CBL Options History — March 2020

In March 2020, CBL traded between $0.21 and $0.56. ATM implied volatility averaged 143.1%, placing in the 69.0% IV rank vs the trailing year. The 30-day expected move averaged 41.3%. IV traded below realized volatility by 21.2% (HV 20d: 164.3%). Max pain ranged from $1.00 to $2.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.01.

Notable Days

  • 2020-03-17: Highest Volume — 717 contracts
  • 2020-03-13: Largest IV spike — 33.1% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-04: Largest Expected Move — 46.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.39$0.21$0.56$0.55$0.21
Max Pain$1.14$1.00$2.00$2.00$1.00
ATM IV143.1%102.7%197.9%128.8%167.8%
Expected Move41.3%32.7%46.3%45.7%45.7%
HV 20d164.3%74.2%246.0%80.5%244.3%
HV 60d105.0%58.5%150.3%62.3%150.2%
IV Rank69.0%43.7%100.0%70.0%80.7%
IV Percentile93.4%76.6%100.0%95.6%99.2%
Term Structure-48.1%-67.8%-16.6%-25.1%-67.8%
Skew 25d13.1%-117.4%78.9%30.5%-43.9%
Skew 10d20.1%-101.2%78.9%22.2%15.8%
Call IV 25d106.7%59.3%186.9%71.2%171.5%
Put IV 25d119.8%15.0%178.0%101.7%127.6%
Bid-Ask Spread %99.2413.87175.0513.87119.24
Gamma HHI0.220.161.000.210.18
Net GEX743201.2K1.2K428
Net DEX340.5K-65.9K657.5K651.6K-20.1K
Net VEX-1.4K-2.1K-10-2.0K-839
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.010.0018.382.180.08
Total Volume187.0451571735981
Total OI26,256.04516,57430,90130,46816,574

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$0.55$2.00128.8%0.0%80.5%70.0%0.0%30.5%0.0%1.2K651.6K-2.0K2.1813.87N/AN/A11324614,76315,705
2020-03-03$0.56$2.00159.3%45.7%81.5%91.3%0.0%45.9%-25.1%1.2K657.5K-2.0K0.6135.22N/AN/A945714,86815,605
2020-03-04$0.55$2.00161.5%46.3%74.3%92.9%0.0%45.4%-64.2%1.2K645.7K-2.0K0.2520.32N/AN/A561414,92115,603
2020-03-05$0.54$1.00164.1%38.0%74.2%94.7%0.0%13.8%-36.6%1.1K598.2K-2.1K0.0024.13N/AN/A440114,95215,594
2020-03-06$0.49$1.00197.9%32.7%78.0%100.0%0.0%22.4%-16.6%986588.3K-1.7K0.0129.80N/AN/A80115,27915,593
2020-03-09$0.41$1.00142.0%40.7%93.4%67.0%0.0%-20.0%-54.2%694519.6K-1.3K0.79101.49N/AN/A241915,30915,592
2020-03-10$0.42$1.00140.6%40.3%95.4%66.1%0.0%42.5%-54.4%869434.8K-1.9K10.2294.10N/AN/A99215,30115,579
2020-03-11$0.40$1.00149.2%42.8%95.6%71.2%0.0%36.4%-58.5%833408.1K-1.8K2.8086.39N/AN/A102815,30415,509
2020-03-12$0.35$1.00102.7%0.0%102.3%43.7%0.0%57.7%0.0%705352.7K-1.6K0.05152.57N/AN/A192915,30515,504
2020-03-13$0.45$1.00136.7%39.2%144.5%63.8%0.0%37.1%-55.0%828533.1K-1.6K1.97155.94N/AN/A326315,27515,504
2020-03-16$0.44$1.00140.2%0.0%144.5%65.9%0.0%78.9%0.0%976409.0K-2.0K0.25152.16N/AN/A12315,28315,502
2020-03-17$0.41$1.00159.3%45.7%145.5%76.6%0.0%55.6%-67.8%725502.1K-1.4K18.38131.86N/AN/A3768015,27415,423
2020-03-18$0.26$1.00109.5%0.0%209.8%45.5%0.0%0.0%0.0%20398.9K-100.07175.05N/AN/A134915,27715,362
2020-03-19$0.35$1.00106.6%0.0%240.9%43.8%0.0%0.0%0.0%616420.7K-1.2K4.13153.23N/AN/A9740115,38015,311
2020-03-20$0.38$1.00110.3%0.0%243.7%46.1%0.0%-117.4%0.0%734415.3K-1.5K0.8129.78N/AN/A22318015,42215,194
2020-03-23$0.34$1.00146.3%0.0%245.9%68.2%0.0%27.4%0.0%663-5.0K-1.3K0.07123.54N/AN/A129912,7803,820
2020-03-24$0.33$1.00127.3%0.0%245.1%55.8%0.0%74.3%0.0%6345.7K-1.1K0.00126.61N/AN/A41012,9043,812
2020-03-25$0.30$1.00162.3%0.0%246.0%77.2%0.0%0.2%0.0%586-8.0K-1.2K0.09118.09N/AN/A53512,9383,813
2020-03-26$0.29$1.00129.1%0.0%240.5%55.8%0.0%38.3%0.0%49017.2K-9781.3487.60N/AN/A385112,9673,813
2020-03-27$0.25$1.00145.0%0.0%243.9%66.0%0.0%-115.2%0.0%465-65.9K-1.2K0.13132.49N/AN/A32412,9863,863
2020-03-30$0.22$1.00161.6%0.0%245.4%76.7%0.0%-49.2%0.0%34531.0K-6570.00119.72N/AN/A315113,0073,863
2020-03-31$0.21$1.00167.8%0.0%244.3%80.7%0.0%-43.9%0.0%428-20.1K-8390.08119.24N/AN/A75613,2013,373