CBL Options History — July 2019

In July 2019, CBL traded between $0.95 and $1.25. ATM implied volatility averaged 90.9%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 26.0%. IV traded above realized volatility by 5.1% (HV 20d: 85.8%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.60.

Notable Days

  • 2019-07-26: Highest Volume — 1,241 contracts
  • 2019-07-17: Largest IV spike — 39.7% change
  • 2019-07-18: Highest IV Rank — 59.5%
  • 2019-07-18: Largest Expected Move — 32.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.06$0.95$1.25$1.03$1.08
Max Pain$1.00$1.00$1.00$1.00$1.00
ATM IV90.9%65.1%111.8%96.8%111.4%
Expected Move26.0%18.7%32.1%27.7%31.9%
HV 20d85.8%75.2%97.8%97.8%79.8%
HV 60d92.5%86.6%96.0%92.8%86.6%
IV Rank45.3%27.9%59.5%49.3%59.2%
IV Percentile83.3%52.0%98.0%91.7%97.2%
Term Structure0.8%-22.5%37.8%-18.2%-22.5%
VWIV86.1%64.5%111.5%96.7%84.1%
Skew 25d37.2%22.6%60.8%45.7%36.6%
Skew 10d35.9%24.9%59.3%26.2%37.8%
Call IV 25d55.9%39.0%72.0%43.6%56.1%
Put IV 25d93.0%85.4%119.1%89.3%92.7%
Bid-Ask Spread %35.2910.5460.2128.7923.86
Gamma HHI0.250.190.570.250.24
Net GEX740-8.8K3.6K-7973.4K
Net DEX859.1K750.2K1.1M929.0K797.8K
Net VEX-6.2K-7.2K-5.0K-6.1K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.013.143.140.12
Total Volume514.227871,24187609
Total OI34,536.532,91035,67334,31634,571

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-07-01$1.03$1.0096.8%27.7%97.8%49.3%96.7%45.7%-18.2%-797929.0K-6.1K3.1428.79N/AN/A216616,86217,454
2019-07-02$1.00$1.0087.3%25.0%96.2%42.9%87.3%38.8%11.6%-1.3K920.1K-6.0K1.0010.54N/AN/A767616,88217,446
2019-07-03$1.03$1.0087.1%25.0%96.4%42.7%74.9%37.3%37.8%-1.2K902.1K-6.2K0.5414.49N/AN/A1407516,91117,448
2019-07-05$1.03$1.0093.2%25.9%96.4%46.9%91.8%37.6%-2.0%-1.8K911.3K-6.2K0.9648.08N/AN/A19318616,97617,353
2019-07-08$1.12$1.00111.6%27.5%86.5%59.4%0.0%39.3%-0.2%402912.2K-6.5K0.4840.33N/AN/A1286217,03617,428
2019-07-09$1.17$1.0072.2%25.5%82.7%32.6%75.4%47.3%10.2%673821.7K-7.0K0.2132.85N/AN/A50910517,33817,480
2019-07-10$1.25$1.0081.0%23.2%85.6%38.6%73.1%29.3%-5.3%3.3K819.9K-7.2K0.4635.25N/AN/A48122117,52517,543
2019-07-11$1.16$1.0070.5%20.2%90.0%31.5%64.7%22.6%6.0%-5838.9K-7.0K0.6454.41N/AN/A38124217,47117,607
2019-07-12$1.14$1.0072.5%20.8%89.8%32.8%65.4%41.9%14.2%196921.4K-6.4K0.8946.27N/AN/A27124017,51017,630
2019-07-15$1.12$1.0087.1%25.0%90.0%42.7%0.0%38.4%5.1%-1.1K883.6K-6.2K0.0640.31N/AN/A101617,52917,636
2019-07-16$1.16$1.0065.1%18.7%87.2%27.9%64.5%37.3%27.5%3.4K813.7K-6.7K0.1228.95N/AN/A2062517,63017,634
2019-07-17$1.08$1.0091.0%26.1%90.4%45.4%91.1%38.9%7.4%-2.7K829.8K-6.3K0.6832.66N/AN/A23515917,68417,650
2019-07-18$1.00$1.00111.8%32.1%93.4%59.5%111.5%44.1%-14.1%-8.8K856.2K-6.1K0.7225.00N/AN/A39028217,78017,776
2019-07-19$0.97$1.00103.4%29.6%88.5%53.8%103.6%23.8%-18.9%2.6K1.1M-5.1K0.2738.60N/AN/A79021517,87817,795
2019-07-22$0.95$1.0096.4%27.6%75.2%49.1%96.4%25.2%-8.8%2.3K861.1K-5.0K0.3420.39N/AN/A39813717,28615,624
2019-07-23$1.00$1.0084.8%24.3%76.1%41.2%84.8%45.1%1.6%2.6K842.6K-5.5K0.4544.80N/AN/A72833017,54515,648
2019-07-24$1.02$1.0091.9%26.4%76.5%46.0%89.5%41.3%6.1%2.9K750.2K-6.3K0.7150.00N/AN/A34024117,95615,837
2019-07-25$0.96$1.0090.1%25.8%76.5%44.8%90.4%25.9%-9.5%2.8K815.0K-5.3K0.4760.21N/AN/A55626218,06715,842
2019-07-26$1.00$1.00105.1%30.1%77.1%54.9%105.1%24.6%-16.4%3.0K804.9K-5.8K0.8558.00N/AN/A67157018,24215,857
2019-07-29$1.01$1.0084.3%24.2%75.8%40.8%84.1%60.8%23.3%2.8K773.3K-6.1K0.0116.85N/AN/A171118,23715,927
2019-07-30$1.09$1.00106.1%30.4%80.6%55.6%0.0%35.7%-17.8%3.6K810.0K-6.2K0.1125.85N/AN/A3754218,34415,928
2019-07-31$1.08$1.00111.4%31.9%79.8%59.2%0.0%36.6%-22.5%3.4K797.8K-6.2K0.1223.86N/AN/A5446518,60515,966