CBL Options History — October 2019

In October 2019, CBL traded between $1.14 and $1.56. ATM implied volatility averaged 85.3%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded below realized volatility by 34.7% (HV 20d: 120.0%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.37.

Notable Days

  • 2019-10-04: Highest Volume — 2,199 contracts
  • 2019-10-31: Largest IV spike — 47.9% change
  • 2019-10-08: Highest IV Rank — 73.2%
  • 2019-10-31: Largest Expected Move — 36.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.39$1.14$1.56$1.14$1.41
Max Pain$1.26$1.00$2.00$1.00$1.00
ATM IV85.3%51.1%133.4%89.5%128.2%
Expected Move23.8%14.7%36.7%25.7%36.7%
HV 20d120.0%61.6%180.7%180.7%68.6%
HV 60d124.3%121.3%125.9%125.8%121.8%
IV Rank39.5%15.6%73.2%42.5%69.6%
IV Percentile60.7%8.3%99.2%77.0%98.4%
Term Structure7.8%-58.9%37.5%-39.8%-58.9%
VWIV97.8%68.4%131.5%129.5%131.5%
Skew 25d28.3%-9.1%58.1%58.1%17.6%
Skew 10d31.9%2.0%61.9%61.5%6.5%
Call IV 25d63.2%42.5%84.8%73.5%58.0%
Put IV 25d91.5%65.0%131.6%131.6%75.7%
Bid-Ask Spread %28.2416.7958.1425.1524.03
Gamma HHI0.290.260.330.260.33
Net GEX10.0K6.4K13.3K6.4K11.9K
Net DEX208.6K-21.2K372.3K291.8K170.8K
Net VEX-10.0K-10.9K-8.6K-9.1K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.002.090.160.17
Total Volume564.826382,199362968
Total OI41,49740,91542,91140,97042,911

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-10-01$1.14$1.0089.5%25.7%180.7%42.5%129.5%58.1%-39.8%6.4K291.8K-9.1K0.1625.15N/AN/A3125024,17416,796
2019-10-02$1.19$1.0087.9%25.2%179.3%41.4%108.5%47.0%12.6%6.7K241.6K-9.6K0.5717.07N/AN/A47727224,42116,787
2019-10-03$1.23$2.0082.1%31.2%179.4%37.3%0.0%28.2%-4.3%7.0K293.7K-9.7K0.5258.14N/AN/A251324,77816,934
2019-10-04$1.23$2.00101.6%31.6%176.3%51.0%0.0%35.0%30.9%7.3K313.7K-9.6K0.0052.22N/AN/A2,197224,78816,938
2019-10-07$1.25$2.00129.1%26.7%176.2%70.2%104.9%30.2%-5.7%7.5K275.9K-9.7K0.1320.58N/AN/A941224,51616,939
2019-10-08$1.26$2.00133.4%22.6%160.8%73.2%0.0%25.5%7.1%7.6K283.6K-9.6K0.4538.64N/AN/A472124,51616,939
2019-10-09$1.20$2.00101.7%29.1%134.1%51.0%92.1%17.6%18.4%7.2K296.6K-9.3K0.1235.90N/AN/A1952324,49616,940
2019-10-10$1.15$2.00102.0%29.3%124.9%51.3%102.0%40.1%17.9%7.3K372.3K-8.6K0.0121.38N/AN/A81124,53416,941
2019-10-11$1.30$1.0077.7%22.3%124.2%34.2%88.2%15.7%2.0%8.5K363.8K-9.2K0.0246.40N/AN/A5811024,58716,941
2019-10-14$1.40$1.0078.2%22.4%113.5%34.6%92.3%36.4%-5.4%9.5K222.0K-10.0K0.1230.23N/AN/A90010524,44416,940
2019-10-15$1.46$1.0093.2%26.7%113.9%45.1%97.3%49.8%-26.3%10.1K147.2K-10.5K0.4523.70N/AN/A34515524,23017,019
2019-10-16$1.45$1.0084.8%24.3%112.7%39.2%94.4%54.0%-6.0%10.4K225.6K-10.1K0.0230.70N/AN/A314524,36617,037
2019-10-17$1.48$1.0093.3%26.7%112.7%45.2%68.4%23.6%-20.8%11.0K210.1K-10.3K0.1231.68N/AN/A1712024,58317,039
2019-10-18$1.48$1.0066.8%19.2%112.7%26.6%86.7%22.5%35.5%11.0K215.8K-10.3K0.8232.21N/AN/A453724,61117,047
2019-10-21$1.56$1.0064.3%18.4%104.0%24.9%77.8%33.3%37.5%11.2K43.5K-10.9K0.1524.27N/AN/A1,05515523,99816,941
2019-10-22$1.54$1.0064.2%18.4%103.7%24.8%87.0%26.8%36.5%11.9K165.0K-10.5K0.2518.41N/AN/A2716923,87317,042
2019-10-23$1.52$1.0063.8%18.3%103.4%24.5%106.0%28.9%29.2%12.2K207.9K-10.1K0.0419.62N/AN/A5022023,94117,006
2019-10-24$1.53$1.0055.2%15.8%92.2%18.5%131.5%22.1%30.0%12.5K176.8K-10.4K2.0916.79N/AN/A21544924,01917,007
2019-10-25$1.55$1.0059.3%17.0%84.0%21.4%0.0%9.9%24.5%13.3K89.4K-10.4K0.8624.68N/AN/A595124,22117,093
2019-10-28$1.56$1.0051.1%14.7%77.3%15.6%0.0%-9.1%21.1%13.3K76.4K-10.5K0.4317.13N/AN/A88738324,24317,128
2019-10-29$1.56$1.0067.1%19.2%61.6%26.8%0.0%13.6%20.1%13.1K-21.2K-10.9K0.4117.70N/AN/A2038424,95917,226
2019-10-30$1.51$1.0086.7%24.8%63.0%40.5%0.0%23.8%23.2%12.6K135.8K-10.4K0.5123.00N/AN/A73637425,03017,512
2019-10-31$1.41$1.00128.2%36.7%68.6%69.6%0.0%17.6%-58.9%11.9K170.8K-10.0K0.1724.03N/AN/A82814025,21217,699