CBL Options History — August 2020

In August 2020, CBL traded between $0.17 and $0.26. ATM implied volatility averaged 139.4%, placing in the 51.0% IV rank vs the trailing year. The 30-day expected move averaged 32.2%. IV traded below realized volatility by 54.4% (HV 20d: 193.8%). Max pain ranged from $1.00 to $1.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.14.

Notable Days

  • 2020-08-19: Highest Volume — 2,578 contracts
  • 2020-08-25: Largest IV spike — 446.2% change
  • 2020-08-19: Highest IV Rank — 77.7%
  • 2020-08-06: Largest Expected Move — 56.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$0.20$0.17$0.26$0.17$0.18
Max Pain$1.00$1.00$1.00$1.00$1.00
ATM IV139.4%27.4%204.5%147.5%146.2%
Expected Move32.2%7.9%56.5%56.5%7.9%
HV 20d193.8%150.2%209.4%150.2%201.6%
HV 60d173.9%157.5%188.7%157.5%171.7%
IV Rank51.0%5.1%77.7%54.3%53.8%
IV Percentile64.0%2.0%99.6%71.0%67.1%
Term Structure-45.3%-45.3%-45.3%-45.3%-45.3%
VWIV27.4%27.4%27.4%27.4%27.4%
Skew 25d-19.0%-89.3%90.2%90.2%-74.4%
Skew 10d-11.4%-82.8%90.2%90.2%-74.4%
Call IV 25d219.9%109.7%256.4%109.7%256.4%
Put IV 25d200.9%162.7%234.7%199.9%181.9%
Bid-Ask Spread %49.1617.70103.5628.2137.78
Gamma HHI0.800.271.001.001.00
Net GEX27201.1K00
Net DEX1.7K-150.6K58.9K38.4K41.0K
Net VEX-286-1.0K00-32
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.010.650.010.15
Total Volume566.095942,578868379
Total OI31,866.8129,62233,23929,62231,703

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$0.17$1.00147.5%0.0%150.2%54.3%0.0%90.2%0.0%038.4K00.0128.21N/AN/A862627,3632,259
2020-08-04$0.19$1.00132.2%0.0%157.3%48.1%0.0%0.0%0.0%980-104.7K-9170.0228.64N/AN/A5991427,9992,260
2020-08-05$0.19$1.00194.3%0.0%157.3%73.5%0.0%0.0%0.0%042.8K-310.1128.21N/AN/A1952228,3162,253
2020-08-06$0.26$1.00197.0%56.5%195.5%74.6%0.0%2.5%-45.3%058.9K-310.03103.56N/AN/A2,0536528,4632,265
2020-08-07$0.22$1.00126.1%0.0%203.9%45.5%0.0%0.0%0.0%050.0K-320.0995.78N/AN/A6195329,4982,272
2020-08-10$0.24$1.00120.0%0.0%206.7%43.0%0.0%-5.2%0.0%054.6K-320.0299.47N/AN/A1,1472029,4832,273
2020-08-11$0.22$1.00128.0%0.0%208.4%46.3%0.0%1.7%0.0%050.1K-320.0790.72N/AN/A5073730,1182,277
2020-08-12$0.21$1.00132.7%0.0%208.2%48.2%0.0%-30.8%0.0%047.8K-330.6551.96N/AN/A1137430,3452,277
2020-08-13$0.20$1.00137.6%0.0%207.8%50.3%0.0%-82.8%0.0%045.9K-330.2640.85N/AN/A912430,3392,294
2020-08-14$0.21$1.00133.7%0.0%208.8%48.7%0.0%0.4%0.0%048.0K-330.4840.06N/AN/A1306330,3122,286
2020-08-17$0.21$1.00135.3%0.0%160.6%49.3%0.0%-31.2%0.0%047.7K-330.1630.60N/AN/A1282030,3102,271
2020-08-18$0.19$1.00145.3%0.0%164.0%53.4%0.0%30.4%0.0%776-149.6K-1.0K0.0125.80N/AN/A147230,3632,261
2020-08-19$0.25$1.00204.5%0.0%190.7%77.7%0.0%-89.3%0.0%1.1K-77.0K-9490.0440.62N/AN/A2,4849430,4142,262
2020-08-20$0.20$1.0046.4%0.0%208.5%12.9%0.0%-40.0%0.0%046.5K-330.1688.58N/AN/A4687330,8832,324
2020-08-21$0.19$1.00170.8%0.0%208.5%63.9%0.0%-74.4%0.0%045.1K-330.0939.55N/AN/A2091830,8662,373
2020-08-24$0.20$1.0027.4%7.9%208.5%5.1%27.4%0.0%0.0%045.2K-320.0237.10N/AN/A4451129,3342,261
2020-08-25$0.19$1.00149.7%0.0%209.4%55.2%0.0%0.0%0.0%1.1K-150.6K-9000.0133.36N/AN/A194229,4182,263
2020-08-26$0.19$1.00150.3%0.0%206.0%55.5%0.0%0.0%0.0%884-95.1K-8780.0535.09N/AN/A2281229,3772,264
2020-08-27$0.19$1.00151.0%0.0%205.4%55.8%0.0%0.0%0.0%878-93.2K-8690.0817.70N/AN/A1721429,3792,263
2020-08-28$0.19$1.00151.7%0.0%201.7%56.0%0.0%0.0%0.0%043.0K-320.3438.78N/AN/A702429,3982,264
2020-08-31$0.18$1.00146.2%0.0%201.6%53.8%0.0%0.0%0.0%041.0K-320.1537.78N/AN/A3295029,4232,280