CBL Options History — December 2017

In December 2017, CBL traded between $5.38 and $5.91. ATM implied volatility averaged 48.7%, placing in the 50.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 3.6% (HV 20d: 45.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.37.

Notable Days

  • 2017-12-14: Highest Volume — 2,119 contracts
  • 2017-12-07: Largest IV spike — 58.0% change
  • 2017-12-12: Highest IV Rank — 100.0%
  • 2017-12-01: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.65$5.38$5.91$5.59$5.67
Max Pain$5.13$5.00$7.50$7.50$5.00
ATM IV48.7%27.3%77.8%63.8%38.6%
Expected Move13.1%7.8%18.3%18.3%11.1%
HV 20d45.1%35.5%117.1%117.1%36.9%
HV 60d71.3%70.6%72.1%70.6%71.6%
IV Rank50.4%10.9%100.0%81.9%30.9%
IV Percentile68.4%5.6%100.0%99.2%31.3%
Term Structure-4.0%-33.9%16.6%-17.1%-5.0%
VWIV50.5%30.0%83.0%64.7%51.9%
Skew 25d-1.2%-114.7%22.0%5.9%16.5%
Skew 10d7.8%-136.7%33.0%29.7%29.5%
Call IV 25d46.2%26.3%151.3%56.6%27.2%
Put IV 25d45.0%30.0%62.5%62.5%43.7%
Bid-Ask Spread %11.635.2417.195.245.80
Gamma HHI0.600.540.650.560.62
Net GEX-200.2K-212.0K-190.5K-201.6K-192.1K
Net DEX15.5M12.7M18.0M17.4M12.7M
Net VEX-29.7K-32.9K-26.7K-31.9K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.370.444.680.660.87
Total Volume1,4476582,1191,2701,554
Total OI60,779.549,94770,12168,34450,941

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$5.59$7.5063.8%18.3%117.1%81.9%64.7%5.9%-17.1%-201.6K17.4M-31.9K0.665.24N/AN/A76350718,11550,229
2017-12-04$5.69$5.0047.8%13.4%53.4%51.2%46.5%-16.5%-0.1%-201.0K17.4M-32.9K0.9713.81N/AN/A87384818,20850,234
2017-12-05$5.67$5.0039.9%13.2%48.4%36.0%45.9%-114.7%2.2%-192.0K17.2M-32.4K0.7515.25N/AN/A91568618,39050,190
2017-12-06$5.45$5.0035.5%13.0%50.3%27.7%45.3%-10.1%-0.8%-195.1K17.4M-30.0K0.7711.77N/AN/A68052218,46850,302
2017-12-07$5.38$5.0056.2%12.8%50.0%67.4%43.5%-49.9%-1.1%-193.6K18.0M-30.7K1.2214.84N/AN/A74090118,67250,448
2017-12-08$5.62$5.0071.2%13.2%48.2%96.3%45.9%-32.4%-0.5%-201.9K17.2M-31.5K1.0712.59N/AN/A56560418,87050,551
2017-12-11$5.49$5.0049.6%12.0%45.1%54.8%41.9%13.2%2.9%-198.3K17.3M-28.7K0.5514.39N/AN/A83545818,82450,572
2017-12-12$5.54$5.0077.8%13.0%37.2%100.0%44.6%14.0%-0.9%-197.5K17.3M-30.1K1.2514.72N/AN/A57872319,14450,669
2017-12-13$5.54$5.0046.5%13.3%35.7%44.7%47.8%15.3%-1.9%-198.1K16.9M-30.1K0.7216.11N/AN/A66647819,15150,726
2017-12-14$5.50$5.0042.4%12.2%35.5%37.6%43.8%12.9%3.8%-195.0K17.4M-29.2K3.7516.91N/AN/A4461,67319,18950,732
2017-12-15$5.64$5.0043.5%12.5%36.0%39.5%43.7%20.8%2.0%-198.5K17.0M-30.3K2.6114.06N/AN/A5631,46919,10851,013
2017-12-18$5.86$5.0048.3%13.9%38.1%48.0%48.1%22.0%-11.6%-211.0K13.3M-31.3K0.9910.55N/AN/A3303287,73542,277
2017-12-19$5.74$5.0042.2%12.1%38.4%37.2%43.9%-0.8%11.5%-208.0K13.5M-29.7K1.7817.19N/AN/A3586397,69542,302
2017-12-20$5.70$5.0041.6%11.9%38.4%36.1%65.3%15.4%-19.2%-203.6K13.6M-29.7K1.947.50N/AN/A4488677,84342,104
2017-12-21$5.65$5.0044.9%12.9%38.5%42.0%44.6%16.4%4.4%-204.5K13.7M-27.4K1.309.09N/AN/A7119217,94642,102
2017-12-22$5.75$5.0050.8%14.6%38.9%52.4%50.8%11.1%-5.4%-203.4K13.1M-26.7K4.688.61N/AN/A2411,1288,22442,105
2017-12-26$5.91$5.0053.8%15.4%38.4%57.7%83.0%18.5%-33.9%-205.6K12.9M-28.8K0.467.50N/AN/A1,2705888,27242,316
2017-12-27$5.91$5.0052.3%15.0%38.1%55.1%79.6%-0.4%-26.7%-212.0K13.4M-28.5K0.448.97N/AN/A9534198,66642,481
2017-12-28$5.66$5.0027.3%7.8%39.2%10.9%30.0%18.4%16.6%-190.5K12.9M-28.2K0.617.62N/AN/A1,0506428,27342,503
2017-12-29$5.67$5.0038.6%11.1%36.9%30.9%51.9%16.5%-5.0%-192.1K12.7M-27.0K0.875.80N/AN/A8327228,63342,308