CBL Options History — December 2018

In December 2018, CBL traded between $1.83 and $2.57. ATM implied volatility averaged 66.1%, placing in the 50.8% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 3.6% (HV 20d: 62.5%). Max pain ranged from $2.00 to $6.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.06.

Notable Days

  • 2018-12-21: Highest Volume — 6,146 contracts
  • 2018-12-31: Largest IV spike — 30.9% change
  • 2018-12-31: Highest IV Rank — 71.0%
  • 2018-12-31: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$2.25$1.83$2.57$2.57$1.90
Max Pain$3.00$2.00$6.00$6.00$2.00
ATM IV66.1%47.9%83.4%47.9%83.4%
Expected Move18.6%13.7%23.9%13.7%23.9%
HV 20d62.5%48.5%83.7%48.5%83.7%
HV 60d56.1%50.5%64.9%50.5%64.9%
IV Rank50.8%29.4%71.0%29.4%71.0%
IV Percentile83.5%57.9%96.8%57.9%96.8%
Term Structure1.4%-12.2%28.9%8.2%-12.2%
VWIV64.6%50.5%88.3%51.2%83.7%
Skew 25d4.2%-17.2%25.7%-17.2%-3.4%
Skew 10d8.1%-21.4%41.0%-21.4%-0.8%
Call IV 25d55.3%32.3%81.3%68.6%72.5%
Put IV 25d59.5%43.1%75.7%51.4%69.1%
Bid-Ask Spread %38.2114.4495.6539.6326.79
Gamma HHI0.370.290.540.400.39
Net GEX-27.4K-57.8K-7.5K-57.8K-7.5K
Net DEX9.0M2.4M11.8M11.8M2.4M
Net VEX-15.4K-20.4K-10.5K-18.9K-12.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.064.900.680.90
Total Volume1,468.651756,146445510
Total OI74,721.439,02690,20585,40139,087

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$2.57$6.0047.9%13.7%48.5%29.4%51.2%-17.2%8.2%-57.8K11.8M-18.9K0.6839.63N/AN/A26518029,82255,579
2018-12-04$2.40$6.0059.9%17.2%51.6%43.4%60.0%-6.1%2.6%-32.5K11.5M-16.1K0.5314.44N/AN/A29615829,93755,637
2018-12-05$2.39$6.0062.0%17.8%51.0%45.9%62.1%-8.4%-3.9%-34.0K11.4M-16.7K0.5924.64N/AN/A30718229,93755,637
2018-12-06$2.44$2.5053.9%18.4%51.6%36.4%64.6%25.7%-8.5%-32.2K11.6M-17.2K0.0627.62N/AN/A5403530,09855,694
2018-12-07$2.57$2.5061.1%16.7%55.8%44.9%57.4%18.4%-0.6%-55.4K11.3M-20.4K0.4177.78N/AN/A70529230,20955,712
2018-12-10$2.57$2.5075.8%16.3%55.9%62.1%50.5%12.2%7.0%-56.0K11.1M-17.0K1.1395.65N/AN/A829330,21955,695
2018-12-11$2.54$2.5073.9%17.7%54.9%59.9%57.5%11.5%-5.2%-56.1K11.6M-19.0K4.9025.64N/AN/A11355430,22755,566
2018-12-12$2.51$2.5054.7%15.7%54.1%37.4%53.0%3.3%0.2%-39.5K11.7M-19.2K2.3434.84N/AN/A21049130,28855,746
2018-12-13$2.51$2.5055.5%15.9%52.5%38.3%52.7%2.0%-0.1%-30.2K11.8M-17.5K2.2227.61N/AN/A22048830,32855,756
2018-12-14$2.50$2.5056.3%16.1%51.1%39.2%53.4%-4.7%5.0%-39.8K11.8M-17.6K1.8734.05N/AN/A26549530,42155,883
2018-12-17$2.30$2.5066.5%19.1%57.4%51.2%65.7%14.9%-3.7%-14.5K11.2M-15.3K0.7123.41N/AN/A31422230,46355,815
2018-12-18$2.07$2.5069.0%19.8%65.9%54.1%69.0%16.8%-7.1%-11.6K10.3M-12.7K1.1524.97N/AN/A1,4371,64830,27455,806
2018-12-19$1.91$2.5073.4%21.0%70.1%59.3%65.3%1.7%1.2%-11.9K9.5M-10.6K1.6724.85N/AN/A1,5972,67430,74156,989
2018-12-20$1.94$2.5063.9%18.3%65.5%48.2%64.2%9.5%28.9%-12.9K10.0M-11.5K0.6774.82N/AN/A2,3991,59930,81558,637
2018-12-21$2.02$2.5072.6%20.8%67.1%58.3%72.8%1.7%-10.8%-13.7K9.8M-14.3K0.1946.34N/AN/A5,1461,00031,76558,440
2018-12-24$1.83$2.5081.2%23.3%71.9%68.5%81.7%-15.6%2.5%-8.7K2.8M-10.5K0.2830.75N/AN/A1,98955116,53622,490
2018-12-26$2.00$2.5073.0%20.9%80.5%58.8%88.3%9.8%7.8%-11.9K2.6M-13.5K0.2248.34N/AN/A62113916,67222,480
2018-12-27$2.00$2.5074.9%21.5%80.4%61.1%75.1%-1.6%3.6%-11.2K2.7M-13.1K0.3829.17N/AN/A40415216,97422,491
2018-12-28$2.04$2.5063.7%18.3%81.1%47.9%63.7%14.1%12.5%-11.6K2.5M-14.0K0.2432.79N/AN/A80819217,06522,497
2018-12-31$1.90$2.0083.4%23.9%83.7%71.0%83.7%-3.4%-12.2%-7.5K2.4M-12.2K0.9026.79N/AN/A26924117,58221,505