CBL Options History — June 2020

In June 2020, CBL traded between $0.25 and $0.42. ATM implied volatility averaged 165.2%, placing in the 76.8% IV rank vs the trailing year. The 30-day expected move averaged 45.6%. IV traded below realized volatility by 15.4% (HV 20d: 180.6%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.23.

Notable Days

  • 2020-06-23: Highest Volume — 5,215 contracts
  • 2020-06-25: Largest IV spike — 923.6% change
  • 2020-06-22: Highest IV Rank — 100.0%
  • 2020-06-22: Largest Expected Move — 57.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.31$0.25$0.42$0.28$0.28
Max Pain$1.00$1.00$1.00$1.00$1.00
ATM IV165.2%15.0%258.9%166.0%169.5%
Expected Move45.6%4.3%57.2%55.7%4.3%
HV 20d180.6%141.8%215.4%145.5%184.1%
HV 60d176.5%162.5%197.4%193.6%162.7%
IV Rank76.8%0.0%100.0%82.5%63.4%
IV Percentile84.9%0.4%100.0%90.5%88.1%
Term Structure-51.9%-71.3%-24.6%-70.5%-70.7%
Skew 25d43.8%-91.5%107.3%49.9%24.5%
Skew 10d24.0%-82.7%65.8%16.6%7.0%
Call IV 25d115.1%89.9%164.1%95.4%149.9%
Put IV 25d159.0%72.6%227.3%145.3%174.4%
Bid-Ask Spread %22.3511.9338.2013.3615.39
Gamma HHI0.280.211.000.280.23
Net GEX1.1K01.6K8861.0K
Net DEX-144.7K-278.8K77.6K-45.5K-195.0K
Net VEX-1.5K-1.9K0-1.1K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.002.240.081.50
Total Volume1,001.0451295,215130559
Total OI26,200.40921,99229,67821,99229,632

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$0.28$1.00166.0%0.0%145.5%82.5%0.0%49.9%0.0%886-45.5K-1.1K0.0813.36N/AN/A1201018,8923,100
2020-06-02$0.26$1.00192.5%0.0%147.4%97.0%0.0%16.5%0.0%852-52.7K-1.1K0.1412.01N/AN/A2293218,9143,100
2020-06-03$0.25$1.00152.0%0.0%147.5%74.8%0.0%0.0%0.0%077.6K00.1714.61N/AN/A1101918,9683,103
2020-06-04$0.27$1.00194.2%55.7%141.8%97.9%0.0%37.1%-70.5%800-53.7K-1.1K2.2427.66N/AN/A24955819,0223,108
2020-06-05$0.33$1.00165.7%47.5%155.2%82.3%0.0%35.0%-24.7%924-18.1K-9750.0325.32N/AN/A9333119,1623,096
2020-06-08$0.40$1.00145.4%41.7%166.4%71.2%0.0%61.0%-55.5%1.5K-124.0K-1.7K0.0330.88N/AN/A2,5547419,9313,112
2020-06-09$0.42$1.00140.6%40.3%165.2%68.6%0.0%-17.2%-24.6%1.6K-174.9K-1.9K0.0225.22N/AN/A1,2982421,7763,102
2020-06-10$0.37$1.00171.6%49.2%172.5%85.5%0.0%-24.0%-62.7%1.4K-151.4K-1.8K0.0133.13N/AN/A9961422,5953,119
2020-06-11$0.31$1.00188.3%54.0%185.4%94.7%0.0%71.0%-35.3%1.2K-149.2K-1.6K0.1736.78N/AN/A4547823,2613,124
2020-06-12$0.34$1.00177.1%50.8%182.2%88.5%0.0%65.8%-71.3%1.3K-146.6K-1.7K0.0438.20N/AN/A2791223,4103,049
2020-06-15$0.29$1.00194.4%55.7%193.4%98.0%0.0%51.2%0.0%1.1K-148.1K-1.5K0.0818.96N/AN/A5023823,4793,057
2020-06-16$0.31$1.00141.1%0.0%194.0%68.8%0.0%71.6%0.0%1.2K-156.8K-1.6K0.0218.73N/AN/A467923,7903,049
2020-06-17$0.30$1.00141.4%0.0%194.7%69.0%0.0%60.4%0.0%1.1K-164.2K-1.6K0.0423.71N/AN/A2791024,1143,056
2020-06-18$0.32$1.00185.4%0.0%195.4%93.1%0.0%64.8%0.0%1.3K-156.9K-1.6K0.0131.23N/AN/A2,0982024,3193,059
2020-06-19$0.29$1.00149.9%0.0%199.7%73.7%0.0%56.7%0.0%1.1K-173.8K-1.6K0.0127.53N/AN/A496726,0213,060
2020-06-22$0.36$1.00199.6%57.2%212.1%100.0%0.0%74.7%-70.7%1.4K-262.8K-1.9K0.0114.12N/AN/A1,8382624,2452,090
2020-06-23$0.33$1.00258.9%0.0%211.9%100.0%0.0%78.4%0.0%1.2K-278.8K-1.7K0.1415.42N/AN/A4,56964626,2782,113
2020-06-24$0.30$1.0015.0%4.3%215.4%0.0%0.0%37.2%0.0%1.1K-187.1K-1.5K0.0811.93N/AN/A7706027,1862,231
2020-06-25$0.30$1.00153.5%0.0%190.7%56.8%0.0%-91.5%0.0%1.2K-211.1K-1.6K0.0921.10N/AN/A4143927,2322,229
2020-06-26$0.28$1.00163.3%0.0%186.6%60.8%0.0%90.0%0.0%1.0K-206.8K-1.5K0.0018.96N/AN/A834327,4272,251
2020-06-29$0.28$1.00167.9%0.0%186.2%62.7%0.0%107.3%0.0%1.0K-202.4K-1.5K0.0617.53N/AN/A2491627,2982,249
2020-06-30$0.28$1.00169.5%0.0%184.1%63.4%0.0%24.5%0.0%1.0K-195.0K-1.5K1.5015.39N/AN/A22433527,3782,254