CBL Options History — November 2017

In November 2017, CBL traded between $5.51 and $7.97. ATM implied volatility averaged 49.6%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 54.4% (HV 20d: 104.0%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.53.

Notable Days

  • 2017-11-10: Highest Volume — 10,857 contracts
  • 2017-11-13: Largest IV spike — 32.3% change
  • 2017-11-13: Highest IV Rank — 76.2%
  • 2017-11-13: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.90$5.51$7.97$7.79$5.62
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV49.6%35.1%60.8%48.6%43.8%
Expected Move14.4%10.1%17.4%13.9%12.6%
HV 20d104.0%16.7%117.9%16.7%117.9%
HV 60d65.2%26.7%70.6%26.7%70.6%
IV Rank54.7%26.9%76.2%52.8%43.6%
IV Percentile82.1%25.0%98.8%90.5%60.7%
Term Structure-0.8%-13.0%25.2%-4.0%-12.9%
VWIV50.0%37.3%60.9%48.5%60.9%
Skew 25d6.0%-61.6%32.3%9.7%-61.6%
Skew 10d22.3%-41.8%40.0%21.7%-41.8%
Call IV 25d43.1%26.6%90.1%43.5%90.1%
Put IV 25d49.1%28.5%59.4%53.2%28.5%
Bid-Ask Spread %7.64-6.6516.639.894.32
Gamma HHI0.500.410.630.590.55
Net GEX-199.5K-278.1K-155.4K-278.1K-193.5K
Net DEX17.4M11.5M20.1M12.1M17.5M
Net VEX-36.2K-52.9K-28.4K-51.4K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.530.5717.532.141.26
Total Volume2,97582010,8578202,046
Total OI65,446.90558,45470,82758,99867,331

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$7.79$7.5048.6%13.9%16.7%52.8%48.5%9.7%-4.0%-278.1K12.1M-51.4K2.149.89N/AN/A26155915,85843,140
2017-11-02$7.97$7.5053.2%13.6%18.8%61.6%47.4%16.7%-5.3%-255.1K11.5M-52.9K3.199.05N/AN/A25380615,91843,283
2017-11-03$5.92$7.5056.3%16.2%106.1%67.6%39.3%-7.3%-13.0%-191.4K17.4M-29.6K1.56-6.65N/AN/A4,0356,30515,98143,639
2017-11-06$5.56$7.5040.4%14.4%106.8%37.1%47.8%11.9%0.1%-167.4K17.1M-28.4K1.4813.85N/AN/A1,5642,31714,17044,284
2017-11-07$5.62$7.5048.3%15.4%107.2%52.1%49.2%15.7%-2.0%-164.6K16.3M-30.4K1.549.29N/AN/A1,1931,83915,05944,085
2017-11-08$5.51$7.5054.4%15.6%106.4%64.0%51.0%14.7%-3.9%-155.4K16.3M-29.6K1.787.73N/AN/A32657915,96644,639
2017-11-09$5.83$7.5056.0%16.1%110.0%67.1%55.3%18.0%-4.6%-176.4K15.7M-32.4K0.6016.63N/AN/A81348816,00544,579
2017-11-10$6.11$7.5045.9%13.2%112.0%47.6%53.6%32.3%25.2%-195.1K15.4M-35.6K17.536.81N/AN/A58610,27115,88244,540
2017-11-13$5.67$7.5060.8%17.4%113.8%76.2%60.6%19.4%-6.9%-216.6K19.8M-40.6K0.939.05N/AN/A80775315,92053,449
2017-11-14$5.51$7.5054.0%15.5%113.3%63.1%52.1%11.7%0.3%-195.3K20.1M-37.8K1.747.76N/AN/A55195716,32253,797
2017-11-15$5.58$7.5051.5%14.8%113.8%58.4%52.1%11.6%3.3%-200.9K19.8M-37.7K0.7416.40N/AN/A77657116,51853,679
2017-11-16$5.69$7.5053.9%15.5%114.6%63.0%51.8%11.8%2.1%-206.1K19.8M-38.9K0.7116.09N/AN/A62444116,99053,733
2017-11-17$5.78$7.5053.9%15.4%115.3%62.9%51.6%13.0%2.0%-213.9K19.6M-39.9K0.704.57N/AN/A78855217,11153,716
2017-11-20$5.68$7.5052.7%15.1%114.9%60.7%50.6%9.9%-3.5%-205.0K19.9M-36.6K0.775.29N/AN/A71555416,86653,721
2017-11-21$5.70$7.5042.9%12.3%115.2%41.9%47.2%9.1%12.3%-203.8K19.8M-36.5K5.436.35N/AN/A7644,15216,96853,816
2017-11-22$5.74$7.5049.3%14.1%115.5%54.2%57.3%17.5%10.7%-210.9K18.7M-35.4K7.816.11N/AN/A1,0428,13317,18952,290
2017-11-24$5.69$7.5050.7%14.5%115.5%56.8%50.6%7.6%1.2%-190.4K17.3M-34.9K0.734.66N/AN/A74154017,58248,955
2017-11-27$5.53$7.5045.8%13.1%115.6%47.5%46.4%-19.1%-11.9%-188.0K17.3M-33.0K1.014.09N/AN/A88689617,59649,126
2017-11-28$5.62$7.5044.4%12.7%116.3%44.7%38.4%-12.1%-3.6%-191.2K17.4M-32.9K0.854.06N/AN/A96482217,91149,411
2017-11-29$5.83$7.5035.1%10.1%117.7%26.9%37.3%-5.5%-2.0%-190.6K17.1M-33.6K0.575.05N/AN/A76843717,91949,441
2017-11-30$5.62$7.5043.8%12.6%117.9%43.6%60.9%-61.6%-12.9%-193.5K17.5M-31.8K1.264.32N/AN/A9051,14117,89849,433