CBL Options History — January 2018

In January 2018, CBL traded between $5.50 and $5.94. ATM implied volatility averaged 47.5%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 10.8% (HV 20d: 36.7%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2018-01-31: Highest Volume — 2,809 contracts
  • 2018-01-31: Largest IV spike — 53.6% change
  • 2018-01-31: Highest IV Rank — 100.0%
  • 2018-01-31: Largest Expected Move — 24.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.67$5.50$5.94$5.94$5.56
Max Pain$5.71$5.00$7.50$5.00$5.00
ATM IV47.5%30.8%85.2%35.7%85.2%
Expected Move14.4%10.2%24.4%10.2%24.4%
HV 20d36.7%27.0%42.2%40.2%27.0%
HV 60d73.0%72.4%73.5%72.4%73.2%
IV Rank46.0%17.0%100.0%25.8%100.0%
IV Percentile65.4%8.7%100.0%23.4%100.0%
Term Structure-6.4%-36.7%16.2%16.2%-36.7%
VWIV49.3%37.0%58.5%37.0%50.5%
Skew 25d13.4%9.3%17.3%17.3%9.9%
Skew 10d30.7%25.7%55.9%25.7%55.9%
Call IV 25d30.9%27.0%40.0%27.0%40.0%
Put IV 25d44.2%40.7%49.8%44.3%49.8%
Bid-Ask Spread %17.255.0246.328.4134.47
Gamma HHI0.690.510.990.510.76
Net GEX-184.5K-192.1K-163.1K-185.1K-190.4K
Net DEX12.2M11.8M12.7M11.9M12.3M
Net VEX-22.1K-27.3K-16.9K-27.0K-20.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.031.145.831.635.83
Total Volume1,293.1437272,8092,0872,809
Total OI50,764.23848,65651,84751,23350,516

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$5.94$5.0035.7%10.2%40.2%25.8%37.0%17.3%16.2%-185.1K11.9M-27.0K1.638.41N/AN/A7931,2948,90342,330
2018-01-03$5.83$5.0039.2%11.3%40.6%32.0%45.6%16.1%-14.0%-186.8K11.8M-27.3K1.1416.00N/AN/A6947889,10642,021
2018-01-04$5.65$7.5033.6%14.6%42.2%22.1%50.5%16.4%-5.6%-186.9K12.3M-25.3K1.4518.08N/AN/A6289099,17742,026
2018-01-05$5.71$7.5030.8%13.9%39.6%17.0%48.6%16.8%-4.8%-184.9K12.0M-25.8K1.1625.64N/AN/A6287279,26242,122
2018-01-08$5.68$7.5037.3%13.9%39.3%28.5%47.9%16.5%-3.4%-185.1K12.0M-24.2K1.8930.70N/AN/A4097739,27342,158
2018-01-09$5.50$7.5035.6%13.6%38.0%25.7%46.4%13.7%-3.8%-189.7K12.4M-23.2K1.4117.59N/AN/A6358969,29842,219
2018-01-10$5.66$7.5049.1%14.1%38.5%49.4%47.4%13.2%-8.3%-185.6K12.1M-22.1K1.3425.00N/AN/A5657589,34942,309
2018-01-11$5.73$7.5045.7%13.1%38.6%43.4%45.0%14.9%0.4%-192.1K12.1M-23.7K1.297.96N/AN/A6117889,41242,319
2018-01-12$5.69$5.0046.6%13.4%38.7%45.0%46.1%10.2%-3.0%-183.7K12.0M-22.4K1.7846.32N/AN/A4387799,47942,368
2018-01-16$5.61$5.0049.0%14.1%39.0%49.3%49.7%14.9%-4.6%-186.7K12.2M-22.7K2.0010.52N/AN/A3336669,33142,275
2018-01-17$5.63$5.0048.5%13.9%38.0%48.3%48.2%14.7%-1.8%-184.4K12.2M-22.2K2.227.43N/AN/A3086859,33642,193
2018-01-18$5.52$5.0049.7%14.2%35.7%50.4%49.7%11.3%-6.3%-187.2K12.3M-21.3K1.1827.43N/AN/A4675519,34442,198
2018-01-19$5.61$5.0052.6%15.1%35.7%55.5%52.6%11.9%-7.2%-163.1K12.7M-16.9K1.8726.61N/AN/A3015639,29642,231
2018-01-22$5.71$5.0054.3%15.6%36.2%58.7%53.5%14.8%-7.5%-183.7K12.4M-20.9K2.135.02N/AN/A2324958,43140,671
2018-01-23$5.74$5.0050.4%14.4%36.1%51.7%50.3%12.0%-7.0%-179.4K12.0M-19.6K2.427.31N/AN/A3458368,48040,176
2018-01-24$5.69$5.0036.0%10.3%35.7%26.3%47.2%11.4%-5.2%-178.8K12.0M-19.0K2.528.92N/AN/A2837148,63340,438
2018-01-25$5.61$5.0053.9%15.5%34.4%57.9%53.4%9.3%-12.0%-183.4K12.1M-19.1K1.857.64N/AN/A3746938,71340,686
2018-01-26$5.66$5.0055.7%16.0%34.6%61.1%58.1%10.9%-18.0%-182.6K12.0M-20.0K1.848.23N/AN/A3827028,81840,956
2018-01-29$5.71$5.0053.7%15.4%31.2%57.5%58.5%12.0%1.0%-183.2K12.1M-19.1K3.4313.42N/AN/A2608938,83141,056
2018-01-30$5.58$5.0055.5%15.9%32.3%60.7%50.5%12.4%-2.8%-191.5K12.3M-20.6K2.289.62N/AN/A3518008,90641,403
2018-01-31$5.56$5.0085.2%24.4%27.0%100.0%0.0%9.9%-36.7%-190.4K12.3M-20.7K5.8334.47N/AN/A4112,3989,08941,427