CBL Options History — November 2018

In November 2018, CBL traded between $2.59 and $3.16. ATM implied volatility averaged 63.8%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 4.7% (HV 20d: 59.1%). Max pain ranged from $4.00 to $6.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 6.21.

Notable Days

  • 2018-11-15: Highest Volume — 22,299 contracts
  • 2018-11-12: Largest IV spike — 43.0% change
  • 2018-11-12: Highest IV Rank — 80.9%
  • 2018-11-02: Largest Expected Move — 22.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.87$2.59$3.16$3.16$2.59
Max Pain$5.81$4.00$6.00$4.00$6.00
ATM IV63.8%45.9%91.8%76.2%54.8%
Expected Move17.0%13.2%22.6%21.9%15.7%
HV 20d59.1%49.2%65.2%59.5%49.2%
HV 60d47.9%45.9%51.0%46.5%50.5%
IV Rank48.0%27.0%80.9%62.6%37.5%
IV Percentile81.8%53.6%98.4%96.4%69.0%
Term Structure-1.2%-13.9%12.5%-13.9%-2.0%
VWIV59.4%45.5%80.5%68.9%62.3%
Skew 25d6.2%-13.9%25.0%1.1%-13.9%
Skew 10d10.8%-12.8%29.0%14.9%-12.8%
Call IV 25d56.8%36.3%76.9%74.8%68.3%
Put IV 25d63.0%54.4%76.3%75.9%54.4%
Bid-Ask Spread %20.3912.3232.0219.6518.97
Gamma HHI0.620.440.850.560.44
Net GEX-211.1K-454.6K-64.4K-292.7K-64.4K
Net DEX17.6M11.3M24.8M21.0M11.8M
Net VEX-29.4K-41.5K-20.4K-41.0K-20.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.210.5615.624.140.75
Total Volume10,415.9521,94922,29915,3072,927
Total OI113,343.28684,198135,464132,95785,158

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$3.16$4.0076.2%21.9%59.5%62.6%68.9%1.1%-13.9%-292.7K21.0M-41.0K4.1419.65N/AN/A2,97812,32929,007103,950
2018-11-02$3.06$4.0078.7%22.6%59.1%65.5%80.5%-0.6%-12.8%-283.5K21.5M-41.5K5.5528.55N/AN/A2,60014,43330,539104,502
2018-11-05$3.12$6.0074.4%18.0%58.3%60.4%56.7%17.5%-5.4%-317.1K21.5M-39.0K6.9515.35N/AN/A2,07114,38831,004103,720
2018-11-06$3.01$6.0062.9%17.1%59.0%46.9%58.6%4.4%-2.6%-334.6K22.0M-36.5K6.8324.60N/AN/A1,93013,17331,066103,779
2018-11-07$3.05$6.0058.1%16.3%59.7%41.4%57.6%11.5%-1.4%-370.7K21.9M-35.7K11.6020.63N/AN/A1,20313,94931,136103,877
2018-11-08$3.08$6.0059.8%15.3%59.5%43.3%54.7%16.3%-0.1%-377.9K22.6M-27.5K10.9413.75N/AN/A1,13612,42531,242103,968
2018-11-09$3.06$6.0064.2%15.5%56.4%48.5%54.4%14.9%0.6%-372.3K21.3M-36.4K10.1415.74N/AN/A1,24112,58031,261104,047
2018-11-12$3.12$6.0091.8%16.0%57.0%80.9%57.2%14.0%-0.4%-370.9K21.3M-35.5K11.1518.53N/AN/A1,11912,48131,285103,984
2018-11-13$3.01$6.0079.3%14.9%57.5%66.2%60.6%7.1%2.5%-454.6K21.8M-33.3K11.0918.45N/AN/A1,08812,06131,300103,983
2018-11-14$2.88$6.0059.2%17.0%58.7%42.7%63.1%-2.9%0.2%-393.4K22.8M-30.6K8.7515.35N/AN/A1,34411,76631,462104,002
2018-11-15$2.77$6.0052.5%15.1%59.1%34.8%47.5%11.3%3.6%-85.8K24.8M-26.4K15.6227.11N/AN/A1,34220,95731,861103,482
2018-11-16$2.82$6.0050.0%14.3%60.0%31.8%45.5%15.0%6.3%-93.4K24.8M-26.0K12.1830.85N/AN/A1,44417,59232,171102,380
2018-11-19$2.71$6.0058.9%16.9%60.9%42.3%56.6%3.7%12.5%-81.3K11.4M-24.2K9.1722.97N/AN/A1,23311,30128,61855,580
2018-11-20$2.68$6.0063.3%18.1%60.4%47.4%61.9%-2.7%5.1%-73.1K11.5M-23.3K0.7932.02N/AN/A1,18593828,66355,537
2018-11-21$2.84$6.0045.9%13.2%65.2%27.0%48.1%15.4%0.9%-100.6K11.8M-25.5K0.5617.82N/AN/A1,63592128,71355,530
2018-11-23$2.68$6.0064.2%18.4%64.5%48.5%66.5%1.6%-7.8%-73.5K11.3M-24.0K0.8722.14N/AN/A1,1681,01129,00655,595
2018-11-26$2.74$6.0058.4%16.7%65.1%41.7%59.3%1.7%1.9%-84.4K11.6M-23.6K0.8613.86N/AN/A1,1601,00228,98155,526
2018-11-27$2.60$6.0058.9%16.9%61.4%42.3%60.1%-4.6%1.6%-70.6K11.3M-21.8K0.7420.65N/AN/A1,22690729,10955,395
2018-11-28$2.61$6.0066.6%19.1%59.8%51.3%66.3%25.0%-7.8%-66.2K11.4M-22.3K1.0812.32N/AN/A1,2251,31729,26955,453
2018-11-29$2.61$6.0061.5%17.6%50.3%45.3%61.9%-4.7%-5.7%-71.5K11.3M-21.9K0.6118.84N/AN/A1,21173829,46155,607
2018-11-30$2.59$6.0054.8%15.7%49.2%37.5%62.3%-13.9%-2.0%-64.4K11.8M-20.4K0.7518.97N/AN/A1,6721,25529,48955,669