CBL Options History — March 2019

In March 2019, CBL traded between $1.46 and $2.00. ATM implied volatility averaged 54.2%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 10.5% (HV 20d: 64.7%). Max pain ranged from $1.50 to $3.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2019-03-27: Highest Volume — 3,871 contracts
  • 2019-03-27: Largest IV spike — 77.1% change
  • 2019-03-29: Highest IV Rank — 62.0%
  • 2019-03-06: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.85$1.46$2.00$2.00$1.55
Max Pain$2.52$1.50$3.50$3.50$1.50
ATM IV54.2%28.8%75.7%72.0%75.7%
Expected Move17.4%13.3%21.3%20.7%21.0%
HV 20d64.7%46.6%118.7%58.4%117.8%
HV 60d64.5%54.0%79.8%65.8%79.1%
IV Rank36.8%6.9%62.0%57.7%62.0%
IV Percentile49.5%4.0%87.7%82.5%87.7%
Term Structure8.2%-23.9%49.9%-23.9%-4.3%
VWIV61.4%44.6%87.2%77.2%87.2%
Skew 25d4.6%-19.1%68.8%3.5%19.7%
Skew 10d15.4%-5.0%101.2%14.2%34.5%
Call IV 25d51.1%33.6%72.0%68.1%63.1%
Put IV 25d55.8%36.1%140.7%71.6%82.8%
Bid-Ask Spread %28.4915.6253.2320.2139.68
Gamma HHI0.280.210.470.470.25
Net GEX-3.7K-36.7K5.3K-36.7K1.9K
Net DEX3.9M1.3M6.3M6.1M1.4M
Net VEX-12.4K-14.0K-8.2K-14.0K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.123.410.611.03
Total Volume1,564.3811443,8711,1631,939
Total OI53,306.66732,54271,28368,37936,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-03-01$2.00$3.5072.0%20.7%58.4%57.7%77.2%3.5%-23.9%-36.7K6.1M-14.0K0.6120.21N/AN/A72344024,83043,549
2019-03-04$1.97$3.5071.2%20.4%58.2%56.7%70.9%1.8%0.0%-19.2K6.2M-13.3K0.5315.62N/AN/A48425725,08243,753
2019-03-05$1.95$3.5064.1%18.4%58.2%48.3%71.8%8.0%-0.4%-15.3K6.2M-13.2K2.4618.04N/AN/A38394425,43243,931
2019-03-06$1.90$3.5074.1%21.3%57.2%60.2%56.0%1.1%0.9%-17.9K6.1M-12.7K1.7216.88N/AN/A56497025,47244,203
2019-03-07$1.92$3.5052.2%15.0%57.7%34.4%58.6%5.0%-8.1%-3.1K6.2M-13.0K0.7824.57N/AN/A1,10186225,67744,329
2019-03-08$1.89$3.5054.3%15.6%54.4%36.9%80.9%6.2%12.6%-2.2K6.3M-12.3K3.4119.60N/AN/A24784325,97044,281
2019-03-11$1.87$2.5070.1%16.9%52.7%55.4%46.8%-19.1%-3.0%-1.7K6.3M-12.2K0.9029.92N/AN/A45641226,06444,304
2019-03-12$1.86$2.5036.7%15.9%48.9%16.2%54.8%-2.3%28.5%-6.2K6.1M-12.3K1.7226.59N/AN/A17129426,29944,185
2019-03-13$1.95$2.5062.0%18.3%46.6%45.8%50.1%-6.4%0.6%-2.3K6.3M-13.0K1.0820.35N/AN/A45849526,40744,282
2019-03-14$2.00$2.5058.5%17.5%47.7%41.7%44.6%-1.8%1.9%-6.1K6.3M-13.5K1.1023.76N/AN/A37441226,67244,482
2019-03-15$1.80$2.5028.8%16.1%58.0%6.9%56.5%-5.8%24.3%2.7K6.2M-11.1K1.4129.25N/AN/A46565626,72144,562
2019-03-18$1.84$0.0033.1%13.3%59.0%12.0%59.3%-5.1%9.7%2.4K1.5M-11.3K0.6053.23N/AN/A76445516,56615,976
2019-03-19$1.91$2.0055.2%15.9%60.5%38.0%49.8%-11.7%-5.4%1.2K1.5M-12.9K0.3139.12N/AN/A1,92059516,71016,380
2019-03-20$1.90$2.0043.2%16.1%60.4%23.8%50.1%-6.6%16.9%3.5K1.3M-13.2K0.2947.65N/AN/A2,38668417,96716,520
2019-03-21$1.88$2.0043.9%17.3%60.2%24.6%52.1%13.1%31.6%4.9K1.4M-12.8K0.1831.29N/AN/A2,59946518,53916,604
2019-03-22$1.84$2.0035.6%16.7%58.7%14.9%58.1%3.5%25.4%4.2K1.4M-12.5K0.2225.05N/AN/A2,35552418,62716,608
2019-03-25$1.85$2.0038.4%14.2%58.1%18.2%72.3%-8.0%8.9%5.1K1.4M-12.9K0.3720.08N/AN/A1053918,63516,641
2019-03-26$1.91$2.0042.1%16.1%57.6%22.5%56.4%-9.9%12.6%5.3K1.3M-13.1K0.1234.40N/AN/A3163718,64816,680
2019-03-27$1.46$2.0074.6%19.4%110.0%60.6%69.6%68.8%-5.8%1.4K1.6M-8.2K1.3226.70N/AN/A1,6722,19918,77916,686
2019-03-28$1.64$1.5052.9%19.2%118.7%35.2%66.4%43.5%49.9%311.5M-11.2K0.9136.39N/AN/A93485318,95017,121
2019-03-29$1.55$1.5075.7%21.0%117.8%62.0%87.2%19.7%-4.3%1.9K1.4M-10.8K1.0339.68N/AN/A95398619,16917,147