CBL Options History — September 2019

In September 2019, CBL traded between $0.83 and $1.59. ATM implied volatility averaged 90.9%, placing in the 45.2% IV rank vs the trailing year. The 30-day expected move averaged 25.3%. IV traded below realized volatility by 55.1% (HV 20d: 146.0%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2019-09-11: Highest Volume — 3,783 contracts
  • 2019-09-25: Largest IV spike — 56.1% change
  • 2019-09-17: Highest IV Rank — 60.4%
  • 2019-09-17: Largest Expected Move — 32.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.19$0.83$1.59$0.83$1.28
Max Pain$1.00$1.00$1.00$1.00$1.00
ATM IV90.9%63.5%113.2%73.7%96.2%
Expected Move25.3%17.0%32.5%21.1%27.6%
HV 20d146.0%93.4%177.7%93.4%177.7%
HV 60d109.2%86.5%124.6%86.6%124.6%
IV Rank45.2%26.8%60.4%33.7%47.2%
IV Percentile75.7%37.7%97.2%57.5%82.9%
Term Structure-0.9%-45.1%39.7%-28.6%-25.9%
VWIV92.3%54.8%134.7%69.5%110.2%
Skew 25d29.4%-10.4%66.7%51.1%54.3%
Skew 10d39.4%-0.1%66.2%66.2%63.8%
Call IV 25d73.4%48.8%101.7%98.9%60.1%
Put IV 25d102.8%76.9%150.0%150.0%114.3%
Bid-Ask Spread %29.7712.3956.5712.3924.32
Gamma HHI0.230.180.310.230.25
Net GEX7.0K3.0K8.4K3.0K7.5K
Net DEX340.4K-68.5K736.4K736.4K134.7K
Net VEX-8.3K-11.1K-4.7K-4.7K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.010.940.030.87
Total Volume928.05843,783427459
Total OI39,756.737,23241,77638,79140,724

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$0.83$1.0073.7%21.1%93.4%33.7%0.0%51.1%-28.6%3.0K736.4K-4.7K0.0312.39N/AN/A4141323,07715,714
2019-09-04$0.90$1.0063.5%18.2%96.5%26.8%69.5%28.1%-2.6%6.5K642.5K-5.7K0.0813.83N/AN/A4283423,32115,700
2019-09-05$0.90$1.0083.0%23.0%93.4%40.0%83.2%66.7%1.4%5.7K648.2K-5.5K0.0133.55N/AN/A596323,31615,708
2019-09-06$1.00$1.0096.2%23.9%100.2%48.9%85.3%23.9%2.8%7.5K549.2K-6.7K0.3050.91N/AN/A2507423,68215,710
2019-09-09$1.02$1.00107.0%29.5%97.7%56.2%106.0%5.3%-14.6%8.1K582.7K-6.4K0.1642.40N/AN/A2664223,71715,745
2019-09-10$1.25$1.0095.7%17.0%119.0%48.5%56.8%33.0%34.1%8.2K330.2K-8.0K0.3429.80N/AN/A1,16540123,97915,787
2019-09-11$1.59$1.0095.8%27.5%142.3%48.6%88.5%46.3%-5.0%6.8K-68.5K-10.5K0.2156.57N/AN/A3,12865523,53916,203
2019-09-12$1.37$1.0087.8%25.2%148.4%43.2%110.2%22.8%-24.4%7.5K149.4K-9.5K0.2835.18N/AN/A1,16832224,02616,492
2019-09-13$1.20$1.00105.6%30.3%158.7%55.3%105.4%-10.4%11.8%6.4K263.0K-9.2K0.7027.37N/AN/A36825724,41616,620
2019-09-16$1.04$1.00112.6%32.3%168.9%60.0%114.1%46.5%-11.7%7.6K419.1K-7.6K0.9435.64N/AN/A74470124,65016,509
2019-09-17$1.05$1.00113.2%32.5%168.8%60.4%114.3%8.9%-16.5%7.9K413.6K-7.6K0.2435.05N/AN/A681624,87216,551
2019-09-18$1.12$1.0085.0%24.4%169.8%41.3%84.6%19.0%17.4%5.3K328.9K-7.9K0.1024.93N/AN/A5896024,88616,522
2019-09-19$1.15$1.00101.9%29.2%169.8%52.7%134.7%24.2%-24.6%6.2K235.0K-8.3K0.0521.52N/AN/A3111625,32516,451
2019-09-20$1.16$1.0068.6%19.7%168.3%30.2%73.4%35.7%39.7%5.9K287.8K-8.9K0.6026.50N/AN/A925524,31816,464
2019-09-23$1.33$1.0071.9%20.6%173.0%32.4%56.9%53.4%23.3%7.3K388.9K-9.0K0.4126.88N/AN/A38015721,83615,396
2019-09-24$1.38$1.0064.2%18.4%166.8%27.2%54.8%10.6%39.4%7.1K245.3K-9.9K0.1921.15N/AN/A61711922,06415,494
2019-09-25$1.35$1.00100.3%28.8%164.6%51.7%124.7%47.3%-24.4%8.4K326.1K-9.3K0.2728.09N/AN/A2175822,42915,528
2019-09-26$1.54$1.0084.7%24.3%168.6%41.1%110.9%5.2%34.8%7.8K15.9K-11.1K0.5926.89N/AN/A2,1731,29122,48515,586
2019-09-27$1.39$1.00111.8%32.0%174.4%58.8%71.2%17.0%-45.1%8.3K180.5K-10.6K0.0922.46N/AN/A7876723,65216,640
2019-09-30$1.28$1.0096.2%27.6%177.7%47.2%110.2%54.3%-25.9%7.5K134.7K-10.2K0.8724.32N/AN/A24621324,03716,687