CBL Options History — September 2023

In September 2023, CBL traded between $20.86 and $21.77. ATM implied volatility averaged 50.0%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 25.7% (HV 20d: 24.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2023-09-11: Highest Volume — 42 contracts
  • 2023-09-07: Largest IV spike — 97.9% change
  • 2023-09-12: Highest IV Rank — 99.6%
  • 2023-09-01: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.25$20.86$21.77$21.55$20.89
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV50.0%23.1%126.4%51.1%45.2%
Expected Move10.4%6.6%14.6%14.6%13.0%
HV 20d24.4%19.3%28.0%24.3%27.9%
HV 60d22.9%21.6%23.8%22.1%22.4%
IV Rank31.1%7.0%99.6%32.0%26.8%
IV Percentile41.1%1.6%99.6%61.5%40.1%
Term Structure-4.0%-38.4%16.7%-23.6%-11.9%
VWIV27.0%23.0%32.3%25.7%32.3%
Skew 25d14.1%1.2%39.9%39.9%23.5%
Skew 10d22.0%3.9%60.1%60.1%17.6%
Call IV 25d22.9%15.7%53.9%53.9%20.2%
Put IV 25d37.1%26.7%93.8%93.8%43.7%
Bid-Ask Spread %105.3682.75128.99128.9999.05
Gamma HHI0.880.840.910.860.85
Net GEX632.1K437.1K787.2K787.2K617.0K
Net DEX-7.3M-10.3M-3.8M-10.3M-8.3M
Net VEX-64.7K-87.3K-41.8K-87.3K-64.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.001.500.001.50
Total Volume6.7504200
Total OI29,242.2529,20629,26429,24429,262

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$21.55$22.5051.1%14.6%24.3%32.0%0.0%39.9%-23.6%787.2K-10.3M-87.3K0.00128.99N/AN/A0028,944300
2023-09-05$21.53$22.5037.7%8.6%24.0%20.0%0.0%13.8%-0.7%778.1K-9.3M-77.7K0.00100.89N/AN/A5028,944300
2023-09-06$21.21$22.5049.1%8.9%22.1%30.2%0.0%2.0%3.8%691.6K-9.2M-79.4K0.0092.81N/AN/A02028,944300
2023-09-07$20.92$22.5097.1%11.7%22.4%73.3%0.0%10.0%-3.9%574.4K-7.4M-69.4K0.00118.63N/AN/A0128,944320
2023-09-08$21.59$22.5071.9%9.4%21.1%50.7%0.0%13.2%6.9%662.9K-6.9M-65.6K0.00119.91N/AN/A0028,944320
2023-09-11$21.77$22.5088.5%9.3%19.5%65.6%0.0%15.2%-1.6%693.0K-7.1M-63.8K0.00107.79N/AN/A04228,944320
2023-09-12$21.69$22.50126.4%8.7%19.3%99.6%25.7%13.1%7.6%616.6K-6.0M-56.9K0.00119.82N/AN/A0128,944312
2023-09-13$21.15$22.5037.0%10.6%20.9%19.4%23.0%9.4%-18.1%437.1K-3.8M-41.8K0.0089.80N/AN/A0128,944312
2023-09-14$21.46$22.5026.3%7.6%21.4%9.8%0.0%5.6%16.7%639.5K-7.1M-66.6K0.00119.57N/AN/A0128,943312
2023-09-15$21.52$22.5023.1%6.6%21.4%7.0%0.0%4.4%3.1%629.9K-7.5M-66.8K0.0082.75N/AN/A2028,943313
2023-09-18$20.86$22.5033.2%9.5%23.0%16.0%0.0%1.2%8.2%565.7K-5.1M-53.2K0.0091.46N/AN/A0028,921285
2023-09-19$21.66$22.5031.1%8.9%26.5%14.1%0.0%10.3%11.6%759.2K-9.0M-70.5K0.1397.15N/AN/A8128,921285
2023-09-20$21.24$22.5029.4%8.4%27.3%12.6%0.0%16.1%-0.3%588.8K-6.3M-57.3K0.00111.18N/AN/A0128,924285
2023-09-21$20.93$22.5032.8%9.4%27.5%15.6%32.3%7.7%-9.2%535.3K-6.3M-59.9K0.05102.49N/AN/A20128,924285
2023-09-22$21.09$22.5049.4%14.2%27.6%30.5%0.0%24.6%-38.4%677.1K-8.4M-65.3K0.00103.95N/AN/A0628,944286
2023-09-25$21.20$22.5041.4%11.9%27.6%23.3%0.0%15.9%-13.2%631.8K-7.4M-64.4K0.00107.16N/AN/A0028,944292
2023-09-26$20.88$22.5040.8%11.7%28.0%22.8%0.0%19.5%-11.2%571.0K-6.9M-59.1K1.50100.47N/AN/A2328,944292
2023-09-27$20.87$22.5042.2%12.1%27.7%24.1%0.0%19.2%10.9%581.3K-7.2M-61.8K0.00105.48N/AN/A02028,947295
2023-09-28$21.07$22.5047.2%13.5%27.9%28.6%0.0%18.2%-16.9%605.1K-7.4M-63.0K0.00107.78N/AN/A0028,947315
2023-09-29$20.89$22.5045.2%13.0%27.9%26.8%0.0%23.5%-11.9%617.0K-8.3M-64.8K0.0099.05N/AN/A0028,947315