%40.8%11.5%-0.3%-145.6K7.7M-63.1K1.6235.19N/AN/A43370315,21641,172
2017-10-16$8.51$10.0044.5%12.7%29.7%44.9%40.5%8.0%1.4%-154.5K8.1M-62.0K1.3742.54N/AN/A33145315,46341,366
2017-10-17$8.58$10.0046.3%13.3%27.4%48.4%43.2%9.5%1.6%-148.1K7.7M-60.7K3.5542.50N/AN/A14150115,45141,467
2017-10-18$8.54$10.0045.7%13.1%27.3%47.2%43.9%8.7%3.0%-138.8K7.2M-61.2K1.9942.92N/AN/A21542715,47341,547
2017-10-19$8.52$10.0046.7%13.4%27.2%49.1%44.2%11.2%-3.2%-156.3K8.1M-59.1K1.8020.04N/AN/A21538815,52441,558
2017-10-20$8.40$10.0044.7%12.8%27.6%45.3%44.6%14.4%1.0%-159.0K8.0M-61.1K1.5519.49N/AN/A48475015,52441,559
2017-10-23$8.44$10.0047.3%13.6%21.9%50.3%47.1%12.0%-4.6%-158.5K8.0M-60.6K3.385.49N/AN/A4701,58915,51640,704
2017-10-24$8.37$10.0046.9%13.4%21.6%49.5%45.7%14.6%0.2%-176.6K8.6M-59.3K6.3820.26N/AN/A2471,57715,52641,164
2017-10-25$8.28$10.0046.2%13.2%21.7%48.2%46.1%12.7%0.8%-200.2K9.6M-59.1K3.2519.58N/AN/A22673415,63541,950
2017-10-26$8.10$7.5046.0%13.2%22.7%47.8%46.0%10.7%1.9%-216.9K10.4M-56.1K4.8311.11N/AN/A2271,09615,62342,027
2017-10-27$7.97$7.5049.1%14.1%17.0%53.8%49.1%13.5%-2.2%-235.8K11.3M-53.6K3.8210.04N/AN/A2711,03415,63042,313
2017-10-30$7.86$7.5049.5%14.2%17.3%54.4%49.6%11.1%-4.2%-259.4K11.2M-52.4K5.2711.11N/AN/A18798615,73342,466
2017-10-31$7.84$7.5049.5%14.2%17.1%54.4%49.3%31.5%-4.9%-268.7K11.9M-51.0K4.7912.71N/AN/A2151,02915,80342,653