CBL Options History — July 2023

In July 2023, CBL traded between $21.64 and $22.68. ATM implied volatility averaged 34.7%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 10.3% (HV 20d: 24.5%). Max pain ranged from $20.00 to $22.80. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 3.38.

Notable Days

  • 2023-07-06: Highest Volume — 16,119 contracts
  • 2023-07-27: Largest IV spike — 96.5% change
  • 2023-07-27: Highest IV Rank — 34.1%
  • 2023-07-27: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.29$21.64$22.68$22.48$21.64
Max Pain$21.91$20.00$22.80$22.80$22.50
ATM IV34.7%15.4%53.4%25.9%43.8%
Expected Move11.1%7.1%15.3%7.4%12.6%
HV 20d24.5%17.7%27.9%27.1%17.7%
HV 60d26.6%24.9%27.8%27.1%24.9%
IV Rank17.0%0.0%34.1%5.9%25.5%
IV Percentile21.3%0.0%68.7%2.8%32.5%
Term Structure6.4%-8.1%51.1%17.6%3.0%
VWIV35.5%23.8%44.5%44.5%42.8%
Skew 25d16.4%-5.5%53.1%13.8%-5.5%
Skew 10d14.3%-14.6%59.0%22.0%-14.6%
Call IV 25d28.1%15.6%40.0%21.3%35.5%
Put IV 25d44.5%30.0%80.0%35.1%30.0%
Bid-Ask Spread %120.52107.25142.12107.81127.84
Gamma HHI0.670.520.750.560.75
Net GEX803.9K593.0K906.7K658.6K738.5K
Net DEX-16.2M-19.8M-11.0M-11.4M-12.9M
Net VEX-123.4K-140.8K-94.1K-94.6K-106.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.380.0018.000.0017.50
Total Volume818.25016,11900
Total OI30,792.627,92032,98128,59127,993

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$22.48$22.8025.9%7.4%27.1%5.9%0.0%13.8%17.6%658.6K-11.4M-94.6K0.00107.81N/AN/A0028,403188
2023-07-05$22.43$22.8024.6%7.1%27.0%4.7%0.0%6.5%6.5%636.4K-13.3M-104.7K0.00108.58N/AN/A1028,403188
2023-07-06$21.84$20.0015.4%13.3%26.2%0.0%44.5%10.4%-8.1%593.0K-11.0M-94.1K0.00122.27N/AN/A16,119028,404188
2023-07-07$22.33$20.0023.0%11.0%27.9%6.9%0.0%32.0%0.4%811.8K-19.4M-140.8K0.00114.82N/AN/A2032,723187
2023-07-10$22.18$20.0026.6%14.0%27.7%10.1%0.0%18.5%-5.9%820.9K-16.4M-128.5K0.00116.38N/AN/A0732,721187
2023-07-11$22.49$20.0025.7%10.0%27.1%9.3%0.0%40.5%-3.3%893.6K-18.2M-134.5K0.00117.58N/AN/A0032,721187
2023-07-12$22.55$20.0033.0%9.5%27.1%15.8%31.1%18.9%4.9%873.9K-19.8M-137.0K0.00117.89N/AN/A03532,721187
2023-07-13$22.46$22.5029.4%8.4%27.1%12.6%29.6%0.9%9.5%863.8K-17.3M-133.9K0.33113.51N/AN/A3132,721222
2023-07-14$22.39$22.5029.7%8.5%26.8%12.8%0.0%7.1%12.8%842.3K-16.9M-132.3K0.00112.74N/AN/A0032,724221
2023-07-17$22.68$22.5045.5%13.0%27.1%27.0%41.2%21.2%-2.7%906.7K-18.1M-132.9K4.71119.94N/AN/A73332,724221
2023-07-18$22.61$22.5038.1%10.9%27.0%20.4%0.0%13.4%0.0%895.7K-18.0M-132.0K0.00117.26N/AN/A18032,725248
2023-07-19$22.60$22.5042.5%12.2%25.0%24.3%0.0%30.2%-0.5%866.5K-18.9M-134.0K0.00120.28N/AN/A19032,725248
2023-07-20$22.45$22.5047.1%13.5%24.6%28.5%0.0%5.3%26.6%885.0K-17.5M-131.9K0.00121.99N/AN/A21032,733248
2023-07-21$22.47$22.5047.3%13.6%23.7%28.6%0.0%1.0%-6.7%863.5K-17.0M-127.3K0.05124.82N/AN/A22132,733248
2023-07-24$22.40$22.5032.1%9.2%21.3%15.0%0.0%19.2%14.2%875.3K-16.5M-126.7K18.00107.25N/AN/A11827,696224
2023-07-25$22.22$22.5033.0%9.4%20.1%15.8%0.0%-0.2%10.8%823.8K-15.5M-123.5K0.00121.47N/AN/A0127,697241
2023-07-26$21.98$22.5027.2%7.8%20.3%10.6%23.8%53.1%51.1%813.4K-15.8M-121.3K0.00136.82N/AN/A19027,697241
2023-07-27$21.84$22.5053.4%15.3%19.9%34.1%0.0%35.9%-2.8%676.3K-14.4M-114.7K0.00142.12N/AN/A0027,716241
2023-07-28$21.75$22.5050.9%14.6%18.4%31.8%42.8%6.3%0.7%739.1K-15.3M-116.7K17.50139.04N/AN/A23527,716241
2023-07-31$21.64$22.5043.8%12.6%17.7%25.5%0.0%-5.5%3.0%738.5K-12.9M-106.2K0.00127.84N/AN/A0027,717276