CBL Options History — February 2018

In February 2018, CBL traded between $4.21 and $5.40. ATM implied volatility averaged 54.2%, placing in the 43.4% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 3.8% (HV 20d: 58.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.27.

Notable Days

  • 2018-02-12: Highest Volume — 5,401 contracts
  • 2018-02-12: Largest IV drop — 44.4% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-09: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.81$4.21$5.40$5.40$4.64
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV54.2%28.9%101.5%70.3%28.9%
Expected Move13.6%8.3%24.3%13.7%8.3%
HV 20d58.0%26.7%78.1%28.0%78.1%
HV 60d47.4%37.5%53.1%41.4%52.8%
IV Rank43.4%9.7%100.0%76.6%9.7%
IV Percentile58.6%7.1%100.0%98.4%7.1%
Term Structure-3.6%-34.8%22.7%3.8%11.2%
VWIV49.1%28.9%85.5%52.0%28.9%
Skew 25d20.8%-9.3%55.1%20.4%52.9%
Skew 10d24.7%-27.7%56.0%50.8%47.8%
Call IV 25d49.6%27.8%83.0%33.9%29.5%
Put IV 25d70.4%53.9%82.9%54.4%82.3%
Bid-Ask Spread %23.827.0684.8624.359.31
Gamma HHI0.910.720.970.720.97
Net GEX-170.1K-242.5K-119.9K-195.0K-146.5K
Net DEX13.4M12.1M16.5M12.3M14.0M
Net VEX-17.0K-23.2K-12.1K-21.9K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.408.391.600.60
Total Volume2,142.5791,1085,4011,6171,305
Total OI50,876.36848,22954,48551,63249,841

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$5.40$10.0070.3%13.7%28.0%76.6%52.0%20.4%3.8%-195.0K12.3M-21.9K1.6024.35N/AN/A6219969,28242,350
2018-02-02$5.30$10.0074.6%13.9%26.7%83.3%48.4%14.3%-4.9%-212.3K13.2M-21.6K2.2613.60N/AN/A5221,1809,63242,652
2018-02-05$5.17$10.0093.6%16.9%27.2%100.0%58.4%30.5%-9.2%-194.4K13.4M-22.2K4.3884.86N/AN/A5152,2549,76042,804
2018-02-06$5.28$10.00101.5%16.8%28.8%100.0%58.1%18.2%-11.2%-210.1K13.5M-22.5K1.2216.01N/AN/A5476689,91743,408
2018-02-07$5.21$10.0065.5%18.8%27.0%55.3%64.5%15.9%-14.5%-198.5K13.2M-23.2K2.9313.33N/AN/A3791,1119,79343,466
2018-02-08$5.00$10.0066.0%18.9%27.6%55.8%62.5%8.8%-17.0%-196.2K14.1M-21.4K3.4720.46N/AN/A3211,1139,79943,778
2018-02-09$4.21$10.0084.7%24.3%64.3%79.0%85.5%1.0%-34.8%-119.9K14.1M-16.1K2.2738.92N/AN/A1,3132,9869,82344,097
2018-02-12$4.47$10.0047.0%13.5%69.6%32.3%47.1%13.8%3.5%-158.2K16.5M-13.8K8.197.07N/AN/A5884,81310,33044,155
2018-02-13$4.48$10.0039.5%11.3%69.8%22.8%52.3%55.1%22.7%-135.0K14.5M-13.4K8.399.57N/AN/A3222,70110,41039,817
2018-02-14$4.62$10.0041.8%12.0%71.2%25.7%45.9%22.6%0.6%-148.4K13.8M-13.9K0.4061.62N/AN/A3,0431,20910,36137,934
2018-02-15$4.71$10.0043.3%12.4%71.9%27.6%42.7%26.9%1.5%-149.4K13.2M-16.1K1.4854.99N/AN/A57384812,88637,860
2018-02-16$4.76$10.0045.4%13.0%71.6%30.2%45.4%18.1%1.3%-145.0K13.2M-16.8K0.8817.17N/AN/A1,07894912,90837,857
2018-02-20$4.70$10.0041.6%11.9%71.0%25.5%41.5%24.7%-1.6%-157.0K12.5M-15.4K0.7718.47N/AN/A87967612,51235,717
2018-02-21$4.56$10.0038.7%11.1%71.1%21.9%44.6%23.0%-4.8%-129.3K12.7M-13.7K1.1610.32N/AN/A51359512,68435,766
2018-02-22$4.64$10.0034.0%9.7%71.9%16.0%40.6%25.3%-2.4%-153.1K12.8M-14.5K0.847.06N/AN/A68457512,78635,846
2018-02-23$4.82$10.0036.3%10.4%73.8%18.8%36.4%5.3%-1.2%-206.7K12.5M-15.8K0.7123.12N/AN/A82658712,65435,926
2018-02-26$4.93$10.0036.3%10.4%74.4%18.8%36.3%-9.3%-0.5%-242.5K12.1M-16.1K0.6614.48N/AN/A93061312,69735,980
2018-02-27$4.58$10.0041.6%11.9%77.8%25.5%41.1%27.0%-10.7%-134.4K12.8M-13.3K0.887.97N/AN/A99787913,08636,077
2018-02-28$4.64$10.0028.9%8.3%78.1%9.7%28.9%52.9%11.2%-146.5K14.0M-12.1K0.609.31N/AN/A81549013,26736,574