CBL Options History — September 2018

In September 2018, CBL traded between $3.95 and $4.45. ATM implied volatility averaged 40.9%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 7.5% (HV 20d: 33.4%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.15.

Notable Days

  • 2018-09-04: Highest Volume — 16,812 contracts
  • 2018-09-25: Largest IV drop — 51.1% change
  • 2018-09-13: Highest IV Rank — 35.2%
  • 2018-09-13: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.29$3.95$4.45$4.34$3.95
Max Pain$5.11$5.00$6.00$6.00$5.00
ATM IV40.9%24.0%50.6%39.7%39.0%
Expected Move11.9%6.9%14.5%11.4%11.2%
HV 20d33.4%26.1%44.7%37.7%44.7%
HV 60d47.8%45.9%49.7%49.4%49.5%
IV Rank22.9%1.4%35.2%21.4%20.5%
IV Percentile38.1%0.4%72.6%27.4%24.2%
Term Structure7.6%-4.6%27.6%3.0%11.1%
VWIV44.2%34.4%52.3%34.7%38.9%
Skew 25d13.7%-8.2%33.8%-8.2%24.2%
Skew 10d16.4%1.4%35.2%2.9%33.7%
Call IV 25d34.1%20.6%49.2%35.8%33.0%
Put IV 25d47.8%27.6%57.1%27.6%57.1%
Bid-Ask Spread %16.2910.6023.6817.9713.47
Gamma HHI0.390.190.810.430.19
Net GEX-202.5K-467.2K-18.5K-242.6K-18.5K
Net DEX18.1M11.0M21.8M19.0M11.3M
Net VEX-26.9K-34.8K-20.6K-30.4K-20.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.686.556.550.68
Total Volume4,459.7892,23816,81216,8125,123
Total OI104,478.31658,546123,994113,44860,866

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$4.34$6.0039.7%11.4%37.7%21.4%34.7%-8.2%3.0%-242.6K19.0M-30.4K6.5517.97N/AN/A2,22814,58428,58384,865
2018-09-05$4.45$6.0046.5%13.3%33.3%30.0%52.3%17.9%-0.8%-276.9K20.4M-34.5K5.3516.49N/AN/A1,4847,94029,60189,917
2018-09-06$4.43$5.0044.0%13.3%33.1%26.8%35.2%20.2%4.0%-278.0K19.9M-34.8K5.1013.87N/AN/A1,5958,12929,87889,187
2018-09-07$4.41$5.0045.6%13.4%33.1%28.9%50.3%14.3%4.1%-274.4K19.9M-33.7K2.9910.75N/AN/A7902,35929,26389,176
2018-09-10$4.38$5.0041.1%13.1%33.2%23.2%42.9%13.2%3.3%-275.3K20.3M-32.2K1.5013.63N/AN/A1,0761,61529,30790,087
2018-09-11$4.36$5.0042.7%13.1%31.4%25.2%50.0%22.3%7.1%-249.2K21.3M-27.8K1.9012.72N/AN/A8721,65929,85990,331
2018-09-12$4.33$5.0045.4%13.0%26.1%28.6%46.3%19.7%3.9%-260.3K20.8M-29.2K0.9611.53N/AN/A1,4761,41430,02089,990
2018-09-13$4.24$5.0050.6%14.5%26.8%35.2%43.2%-3.0%-4.6%-261.5K21.0M-29.4K1.3321.41N/AN/A1,2521,66830,96790,243
2018-09-14$4.16$5.0047.0%13.5%27.2%30.7%46.3%6.6%1.1%-375.6K21.8M-25.1K1.1023.68N/AN/A1,7901,97231,00190,654
2018-09-17$4.33$5.0042.4%12.2%29.2%24.8%49.3%19.5%9.3%-222.8K20.2M-25.8K1.5223.21N/AN/A1,0171,54731,57588,755
2018-09-18$4.35$5.0044.6%12.8%28.5%27.7%46.6%5.0%3.1%-155.8K20.4M-25.0K2.5416.77N/AN/A6331,60531,74290,662
2018-09-19$4.13$5.0045.6%13.1%33.3%28.9%39.8%5.8%2.4%-467.2K21.0M-21.3K0.8410.60N/AN/A1,9691,64631,86590,713
2018-09-20$4.26$5.0036.1%10.3%35.3%16.8%45.5%30.5%19.3%-213.4K20.6M-22.6K1.1917.09N/AN/A1,2611,50332,68890,800
2018-09-21$4.38$5.0041.6%11.9%35.9%23.7%43.3%2.7%4.9%-65.1K20.3M-23.6K1.6417.98N/AN/A1,0021,64733,15990,835
2018-09-24$4.22$5.0050.2%14.4%36.6%34.7%50.9%-7.0%-2.6%-48.4K11.7M-21.8K1.2116.79N/AN/A1,4031,70219,44239,104
2018-09-25$4.27$5.0024.5%7.0%36.2%2.1%46.0%33.8%23.3%-50.7K11.6M-22.7K1.1217.28N/AN/A1,5071,68220,15439,235
2018-09-26$4.32$5.0024.0%6.9%36.5%1.4%34.4%25.5%27.6%-68.9K11.0M-26.4K2.0717.36N/AN/A8391,73420,88639,306
2018-09-27$4.26$5.0026.3%7.5%36.5%4.3%44.7%17.4%25.4%-43.4K11.5M-23.4K1.2516.96N/AN/A1,3381,67520,97939,393
2018-09-28$3.95$5.0039.0%11.2%44.7%20.5%38.9%24.2%11.1%-18.5K11.3M-20.6K0.6813.47N/AN/A3,0432,08021,34839,518