CBL Options History — June 2018

In June 2018, CBL traded between $5.04 and $6.16. ATM implied volatility averaged 45.6%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 0.4% (HV 20d: 46.0%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.10.

Notable Days

  • 2018-06-28: Highest Volume — 21,171 contracts
  • 2018-06-20: Largest IV spike — 39.3% change
  • 2018-06-12: Highest IV Rank — 58.1%
  • 2018-06-13: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.67$5.04$6.16$5.04$5.58
Max Pain$5.33$5.00$6.00$5.00$6.00
ATM IV45.6%30.9%68.5%37.8%43.9%
Expected Move12.7%8.8%15.9%10.8%12.6%
HV 20d46.0%39.0%50.9%42.0%47.2%
HV 60d44.2%42.2%46.8%45.4%43.2%
IV Rank28.9%10.1%58.1%19.0%26.8%
IV Percentile54.1%7.9%96.0%25.8%50.8%
Term Structure4.9%-14.0%12.6%4.1%8.7%
VWIV45.3%37.0%60.9%37.8%47.3%
Skew 25d-14.2%-102.5%19.1%-25.1%7.1%
Skew 10d-11.8%-122.5%32.7%-24.4%9.1%
Call IV 25d65.6%34.9%148.8%97.9%45.0%
Put IV 25d51.4%35.1%79.7%72.8%52.1%
Bid-Ask Spread %13.60-6.6231.5913.2219.44
Gamma HHI0.490.350.730.700.45
Net GEX-83.7K-349.9K44.3K40.2K-349.9K
Net DEX-736.6K-5.3M8.0M-1.0M8.0M
Net VEX-39.9K-73.2K-20.5K-22.7K-73.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.100.319.371.430.73
Total Volume5,237.6191,06021,1711,5203,169
Total OI66,320.04849,961100,89449,961100,894

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$5.04$5.0037.8%10.8%42.0%19.0%37.8%-25.1%4.1%40.2K-1.0M-22.7K1.4313.22N/AN/A62589519,13530,826
2018-06-04$5.11$5.0045.1%11.4%39.1%28.3%39.8%-34.1%1.5%44.3K-1.4M-22.5K1.26-6.62N/AN/A47059019,30831,024
2018-06-05$5.28$5.0039.1%11.7%39.8%20.6%40.6%-12.5%2.2%37.8K-2.8M-22.2K0.5810.82N/AN/A71441119,37431,079
2018-06-06$5.57$5.0032.1%12.0%42.6%11.7%42.6%-96.2%0.1%11.3K-4.5M-20.6K0.6316.94N/AN/A1,00963419,41931,212
2018-06-07$5.62$5.0042.6%12.6%42.6%25.0%43.4%-102.5%1.3%13.3K-4.5M-20.8K0.7416.65N/AN/A82160519,29831,532
2018-06-08$5.74$5.0047.8%14.0%42.7%31.6%54.8%-102.3%-14.0%14.3K-4.9M-20.7K0.696.90N/AN/A93264319,51231,567
2018-06-11$5.81$5.0063.5%13.0%41.5%51.7%45.5%0.0%-2.1%17.0K-5.3M-20.5K0.9110.61N/AN/A95487119,79731,655
2018-06-12$5.77$5.0068.5%14.0%39.0%58.1%48.9%0.0%2.8%13.0K-5.1M-22.6K0.5431.59N/AN/A4,4532,40220,03831,801
2018-06-13$5.40$5.0055.4%15.9%48.1%41.4%54.9%0.0%-3.1%28.8K-3.5M-25.7K2.0715.66N/AN/A1,9043,94922,57032,792
2018-06-14$5.41$5.0047.4%13.6%48.1%31.2%45.0%1.6%6.7%-16.0K-3.1M-27.7K9.3719.33N/AN/A1,82317,08523,34835,833
2018-06-15$5.35$5.0047.0%13.5%48.8%30.7%38.1%-4.5%4.8%-146.7K1.7M-44.0K9.0620.85N/AN/A1,23211,16124,23752,409
2018-06-18$5.60$5.0044.3%12.7%49.7%27.2%48.2%7.2%10.0%-144.6K2.7M-44.2K1.2413.21N/AN/A1,9062,35717,95049,181
2018-06-19$5.65$5.0030.9%8.8%49.7%10.1%37.0%4.7%11.6%-150.7K2.3M-47.0K0.318.46N/AN/A2,76286619,18650,674
2018-06-20$5.90$5.0043.0%12.3%50.9%25.6%44.1%9.4%8.4%-133.6K479.9K-50.1K2.2812.37N/AN/A1,7413,96821,25450,686
2018-06-21$6.03$6.0043.7%12.5%50.7%26.5%44.7%14.1%9.3%-161.0K845.2K-58.6K1.2820.38N/AN/A1,0261,31422,13354,325
2018-06-22$6.16$6.0041.1%11.8%50.4%23.2%42.3%18.3%12.0%-139.9K-799.8K-57.4K1.279.22N/AN/A1,9702,50222,58455,164
2018-06-25$6.13$6.0045.7%13.1%50.7%29.0%46.2%18.0%8.7%-150.3K313.6K-60.2K1.4511.36N/AN/A1,3521,95423,64156,918
2018-06-26$6.13$6.0042.6%12.2%50.8%25.1%43.2%19.1%11.7%-182.4K237.8K-58.8K1.1811.74N/AN/A9151,07723,81958,380
2018-06-27$5.95$6.0044.1%12.7%46.5%27.0%45.1%14.6%12.6%-199.3K1.5M-58.4K0.4210.49N/AN/A4,0581,69924,01858,740
2018-06-28$5.77$6.0052.0%14.9%45.0%37.0%60.9%7.5%6.1%-203.9K3.4M-61.0K6.6212.94N/AN/A2,78018,39125,31360,095
2018-06-29$5.58$6.0043.9%12.6%47.2%26.8%47.3%7.1%8.7%-349.9K8.0M-73.2K0.7319.44N/AN/A1,8361,33325,13975,755