CBL Options History — July 2018

In July 2018, CBL traded between $5.17 and $5.78. ATM implied volatility averaged 57.1%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 19.0% (HV 20d: 38.2%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2018-07-02: Highest Volume — 4,327 contracts
  • 2018-07-11: Largest IV spike — 47.6% change
  • 2018-07-31: Highest IV Rank — 56.9%
  • 2018-07-31: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.46$5.17$5.78$5.48$5.45
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV57.1%37.8%67.7%58.7%67.7%
Expected Move17.0%14.4%19.4%16.8%19.4%
HV 20d38.2%32.8%47.8%47.8%33.8%
HV 60d42.5%40.3%43.8%43.3%40.3%
IV Rank43.6%19.0%56.9%45.5%56.9%
IV Percentile84.1%25.8%96.0%92.9%96.0%
Term Structure-6.6%-16.9%2.0%1.3%-16.9%
VWIV57.0%46.8%65.3%55.9%65.3%
Skew 25d6.6%-0.3%17.8%7.4%4.6%
Skew 10d8.9%-12.6%49.3%5.9%10.4%
Call IV 25d53.8%45.0%63.1%50.4%63.1%
Put IV 25d60.3%54.4%74.7%57.8%67.7%
Bid-Ask Spread %15.507.4737.2617.1527.43
Gamma HHI0.470.430.520.460.48
Net GEX-324.7K-374.7K-273.5K-322.4K-307.4K
Net DEX8.7M4.8M12.2M8.8M7.3M
Net VEX-58.1K-68.3K-49.3K-66.8K-50.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.304.240.792.78
Total Volume1,872.9526784,3274,3273,633
Total OI96,859.04892,185100,57196,93593,893

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$5.48$6.0058.7%16.8%47.8%45.5%55.9%7.4%1.3%-322.4K8.8M-66.8K0.7917.15N/AN/A2,4111,91625,16671,769
2018-07-03$5.65$6.0050.1%14.4%47.6%34.6%46.8%10.9%2.0%-328.9K6.9M-68.3K0.3314.96N/AN/A1,66354325,40671,887
2018-07-05$5.71$6.0041.0%15.5%43.9%23.1%55.1%9.7%-4.3%-352.7K6.5M-65.8K0.5527.98N/AN/A1,75897525,54171,838
2018-07-06$5.78$6.0047.5%15.0%44.0%31.3%56.4%4.3%-2.2%-336.7K4.8M-68.3K1.0418.24N/AN/A48850625,89771,700
2018-07-09$5.67$6.0047.5%15.7%43.9%31.3%58.7%5.9%-4.0%-349.9K6.3M-64.2K1.219.41N/AN/A67481725,86571,812
2018-07-10$5.67$6.0037.8%15.5%43.7%19.0%54.6%3.4%-5.0%-367.1K6.1M-64.2K4.2437.26N/AN/A4732,00725,98972,092
2018-07-11$5.62$6.0055.8%16.0%43.7%41.8%56.2%-0.3%-6.1%-374.7K7.2M-64.7K0.4228.52N/AN/A1,22551526,10473,268
2018-07-12$5.58$6.0054.2%15.5%36.5%39.8%51.8%11.5%-4.9%-329.8K8.1M-62.6K0.4613.40N/AN/A1,44266425,83273,269
2018-07-13$5.57$6.0054.9%15.8%36.5%40.8%51.6%11.7%-4.7%-341.8K8.2M-62.3K0.5413.21N/AN/A70137926,04473,373
2018-07-16$5.34$6.0059.8%17.1%39.5%46.9%55.8%1.8%-5.9%-309.2K10.7M-56.5K0.3011.10N/AN/A1,39441326,12373,403
2018-07-17$5.32$6.0060.9%17.4%35.6%48.3%56.3%2.1%-6.4%-326.5K10.8M-56.6K0.4810.62N/AN/A75936726,09973,475
2018-07-18$5.17$6.0061.2%17.5%36.5%48.7%57.3%0.4%-6.4%-374.7K12.2M-52.7K1.158.49N/AN/A1,0971,25726,20573,415
2018-07-19$5.36$6.0063.2%18.1%35.3%51.2%55.8%7.6%-8.6%-318.4K10.4M-56.0K1.1712.70N/AN/A53061926,45173,962
2018-07-20$5.31$6.0060.9%17.5%33.9%48.4%60.1%-0.3%-7.6%-273.5K10.5M-55.3K0.4812.19N/AN/A61829926,61573,956
2018-07-23$5.36$6.0063.2%18.1%32.8%51.3%59.1%12.6%-11.4%-305.3K9.2M-51.9K1.417.47N/AN/A58582525,59066,595
2018-07-24$5.27$6.0060.7%17.4%33.0%48.1%58.8%0.8%-7.6%-287.0K10.0M-51.0K0.8410.13N/AN/A68557325,70266,783
2018-07-25$5.29$6.0061.9%17.7%33.1%49.6%60.0%0.8%-7.7%-291.1K9.9M-50.9K0.8710.92N/AN/A51644925,89966,950
2018-07-26$5.39$6.0064.3%18.4%33.3%52.7%60.5%11.8%-9.7%-314.4K9.1M-52.0K0.589.46N/AN/A43024825,99367,135
2018-07-27$5.22$6.0061.2%17.5%33.4%48.7%61.8%14.0%-7.4%-289.5K10.5M-49.4K1.5112.89N/AN/A39960426,09367,284
2018-07-30$5.39$6.0067.6%19.4%34.1%56.9%59.8%17.8%-15.6%-316.8K9.4M-49.3K1.4212.01N/AN/A1,5992,27626,13167,436
2018-07-31$5.45$6.0067.7%19.4%33.8%56.9%65.3%4.6%-16.9%-307.4K7.3M-50.9K2.7827.43N/AN/A9602,67327,14766,746