CBL Options History — December 2019

In December 2019, CBL traded between $0.99 and $1.35. ATM implied volatility averaged 101.9%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 29.2%. IV traded below realized volatility by 19.7% (HV 20d: 121.5%). Max pain ranged from $1.00 to $4.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 5.81.

Notable Days

  • 2019-12-03: Highest Volume — 4,625 contracts
  • 2019-12-03: Largest IV spike — 86.0% change
  • 2019-12-03: Highest IV Rank — 71.7%
  • 2019-12-03: Largest Expected Move — 37.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$1.07$0.99$1.35$1.35$1.04
Max Pain$3.60$1.00$4.00$1.50$4.00
ATM IV101.9%57.5%131.3%70.6%93.0%
Expected Move29.2%16.5%37.6%20.2%26.7%
HV 20d121.5%65.5%127.0%65.5%121.5%
HV 60d104.7%91.8%132.2%116.5%91.8%
IV Rank51.2%20.1%71.7%29.3%45.0%
IV Percentile77.6%13.1%98.8%34.5%68.3%
Term Structure0.3%-37.3%40.3%24.8%-11.1%
VWIV103.3%67.3%191.8%76.2%84.6%
Skew 25d26.9%-25.7%50.0%12.4%7.1%
Skew 10d42.9%2.7%59.7%2.7%57.7%
Call IV 25d78.7%62.5%120.2%68.6%101.1%
Put IV 25d105.6%46.9%122.2%81.0%108.2%
Bid-Ask Spread %21.6715.9232.4326.3016.47
Gamma HHI0.310.240.370.370.29
Net GEX460-2.3K2.1K2.1K-388
Net DEX1.6M1.3M1.8M1.3M1.7M
Net VEX-7.9K-11.6K-6.1K-11.6K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.810.0184.750.4184.75
Total Volume506.524224,6251,292343
Total OI51,655.09549,45153,83853,68149,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$1.35$1.5070.6%20.2%65.5%29.3%76.2%12.4%24.8%2.1K1.3M-11.6K0.4126.30N/AN/A91837425,57528,106
2019-12-03$1.00$1.00131.3%37.6%121.2%71.7%126.9%38.0%-37.3%1.3K1.4M-8.4K0.0932.43N/AN/A4,23439125,86327,975
2019-12-04$1.02$1.00117.1%33.6%120.3%61.8%121.4%47.1%-14.6%1.3K1.5M-7.8K0.2126.72N/AN/A71715124,38727,792
2019-12-05$1.11$4.00124.3%30.9%126.0%66.9%73.5%40.8%-6.1%1.4K1.5M-8.7K0.0322.72N/AN/A1,0013024,28727,843
2019-12-06$1.14$4.00115.3%30.8%126.3%60.6%78.7%37.9%7.7%1.2K1.5M-9.0K0.0321.72N/AN/A114324,50427,856
2019-12-09$1.11$4.0080.0%32.2%125.6%35.8%120.9%-2.7%9.9%9721.5M-8.7K0.4622.18N/AN/A1275824,50327,858
2019-12-10$1.05$4.00118.0%31.7%125.4%62.4%110.5%35.0%0.5%9831.5M-8.3K12.0022.85N/AN/A1113224,49927,857
2019-12-11$1.02$4.00105.2%30.1%124.4%53.5%107.0%44.2%16.9%7651.5M-7.9K0.6725.94N/AN/A181224,49927,864
2019-12-12$0.99$4.00110.9%31.8%124.4%57.5%128.2%23.9%-14.0%3461.5M-7.4K6.0016.82N/AN/A106024,49127,868
2019-12-13$1.04$4.00119.1%34.1%126.7%63.2%120.8%50.0%-12.6%6581.6M-7.7K3.6821.80N/AN/A3111424,49327,873
2019-12-16$1.02$4.00103.6%29.7%125.9%52.4%191.8%41.4%3.5%5801.6M-7.4K0.6125.30N/AN/A593624,49227,929
2019-12-17$1.04$4.0091.6%26.3%126.6%44.0%91.7%31.3%11.6%201.6M-7.4K7.6117.24N/AN/A4433524,46027,660
2019-12-18$1.06$4.00114.6%32.8%126.6%60.1%114.8%49.3%-17.2%5841.6M-7.6K0.1621.93N/AN/A19324,45327,895
2019-12-19$1.09$4.00114.8%32.9%127.0%60.2%80.5%47.0%-14.5%1711.6M-7.7K1.0421.62N/AN/A909424,45827,897
2019-12-20$1.10$4.0082.1%23.5%123.3%37.3%92.5%8.3%13.9%3091.6M-7.8K0.0915.92N/AN/A1181124,46627,863
2019-12-23$1.05$4.00101.7%29.2%123.6%51.0%102.6%34.2%9.9%2921.7M-7.3K0.0319.92N/AN/A295922,55527,042
2019-12-24$1.08$4.00101.4%29.1%123.1%50.8%0.0%35.6%1.6%-1861.6M-7.6K0.0119.53N/AN/A71122,53326,976
2019-12-26$1.10$4.0057.5%16.5%123.2%20.1%70.3%-25.7%40.3%-2.3K1.7M-7.1K0.1519.41N/AN/A55822,48326,975
2019-12-27$1.04$4.0096.8%27.7%123.0%47.6%67.3%3.9%-4.7%-1321.6M-7.1K2.3320.71N/AN/A122822,48026,971
2019-12-30$1.04$4.0090.4%25.9%122.1%43.1%104.9%4.9%-1.2%-3381.8M-6.1K1.6217.55N/AN/A19130922,47826,995
2019-12-31$1.04$4.0093.0%26.7%121.5%45.0%84.6%7.1%-11.1%-3881.7M-6.9K84.7516.47N/AN/A433922,56127,142