CBL Options History — November 2019 In November 2019, CBL traded between $1.23 and $1.69. ATM implied volatility averaged 84.7%, placing in the 39.1% IV rank vs the trailing year. The 30-day expected move averaged 24.9%. IV traded above realized volatility by 11.1% (HV 20d: 73.5%). Max pain ranged from $1.00 to $1.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.69.
Notable Days 2019-11-04 : Highest Volume — 10,726 contracts2019-11-07 : Largest IV spike — 64.4% change2019-11-07 : Highest IV Rank — 55.1%2019-11-05 : Largest Expected Move — 29.8%Monthly Statistics Metric Avg Min Max Open Close Price $1.46 $1.23 $1.69 $1.58 $1.42 Max Pain $1.48 $1.00 $1.50 $1.00 $1.50 ATM IV 84.7% 65.4% 107.5% 87.4% 70.8% Expected Move 24.9% 20.2% 29.8% 25.0% 20.3% HV 20d 73.5% 66.0% 79.4% 78.3% 76.4% HV 60d 120.9% 117.6% 123.5% 123.5% 117.7% IV Rank 39.1% 25.6% 55.1% 41.0% 29.4% IV Percentile 62.1% 35.3% 92.9% 71.8% 35.3% Term Structure 4.0% -8.0% 25.7% 14.1% 25.7% VWIV 85.6% 62.9% 96.3% 91.3% 88.3% Skew 25d 2.4% -49.0% 36.9% 24.9% 10.8% Skew 10d 5.2% -12.9% 27.0% 11.7% 11.1% Call IV 25d 75.4% 50.0% 111.4% 50.0% 69.2% Put IV 25d 77.8% 54.9% 95.9% 75.0% 80.0% Bid-Ask Spread % 32.24 21.23 45.31 26.96 31.76 Gamma HHI 0.32 0.26 0.37 0.33 0.36 Net GEX 3.1K 1.3K 14.1K 14.1K 2.3K Net DEX 956.3K -34.2K 1.3M 122.2K 1.1M Net VEX -13.2K -15.7K -10.6K -10.6K -12.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.69 0.02 21.72 0.60 0.02 Total Volume 1,119.2 77 10,726 914 83 Total OI 52,503.3 43,016 53,967 43,016 53,730
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2019-11-01 $1.58 $1.00 87.4% 25.0% 78.3% 41.0% 0.0% 24.9% 14.1% 14.1K 122.2K -10.6K 0.60 26.96 N/A N/A 570 344 25,169 17,847 2019-11-04 $1.63 $1.50 78.8% 26.6% 78.6% 35.0% 91.3% 9.8% -0.2% 13.0K -34.2K -11.2K 21.72 42.72 N/A N/A 472 10,254 25,194 17,983 2019-11-05 $1.69 $1.50 76.1% 29.8% 78.9% 33.1% 96.1% 24.9% -6.8% 1.3K 738.7K -15.7K 0.08 22.81 N/A N/A 598 47 25,463 28,035 2019-11-06 $1.61 $1.50 65.4% 26.2% 78.9% 25.6% 82.7% -0.2% 6.7% 1.5K 794.2K -15.4K 0.06 36.29 N/A N/A 1,796 112 25,452 28,059 2019-11-07 $1.64 $1.50 107.5% 27.7% 76.0% 55.1% 80.3% 36.9% -6.2% 1.5K 804.1K -15.5K 0.10 35.50 N/A N/A 163 16 25,863 28,070 2019-11-08 $1.55 $1.50 102.6% 26.0% 69.5% 51.6% 83.5% 27.6% 0.4% 2.0K 914.7K -15.0K 4.50 37.19 N/A N/A 14 63 25,844 28,077 2019-11-11 $1.46 $1.50 97.7% 28.0% 69.1% 48.2% 93.9% -30.8% 4.0% 1.4K 950.6K -14.3K 0.10 24.90 N/A N/A 633 61 25,846 28,070 2019-11-12 $1.50 $1.50 97.8% 28.0% 68.1% 48.3% 96.3% 10.2% -3.3% 2.1K 1.0M -14.2K 0.02 25.29 N/A N/A 804 20 25,816 28,066 2019-11-13 $1.46 $1.50 93.0% 26.7% 68.8% 45.0% 93.0% 1.8% 3.3% 1.6K 1.1M -13.9K 0.12 33.47 N/A N/A 1,021 124 25,905 28,062 2019-11-14 $1.46 $1.50 94.3% 27.0% 68.4% 45.9% 86.4% 2.2% -2.5% 2.2K 1.1M -13.5K 0.15 32.90 N/A N/A 718 105 25,439 28,042 2019-11-15 $1.49 $1.50 88.3% 25.3% 68.8% 41.7% 88.4% 17.1% 8.7% 1.5K 1.1M -13.9K 0.03 43.91 N/A N/A 512 17 25,610 28,137 2019-11-18 $1.48 $1.50 84.7% 24.3% 66.0% 39.1% 84.5% -0.9% 9.5% 2.2K 1.0M -13.9K 3.10 37.43 N/A N/A 91 282 25,514 27,927 2019-11-19 $1.41 $1.50 94.6% 27.1% 67.9% 46.1% 94.7% -4.4% -8.0% 2.3K 1.1M -13.2K 0.15 34.39 N/A N/A 136 21 25,566 28,048 2019-11-20 $1.35 $1.50 74.4% 21.3% 69.2% 31.9% 73.9% -4.3% 6.7% 1.8K 1.2M -12.6K 0.03 29.44 N/A N/A 184 6 25,500 28,055 2019-11-21 $1.23 $1.50 70.6% 20.2% 75.6% 29.3% 62.9% -49.0% 3.8% 1.6K 1.3M -11.4K 0.37 26.20 N/A N/A 547 205 25,362 28,057 2019-11-22 $1.26 $1.50 79.1% 22.7% 76.2% 35.3% 85.0% -13.6% -4.8% 2.3K 1.2M -11.4K 0.19 21.23 N/A N/A 171 33 25,055 27,885 2019-11-25 $1.31 $1.50 72.5% 20.8% 78.0% 30.6% 72.5% -5.6% 15.0% 2.6K 1.2M -11.8K 2.12 29.64 N/A N/A 66 140 25,038 27,871 2019-11-26 $1.33 $1.50 74.7% 21.4% 78.4% 32.2% 87.7% -8.8% 9.9% 2.2K 1.3M -11.9K 0.21 27.44 N/A N/A 712 150 25,046 28,007 2019-11-27 $1.38 $1.50 82.9% 23.8% 79.4% 37.9% 88.3% -0.6% 4.9% 2.5K 1.1M -12.5K 0.16 45.31 N/A N/A 944 149 25,199 28,157 2019-11-29 $1.42 $1.50 70.8% 20.3% 76.4% 29.4% 0.0% 10.8% 25.7% 2.3K 1.1M -12.7K 0.02 31.76 N/A N/A 81 2 25,625 28,105
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