CBL Options History — January 2020

In January 2020, CBL traded between $0.85 and $1.05. ATM implied volatility averaged 84.9%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 41.9% (HV 20d: 43.0%). Max pain ranged from $1.00 to $4.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.92.

Notable Days

  • 2020-01-06: Highest Volume — 1,713 contracts
  • 2020-01-14: Largest IV spike — 83.1% change
  • 2020-01-14: Highest IV Rank — 94.1%
  • 2020-01-24: Largest Expected Move — 29.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.99$0.85$1.05$1.01$0.85
Max Pain$1.29$1.00$4.00$4.00$1.00
ATM IV84.9%45.5%163.2%90.8%62.0%
Expected Move24.2%13.0%29.8%26.0%17.8%
HV 20d43.0%34.2%58.1%58.1%38.9%
HV 60d86.4%81.1%91.8%91.8%81.1%
IV Rank39.3%11.7%94.1%43.4%23.2%
IV Percentile52.8%4.4%99.6%66.3%21.4%
Term Structure11.4%-7.8%51.4%-3.9%33.1%
VWIV83.2%39.6%103.6%75.0%62.2%
Skew 25d31.6%7.7%54.2%7.7%20.3%
Skew 10d55.2%41.0%71.0%53.7%67.4%
Call IV 25d69.9%47.9%109.7%109.7%89.5%
Put IV 25d101.5%94.7%117.4%117.4%109.8%
Bid-Ask Spread %34.2015.1661.0118.7126.67
Gamma HHI0.310.240.410.280.37
Net GEX-1.9K-3.9K-302-771-605
Net DEX1.3M712.6K1.8M1.7M803.4K
Net VEX-5.8K-6.5K-4.5K-6.5K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.920.0129.313.590.02
Total Volume258.09581,713381279
Total OI41,65029,61150,41249,71130,924

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$1.01$4.0090.8%26.0%58.1%43.4%75.0%7.7%-3.9%-7711.7M-6.5K3.5918.71N/AN/A8329822,56527,146
2020-01-03$1.01$4.0079.8%22.9%57.7%35.7%92.5%18.7%19.5%-2.7K1.7M-6.5K0.1915.16N/AN/A1132122,58827,230
2020-01-06$1.04$1.00104.2%29.8%49.7%52.8%0.0%20.0%-7.8%-2.2K1.8M-6.4K4.9161.01N/AN/A2901,42322,63927,229
2020-01-07$1.02$1.0055.9%28.0%48.7%19.0%97.6%14.7%-6.9%-3.4K1.8M-6.1K0.0138.81N/AN/A107122,83827,504
2020-01-08$1.05$1.0076.3%27.9%49.5%33.2%97.0%12.8%-1.5%-3.2K1.8M-6.4K0.1235.88N/AN/A891122,94327,406
2020-01-09$1.02$1.0083.7%25.7%46.5%38.4%89.7%7.7%9.1%-3.3K1.7M-6.4K0.6051.24N/AN/A5322,90927,417
2020-01-10$1.02$1.0089.4%26.3%45.4%42.5%0.0%44.0%4.7%-3.4K1.7M-6.3K0.6051.24N/AN/A15922,91427,416
2020-01-13$1.01$1.0089.2%24.6%44.1%42.3%0.0%54.2%24.7%-3.9K1.7M-6.2K7.0044.57N/AN/A21422,91427,418
2020-01-14$1.02$1.00163.2%24.8%40.5%94.1%89.3%53.2%24.1%-2.7K1.7M-6.3K0.5543.16N/AN/A402222,91427,396
2020-01-15$1.02$1.0096.9%27.8%39.9%47.7%97.2%21.9%5.2%-2.3K1.7M-6.1K2.9151.24N/AN/A4713722,91627,404
2020-01-16$1.03$1.0085.2%24.4%39.4%39.5%85.5%52.1%2.4%-2.4K1.8M-5.8K0.2035.90N/AN/A701422,91427,440
2020-01-17$1.04$1.0077.9%22.3%38.9%34.4%77.9%19.0%26.1%-1.9K1.7M-6.2K0.2323.77N/AN/A481122,96927,443
2020-01-21$1.04$1.0091.6%26.3%37.4%44.0%90.6%35.6%0.0%-819712.6K-5.8K1.1236.83N/AN/A25428413,74315,868
2020-01-22$1.03$1.0084.6%24.2%37.3%39.1%84.6%45.3%9.2%-1.3K772.7K-5.5K0.0726.10N/AN/A60413,66816,141
2020-01-23$1.01$1.0086.3%24.8%34.2%40.3%86.3%50.8%9.5%-1.3K737.6K-5.5K0.1026.10N/AN/A29313,71516,142
2020-01-24$0.96$1.00103.9%29.8%36.4%52.6%103.6%26.6%-5.3%-1.4K722.7K-5.4K2.3141.67N/AN/A14934413,73616,142
2020-01-27$0.89$1.0059.3%17.0%42.9%21.4%71.6%45.9%7.0%-302727.9K-4.8K7.1018.72N/AN/A5941913,78916,179
2020-01-28$0.88$1.0045.5%13.0%39.3%11.7%39.6%47.7%51.4%-1.2K757.4K-4.8K29.3117.95N/AN/A1338113,83516,596
2020-01-29$0.88$1.0061.5%17.6%39.3%22.9%70.5%48.2%39.5%-912801.4K-4.7K0.1326.84N/AN/A1151513,87216,947
2020-01-30$0.87$1.0095.4%27.4%39.2%46.7%87.8%16.3%-0.5%-726795.1K-4.6K0.1826.73N/AN/A1182113,93116,950
2020-01-31$0.85$1.0062.0%17.8%38.9%23.2%62.2%20.3%33.1%-605803.4K-4.5K0.0226.67N/AN/A274513,95416,970