CBL Options History — May 2020

In May 2020, CBL traded between $0.20 and $0.33. ATM implied volatility averaged 138.3%, placing in the 67.3% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded below realized volatility by 14.3% (HV 20d: 152.6%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2020-05-28: Highest Volume — 3,150 contracts
  • 2020-05-04: Largest IV spike — 1093.8% change
  • 2020-05-05: Highest IV Rank — 100.0%
  • 2020-05-05: Largest Expected Move — 56.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.24$0.20$0.33$0.25$0.29
Max Pain$1.00$1.00$1.00$1.00$1.00
ATM IV138.3%15.0%198.1%15.0%170.0%
Expected Move25.8%4.3%56.8%4.3%7.9%
HV 20d152.6%111.7%162.6%161.5%155.0%
HV 60d182.6%179.1%193.5%179.1%193.5%
IV Rank67.3%0.0%100.0%0.0%84.7%
IV Percentile75.2%0.0%100.0%0.0%92.1%
Term Structure-84.2%-84.2%-84.2%-84.2%-84.2%
Skew 25d26.2%-49.0%87.2%10.3%65.2%
Skew 10d11.2%-49.0%58.4%33.2%44.8%
Call IV 25d98.5%64.0%135.9%109.5%81.2%
Put IV 25d124.7%15.0%194.3%119.8%146.4%
Bid-Ask Spread %19.027.16126.81126.8119.45
Gamma HHI0.410.201.000.370.29
Net GEX46131.0K436928
Net DEX13.9K-122.7K81.2K35.8K-42.8K
Net VEX-592-1.5K-1-522-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.002.640.030.05
Total Volume357.6223,15090377
Total OI19,137.1518,12821,70118,12821,701

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-05-01$0.25$1.0015.0%4.3%161.5%0.0%0.0%10.3%0.0%43635.8K-5220.03126.81N/AN/A87314,8443,284
2020-05-04$0.24$1.00179.1%0.0%162.6%89.7%0.0%31.5%0.0%44321.7K-5910.0021.66N/AN/A28014,8623,283
2020-05-05$0.25$1.00198.1%56.8%159.7%100.0%0.0%34.0%-84.2%50419.6K-6450.0124.49N/AN/A89114,8853,283
2020-05-06$0.22$1.00125.1%0.0%159.5%60.1%0.0%45.8%0.0%43212.5K-6290.9613.61N/AN/A525014,9723,282
2020-05-07$0.21$1.00129.7%0.0%159.7%62.6%0.0%87.2%0.0%4059.6K-6000.0021.66N/AN/A166014,9993,332
2020-05-08$0.22$1.00160.6%0.0%159.8%79.5%0.0%80.6%0.0%4369.5K-6140.059.52N/AN/A21115,1603,332
2020-05-11$0.24$1.00137.8%0.0%160.3%67.1%0.0%0.0%0.0%561-22.8K-9110.1012.18N/AN/A2502615,1843,332
2020-05-12$0.23$1.00138.2%0.0%154.9%67.3%0.0%6.2%0.0%551-30.6K-9322.6412.18N/AN/A6717715,4323,356
2020-05-13$0.22$1.00138.3%0.0%154.9%67.4%0.0%23.2%0.0%39330.1K-4690.6510.30N/AN/A523415,4903,350
2020-05-14$0.20$1.00193.9%0.0%157.8%97.7%0.0%7.2%0.0%33632.1K-4090.0514.06N/AN/A55315,5503,383
2020-05-15$0.21$1.00133.7%0.0%158.8%64.8%0.0%-29.9%0.0%29848.2K-2770.0915.13N/AN/A1121015,6053,385
2020-05-18$0.22$1.00187.7%0.0%159.7%94.3%0.0%20.0%0.0%37138.7K-3860.0610.28N/AN/A2241415,7613,302
2020-05-19$0.22$1.00194.6%55.8%159.7%98.1%0.0%23.7%0.0%42625.3K-5070.0210.26N/AN/A60115,9493,313
2020-05-20$0.22$1.00132.2%0.0%159.7%64.0%0.0%48.2%0.0%37440.4K-3872.0010.93N/AN/A183616,0073,313
2020-05-21$0.22$1.00142.9%0.0%146.2%69.9%0.0%14.4%0.0%30854.8K-2280.009.20N/AN/A327116,0253,339
2020-05-22$0.22$1.00194.3%0.0%142.9%97.9%0.0%14.4%0.0%34251.4K-2720.847.16N/AN/A1189916,3403,339
2020-05-26$0.25$1.0015.0%4.3%114.8%0.0%0.0%6.9%0.0%654-14.2K-8460.039.70N/AN/A8342516,4533,245
2020-05-27$0.25$1.0027.4%7.9%111.7%6.8%0.0%-49.0%0.0%381.2K-10.158.52N/AN/A5067817,1433,249
2020-05-28$0.33$1.00151.9%0.0%152.0%74.8%0.0%58.4%0.0%1.0K-122.7K-1.5K0.0313.39N/AN/A3,0648617,6043,075
2020-05-29$0.29$1.00170.0%0.0%155.0%84.7%0.0%65.2%0.0%928-42.8K-1.1K0.0519.45N/AN/A3581918,6013,100