CBL Options History — November 2023

In November 2023, CBL traded between $20.87 and $23.40. ATM implied volatility averaged 36.4%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 13.8% (HV 20d: 22.6%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2023-11-06: Highest Volume — 2,523 contracts
  • 2023-11-28: Largest IV spike — 132.7% change
  • 2023-11-28: Highest IV Rank — 39.7%
  • 2023-11-28: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.36$20.87$23.40$20.87$23.40
Max Pain$19.29$17.50$22.50$20.00$22.50
ATM IV36.4%20.4%59.7%52.3%47.3%
Expected Move10.4%5.9%17.1%15.0%13.6%
HV 20d22.6%19.4%25.8%22.6%19.4%
HV 60d23.5%22.7%24.0%23.9%23.6%
IV Rank18.9%4.5%39.7%33.1%28.7%
IV Percentile28.3%0.8%84.1%68.3%56.3%
Term Structure-15.5%-54.5%5.8%-14.5%-34.0%
VWIV37.8%20.3%67.4%20.3%67.4%
Skew 25d16.6%-11.2%44.6%36.2%10.1%
Skew 10d37.2%-14.3%80.6%50.5%70.2%
Call IV 25d31.1%18.1%47.8%32.9%47.8%
Put IV 25d47.7%26.3%76.4%69.1%57.8%
Bid-Ask Spread %113.2284.68137.54105.72118.76
Gamma HHI0.940.860.980.860.96
Net GEX843.4K458.0K1.4M534.3K1.4M
Net DEX-7.2M-13.3M-3.9M-6.4M-13.3M
Net VEX-51.4K-69.5K-37.0K-49.2K-69.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.003.330.040.00
Total Volume126.90502,52300
Total OI22,541.33320,64323,00120,64323,001

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$20.87$20.0052.3%15.0%22.6%33.1%0.0%36.2%-14.5%534.3K-6.4M-49.2K0.00105.72N/AN/A0020,387256
2023-11-02$21.15$17.5050.4%10.6%23.2%31.4%0.0%-4.2%-13.3%579.0K-6.8M-50.6K0.04129.07N/AN/A57220,387256
2023-11-03$21.71$17.5033.1%9.3%25.0%15.9%0.0%-8.3%-14.3%597.6K-5.3M-42.8K0.00137.54N/AN/A0020,411257
2023-11-06$21.43$17.5033.2%15.3%25.5%16.0%0.0%-11.2%-25.2%490.5K-4.3M-37.0K0.00128.50N/AN/A2,522120,411257
2023-11-07$21.45$17.5041.5%9.2%25.4%23.4%0.0%8.6%-13.1%469.8K-5.0M-44.7K0.00122.21N/AN/A0022,724258
2023-11-08$21.37$17.5033.0%9.5%23.2%15.8%0.0%-3.4%-13.2%458.0K-4.7M-41.2K0.00125.90N/AN/A0022,724258
2023-11-09$21.34$17.5032.0%9.2%22.2%14.9%0.0%7.6%-0.7%463.5K-3.9M-37.5K0.00107.02N/AN/A0022,724258
2023-11-10$21.89$17.5030.6%8.8%23.3%13.7%0.0%19.7%5.8%649.7K-6.4M-51.1K1.20119.36N/AN/A5622,724258
2023-11-13$22.20$17.5022.7%6.5%23.5%6.6%0.0%38.2%-3.0%676.4K-5.7M-47.7K0.00103.44N/AN/A1022,727256
2023-11-14$22.93$17.5020.4%5.9%25.7%4.5%20.3%28.5%0.6%1.0M-7.8M-56.9K0.0091.42N/AN/A13022,728256
2023-11-15$22.73$17.5046.8%13.4%25.8%28.2%0.0%1.7%-32.5%699.4K-5.8M-44.6K0.00121.67N/AN/A3022,741256
2023-11-16$22.63$17.5044.4%12.7%23.6%26.0%0.0%-2.0%-23.6%924.1K-8.1M-55.9K0.50111.92N/AN/A6322,744256
2023-11-17$22.76$17.5025.6%7.3%23.6%9.2%0.0%39.0%-3.3%955.4K-7.4M-54.6K0.0091.91N/AN/A0022,741259
2023-11-20$22.85$17.5026.0%7.5%22.1%9.5%25.6%29.4%-5.4%984.6K-7.3M-52.5K0.0092.11N/AN/A02022,720239
2023-11-21$22.98$22.5025.9%7.4%21.6%9.4%67.4%29.6%-5.1%1.1M-7.9M-55.0K0.00106.68N/AN/A0122,720259
2023-11-22$23.20$22.5025.1%7.2%20.2%8.8%0.0%25.2%-4.8%1.2M-9.2M-59.6K0.00109.57N/AN/A0122,720259
2023-11-24$23.00$22.5042.9%12.3%20.8%24.7%0.0%44.6%-20.7%1.1M-8.3M-56.5K0.00106.35N/AN/A0022,720258
2023-11-27$23.22$22.5025.7%7.4%19.6%9.2%0.0%22.7%-3.1%1.2M-9.3M-58.1K0.0084.68N/AN/A6022,720258
2023-11-28$23.26$22.5059.7%17.1%19.6%39.7%0.0%16.4%-47.9%1.2M-9.0M-57.0K3.33133.39N/AN/A31022,726258
2023-11-29$23.16$22.5045.8%13.1%19.4%27.3%0.0%21.0%-54.5%1.1M-9.3M-58.2K0.00130.31N/AN/A5022,729267
2023-11-30$23.40$22.5047.3%13.6%19.4%28.7%0.0%10.1%-34.0%1.4M-13.3M-69.5K0.00118.76N/AN/A0022,734267