CBL Options History — May 2018

In May 2018, CBL traded between $4.09 and $5.26. ATM implied volatility averaged 36.2%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 4.3% (HV 20d: 40.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-05-30: Highest Volume — 3,548 contracts
  • 2018-05-23: Largest IV spike — 38.8% change
  • 2018-05-08: Highest IV Rank — 29.5%
  • 2018-05-08: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.50$4.09$5.26$4.26$5.04
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV36.2%22.9%47.5%40.4%36.5%
Expected Move10.6%6.6%13.9%11.6%10.5%
HV 20d40.5%33.7%44.0%40.7%41.9%
HV 60d47.6%42.1%59.2%57.9%45.4%
IV Rank15.6%0.0%29.5%20.3%17.4%
IV Percentile22.5%0.0%67.5%27.8%23.0%
Term Structure4.8%-10.1%21.1%13.2%3.2%
VWIV38.9%25.3%53.3%46.0%36.5%
Skew 25d12.0%-24.2%44.0%4.8%-24.2%
Skew 10d10.0%-23.5%51.3%5.3%-23.5%
Call IV 25d48.3%24.6%94.5%48.0%94.5%
Put IV 25d60.3%44.2%77.5%52.8%70.3%
Bid-Ask Spread %7.895.0712.4110.3812.41
Gamma HHI0.540.420.700.460.69
Net GEX-16.6K-46.8K40.2K-46.8K40.2K
Net DEX3.0M-2.2M4.9M4.2M-987.5K
Net VEX-18.2K-22.6K-14.0K-18.9K-22.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.161.380.281.02
Total Volume1,0855333,548814841
Total OI49,598.547,23951,81649,13749,703

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$4.26$5.0040.4%11.6%40.7%20.3%46.0%4.8%13.2%-46.8K4.2M-18.9K0.2810.38N/AN/A63817614,79634,341
2018-05-02$4.09$5.0040.4%11.6%39.5%20.3%38.8%-4.3%11.1%-38.8K4.6M-17.8K0.579.97N/AN/A69239314,82834,369
2018-05-03$4.14$5.0039.9%12.5%39.3%19.6%53.3%-4.4%-10.1%-39.7K4.5M-16.2K0.235.11N/AN/A74716914,84434,207
2018-05-04$4.36$5.0035.5%12.6%43.7%13.9%44.5%8.5%2.6%-42.4K4.1M-19.0K0.406.62N/AN/A81632315,15734,237
2018-05-07$4.35$5.0039.2%12.7%43.7%18.8%44.9%9.0%-4.0%-38.5K4.2M-18.2K0.695.75N/AN/A50734815,49634,350
2018-05-08$4.36$5.0047.5%13.9%43.2%29.5%48.4%9.5%-5.9%-45.0K4.1M-18.5K1.385.07N/AN/A28138815,58134,394
2018-05-09$4.43$5.0044.5%12.8%43.6%25.7%44.7%10.1%-1.3%-42.8K3.9M-18.1K0.838.57N/AN/A41834815,62834,475
2018-05-10$4.46$5.0041.9%12.0%42.4%22.3%42.4%14.0%1.1%-39.4K3.9M-18.9K0.167.68N/AN/A1,23019815,75434,483
2018-05-11$4.40$5.0044.3%12.7%42.7%25.4%45.3%11.1%-3.1%-19.3K4.0M-18.3K0.636.62N/AN/A32720616,49134,530
2018-05-14$4.27$5.0039.9%11.4%44.0%19.6%39.2%6.2%-3.0%-24.6K4.2M-17.7K0.866.98N/AN/A34029416,50834,564
2018-05-15$4.24$5.0029.3%8.4%43.9%5.8%32.4%21.8%20.8%-32.2K4.7M-17.0K0.428.46N/AN/A51921916,56034,715
2018-05-16$4.25$5.0026.4%7.6%43.8%2.1%26.5%21.2%17.5%-33.4K4.9M-15.2K0.556.47N/AN/A57331616,56334,736
2018-05-17$4.30$5.0029.1%8.4%42.7%5.6%32.1%14.3%7.6%-28.3K4.8M-14.0K0.716.10N/AN/A41529516,85134,744
2018-05-18$4.45$5.0030.3%8.7%39.2%7.1%39.0%36.7%21.1%-21.0K4.1M-15.4K0.636.95N/AN/A69843816,95134,865
2018-05-21$4.53$5.0022.9%6.6%38.1%0.0%25.3%31.9%15.5%-14.0K2.6M-15.2K0.336.96N/AN/A1,06635516,44930,790
2018-05-22$4.62$5.0026.2%7.5%37.8%4.2%34.1%44.0%15.2%5571.9M-17.7K0.765.94N/AN/A1,00776217,02430,808
2018-05-23$4.75$5.0036.3%10.4%37.0%17.1%36.5%23.5%0.2%7.8K1.2M-20.4K1.089.44N/AN/A61466417,29730,813
2018-05-24$4.73$5.0035.6%10.2%34.1%16.1%35.6%22.1%1.5%13.2K1.3M-19.3K0.586.25N/AN/A42524717,33130,741
2018-05-25$4.84$5.0030.6%8.8%34.0%9.8%30.8%17.9%4.0%23.8K821.7K-20.1K0.2810.18N/AN/A70819917,40030,652
2018-05-29$4.87$5.0039.7%11.4%33.7%21.4%39.7%-1.7%-2.5%24.8K268.9K-20.3K0.4111.72N/AN/A79332917,73530,647
2018-05-30$5.26$5.0039.9%11.4%41.6%21.6%39.9%-8.2%1.7%31.2K-2.2M-22.2K0.3410.04N/AN/A2,63891018,09230,667
2018-05-31$5.04$5.0036.5%10.5%41.9%17.4%36.5%-24.2%3.2%40.2K-987.5K-22.6K1.0212.41N/AN/A41742418,99730,706