CBL Options History — March 2018

In March 2018, CBL traded between $4.14 and $4.90. ATM implied volatility averaged 35.1%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 23.8% (HV 20d: 59.0%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2018-03-14: Highest Volume — 6,493 contracts
  • 2018-03-12: Largest IV spike — 46.2% change
  • 2018-03-13: Highest IV Rank — 50.3%
  • 2018-03-02: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.51$4.14$4.90$4.72$4.18
Max Pain$5.48$5.00$10.00$10.00$5.00
ATM IV35.1%25.3%61.6%33.9%30.6%
Expected Move9.6%7.3%11.5%9.7%8.8%
HV 20d59.0%40.7%79.1%78.6%49.0%
HV 60d53.6%51.8%55.4%52.9%54.9%
IV Rank17.0%5.1%50.3%15.9%9.3%
IV Percentile21.6%2.8%94.4%14.7%7.5%
Term Structure11.7%-3.1%26.0%1.3%17.1%
VWIV41.1%25.4%79.5%28.2%28.1%
Skew 25d8.1%-10.4%57.1%16.0%-5.9%
Skew 10d8.2%-33.6%98.8%-23.8%-1.2%
Call IV 25d54.9%41.3%98.7%64.8%50.8%
Put IV 25d63.0%40.1%122.9%80.8%44.9%
Bid-Ask Spread %12.575.7924.499.858.15
Gamma HHI0.720.410.980.970.41
Net GEX-80.9K-282.9K10.5K-200.8K8.3K
Net DEX8.1M1.1M14.5M12.7M1.6M
Net VEX-11.4K-15.7K-7.6K-14.8K-10.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.224.291.080.72
Total Volume1,876.2388566,4931,4121,352
Total OI38,137.57118,73153,49250,05922,183

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$4.72$10.0033.9%9.7%78.6%15.9%28.2%16.0%1.3%-200.8K12.7M-14.8K1.089.85N/AN/A68073213,48136,578
2018-03-02$4.81$10.0040.2%11.5%78.8%23.8%40.2%20.9%-2.4%-212.2K13.0M-15.4K0.996.35N/AN/A74073313,49836,818
2018-03-05$4.90$5.0037.6%11.5%79.1%20.5%40.0%-7.4%5.0%-282.9K12.0M-15.7K0.7018.12N/AN/A1,25888113,67936,619
2018-03-06$4.79$5.0032.4%11.3%79.0%14.0%39.1%7.0%3.7%-256.1K12.3M-15.2K0.6718.77N/AN/A65643814,43036,676
2018-03-07$4.76$5.0044.1%11.2%78.5%28.6%39.7%55.6%7.4%-203.9K12.5M-14.6K0.5024.49N/AN/A62931714,44036,789
2018-03-08$4.74$5.0040.9%10.0%78.4%24.6%34.9%57.1%13.5%-214.6K12.4M-14.4K0.295.79N/AN/A1,10531814,43736,834
2018-03-09$4.63$5.0030.5%9.9%77.6%11.7%34.5%53.1%10.1%-73.1K14.5M-10.3K0.4820.44N/AN/A1,48571314,87636,844
2018-03-12$4.68$5.0044.6%8.9%45.5%29.2%34.8%6.2%8.0%-129.7K14.3M-11.6K0.229.23N/AN/A1,38330215,76137,160
2018-03-13$4.72$5.0061.6%10.9%40.7%50.3%38.1%5.9%8.5%-174.6K13.2M-12.7K0.8114.58N/AN/A76161415,76637,175
2018-03-14$4.37$5.0037.3%10.7%49.6%20.1%36.7%1.7%-2.4%5.0K14.5M-8.2K4.2911.74N/AN/A1,2285,26516,03037,462
2018-03-15$4.25$5.0028.6%8.2%49.0%9.3%52.0%-3.1%20.1%97512.5M-8.5K1.378.23N/AN/A8431,15316,03634,308
2018-03-16$4.39$5.0025.3%7.3%50.0%5.2%25.4%2.0%15.5%59313.0M-7.8K0.9314.19N/AN/A76070616,14433,975
2018-03-19$4.37$5.0032.3%9.3%49.7%13.9%37.5%-5.5%2.8%1.2K2.0M-7.6K1.0316.92N/AN/A53555310,0578,674
2018-03-20$4.14$5.0033.2%9.5%52.7%15.0%46.0%-10.4%-3.1%5611.6M-8.1K1.919.76N/AN/A30959010,1308,744
2018-03-21$4.20$5.0033.1%9.5%52.4%13.8%79.5%-5.2%19.7%7631.7M-7.9K0.6911.81N/AN/A50734910,1628,938
2018-03-22$4.34$5.0028.6%8.2%53.5%8.0%40.2%-0.2%26.0%1.9K1.4M-9.9K0.759.55N/AN/A1,22391910,3408,984
2018-03-23$4.33$5.0033.2%9.5%51.3%13.8%64.3%-2.2%24.0%2.5K1.5M-10.4K0.2911.38N/AN/A1,96957611,0499,384
2018-03-26$4.49$5.0031.0%8.9%52.5%11.1%57.7%-4.7%20.3%7.7K1.1M-11.8K0.349.82N/AN/A1,68157212,4839,395
2018-03-27$4.52$5.0032.9%9.4%45.8%13.5%38.6%-2.5%25.4%8.2K1.7M-10.8K0.2915.39N/AN/A2,42669612,6649,440
2018-03-28$4.41$5.0026.2%7.5%46.3%5.1%27.4%-8.1%25.5%10.5K1.5M-12.0K0.699.46N/AN/A85359113,0579,389
2018-03-29$4.18$5.0030.6%8.8%49.0%9.3%28.1%-5.9%17.1%8.3K1.6M-10.9K0.728.15N/AN/A78856413,0499,134