CBL Options History — September 2022

In September 2022, CBL traded between $24.78 and $30.30. ATM implied volatility averaged 53.5%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 0.9% (HV 20d: 52.6%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 6.41.

Notable Days

  • 2022-09-26: Highest Volume — 348 contracts
  • 2022-09-16: Largest IV spike — 75.2% change
  • 2022-09-14: Highest IV Rank — 22.6%
  • 2022-09-14: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.45$24.78$30.30$28.35$25.68
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV53.5%29.2%70.1%37.5%53.0%
Expected Move14.2%8.4%20.1%10.7%15.2%
HV 20d52.6%34.9%73.0%69.3%39.9%
HV 60d370.6%49.3%1164.6%1164.6%49.3%
IV Rank15.8%5.8%22.6%9.2%15.6%
IV Percentile17.0%4.8%27.5%6.8%18.7%
Term Structure-2.7%-14.7%1.6%-4.5%1.0%
VWIV53.1%20.7%71.6%65.3%53.9%
Skew 25d5.5%-21.5%12.7%6.1%5.9%
Skew 10d16.5%-2.2%31.0%9.3%17.5%
Call IV 25d48.3%38.6%65.5%38.6%51.9%
Put IV 25d53.8%41.2%65.4%44.7%57.7%
Bid-Ask Spread %48.8529.7688.7688.7660.17
Gamma HHI0.390.320.470.470.42
Net GEX-9.9K-13.6K-6.6K-7.1K-12.6K
Net DEX344.8K134.5K563.7K204.0K519.6K
Net VEX-1.3K-1.4K-849-849-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.410.0021.006.203.59
Total Volume134.095034872225
Total OI529.381311640311628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$28.35$30.0037.5%10.7%69.3%9.2%0.0%6.1%-4.5%-7.1K204.0K-8496.2088.76N/AN/A1062102209
2022-09-02$28.55$30.0058.6%16.8%69.4%17.9%65.3%12.7%-8.8%-8.2K227.6K-1.4K5.6775.38N/AN/A317102269
2022-09-06$29.71$30.0063.7%14.4%71.0%20.0%52.9%7.4%-6.9%-6.9K159.5K-1.4K5.8829.76N/AN/A25147104264
2022-09-07$30.19$30.0060.0%13.7%71.2%18.4%52.7%7.0%-5.5%-6.6K134.5K-1.3K12.6230.89N/AN/A21265104264
2022-09-08$30.30$30.0054.9%12.8%70.6%16.4%0.0%7.7%-3.1%-8.6K147.3K-1.3K0.0038.35N/AN/A00104388
2022-09-09$29.93$30.0054.0%12.7%70.3%16.0%0.0%5.7%-2.5%-7.7K149.6K-1.3K0.0045.18N/AN/A60104388
2022-09-12$29.74$30.0066.8%12.6%70.2%21.3%0.0%7.8%-2.7%-7.7K156.9K-1.2K0.0046.65N/AN/A01110388
2022-09-13$29.71$30.0058.5%13.2%70.2%17.8%50.7%7.8%-3.4%-9.6K178.1K-1.2K21.0045.14N/AN/A14294110388
2022-09-14$27.98$30.0070.1%20.1%73.0%22.6%56.5%-21.5%-14.7%-9.2K260.9K-1.4K1.3346.32N/AN/A34110428
2022-09-15$27.98$30.0029.2%8.4%57.8%5.8%20.7%1.2%-9.6%-6.8K195.5K-1.4K0.0047.18N/AN/A01113429
2022-09-16$26.99$30.0051.2%14.7%36.0%14.9%52.1%6.2%-0.2%-8.5K367.4K-1.2K19.5648.03N/AN/A16313113429
2022-09-19$27.07$30.0050.6%14.5%34.9%14.6%45.0%7.4%0.2%-12.5K403.0K-1.3K3.3343.26N/AN/A310100437
2022-09-20$26.07$30.0050.1%14.4%36.6%14.4%46.5%6.6%0.2%-10.6K454.6K-1.2K1.5030.35N/AN/A2030103447
2022-09-21$25.94$30.0049.3%14.1%36.3%14.1%0.0%7.0%0.9%-11.2K494.7K-1.3K0.0052.32N/AN/A030123477
2022-09-22$25.15$30.0048.4%13.9%37.2%13.7%0.0%4.9%1.6%-12.0K510.7K-1.4K0.0043.43N/AN/A010123507
2022-09-23$24.78$30.0050.9%14.6%36.2%14.7%0.0%5.1%0.2%-12.2K562.0K-1.4K0.0040.55N/AN/A170123517
2022-09-26$25.02$30.0053.7%15.4%36.5%15.9%69.0%6.1%-0.6%-12.3K563.7K-1.3K6.1060.60N/AN/A49299111517
2022-09-27$25.32$30.0054.8%15.7%37.1%16.3%52.4%6.1%-0.8%-12.3K518.4K-1.4K6.1059.75N/AN/A49299111517
2022-09-28$26.37$30.0053.3%15.3%39.8%15.7%71.6%9.2%0.2%-13.6K511.6K-1.4K6.1047.68N/AN/A49299111517
2022-09-29$25.56$30.0054.2%15.5%40.0%16.1%54.1%8.9%1.6%-12.6K520.9K-1.3K3.5946.17N/AN/A49176111517
2022-09-30$25.68$30.0053.0%15.2%39.9%15.6%53.9%5.9%1.0%-12.6K519.6K-1.3K3.5960.17N/AN/A49176111517