CBL Options History — February 2020

In February 2020, CBL traded between $0.50 and $0.88. ATM implied volatility averaged 103.0%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded above realized volatility by 47.1% (HV 20d: 55.9%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-02-20: Highest Volume — 1,538 contracts
  • 2020-02-12: Largest IV drop — 50.7% change
  • 2020-02-26: Highest IV Rank — 87.2%
  • 2020-02-26: Largest Expected Move — 44.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.68$0.50$0.88$0.82$0.55
Max Pain$1.84$1.00$2.00$1.00$2.00
ATM IV103.0%59.9%153.4%62.2%140.9%
Expected Move28.1%17.2%44.0%17.8%40.4%
HV 20d55.9%39.9%80.1%39.9%80.1%
HV 60d82.5%80.7%86.2%80.7%86.0%
IV Rank52.0%21.8%87.2%23.4%78.5%
IV Percentile67.2%17.5%99.2%21.8%97.6%
Term Structure-9.0%-63.0%35.3%32.6%-15.6%
VWIV74.7%50.2%92.2%50.2%59.9%
Skew 25d35.8%10.4%59.1%27.4%17.1%
Skew 10d46.3%16.2%76.3%76.3%16.2%
Call IV 25d69.9%51.1%89.9%82.4%89.9%
Put IV 25d105.7%87.1%119.9%109.7%106.9%
Bid-Ask Spread %15.958.3731.1218.9121.16
Gamma HHI0.270.210.440.440.21
Net GEX589-7961.1K-7961.1K
Net DEX762.8K585.8K883.8K837.6K662.1K
Net VEX-2.9K-4.4K-1.8K-3.9K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.057.940.157.94
Total Volume412.316231,538657313
Total OI31,519.57930,37232,73930,92030,627

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-02-03$0.82$1.0062.2%17.8%39.9%23.4%50.2%27.4%32.6%-796837.6K-3.9K0.1518.91N/AN/A5708714,04816,872
2020-02-04$0.88$1.0071.4%20.5%47.4%29.9%81.9%33.6%-2.8%-667813.1K-4.4K0.1826.84N/AN/A681214,15616,638
2020-02-05$0.87$1.0072.9%20.9%47.2%30.9%80.4%10.4%33.6%-657847.2K-4.2K0.0531.12N/AN/A4162114,18716,637
2020-02-06$0.87$2.0075.3%26.3%45.3%32.6%92.2%30.6%-3.7%-108814.8K-4.2K0.0616.34N/AN/A6363914,56816,635
2020-02-07$0.81$2.0091.5%19.2%50.0%43.9%83.6%44.0%35.3%235864.4K-3.8K0.4111.45N/AN/A93938815,18216,659
2020-02-10$0.77$2.0094.1%18.6%51.6%45.7%0.0%42.9%29.0%419883.8K-3.4K0.0913.88N/AN/A5074715,79316,946
2020-02-11$0.74$2.00121.5%17.9%52.4%64.9%59.9%50.4%24.5%730829.4K-3.4K0.1810.11N/AN/A2153915,43116,853
2020-02-12$0.72$2.0059.9%17.2%51.7%21.8%0.0%42.6%16.1%1.0K832.1K-3.3K0.449.07N/AN/A16715,33216,835
2020-02-13$0.70$2.0075.1%21.5%51.4%32.4%0.0%42.5%17.2%1.0K802.5K-3.2K1.5012.86N/AN/A304515,33816,838
2020-02-14$0.69$2.0074.7%21.4%50.3%32.2%0.0%32.4%14.9%1.0K821.1K-3.0K3.708.37N/AN/A2710015,48016,796
2020-02-18$0.67$2.0075.1%21.5%49.1%32.4%0.0%22.8%7.3%916799.2K-2.8K0.1412.87N/AN/A36515,48216,790
2020-02-19$0.60$2.00105.3%30.2%57.5%53.6%0.0%23.6%-52.9%927748.9K-2.5K1.169.64N/AN/A14717015,50116,790
2020-02-20$0.55$2.00120.3%34.5%60.8%64.1%0.0%42.6%-61.1%1.1K707.9K-2.1K0.1416.34N/AN/A1,35318515,61616,711
2020-02-21$0.55$2.00122.4%35.1%61.7%65.6%0.0%33.0%-63.0%1.0K723.0K-1.8K0.0910.55N/AN/A1221115,54016,535
2020-02-24$0.54$2.00151.7%43.5%61.3%86.1%0.0%53.9%-41.5%1.1K636.9K-2.0K1.0114.66N/AN/A17918014,48215,890
2020-02-25$0.50$2.00148.1%42.5%61.4%83.5%0.0%54.0%-47.5%959594.6K-2.0K0.4616.67N/AN/A1928914,60915,993
2020-02-26$0.51$2.00153.4%44.0%63.6%87.2%0.0%59.1%-48.6%1.0K585.8K-2.0K1.3017.28N/AN/A17122214,58015,899
2020-02-27$0.57$2.00141.7%40.6%80.0%79.1%0.0%17.8%-44.3%805688.8K-2.0K1.5024.98N/AN/A10015014,64915,954
2020-02-28$0.55$2.00140.9%40.4%80.1%78.5%0.0%17.1%-15.6%1.1K662.1K-2.0K7.9421.16N/AN/A3527814,72615,901