CBL Options History — December 2023

In December 2023, CBL traded between $23.33 and $24.77. ATM implied volatility averaged 35.5%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 19.7% (HV 20d: 15.7%). 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 10 of 20 days. Put/call ratio averaged 0.33.

Notable Days

  • 2023-12-15: Highest Volume — 12,000 contracts
  • 2023-12-11: Largest IV spike — 52.2% change
  • 2023-12-11: Highest IV Rank — 52.7%
  • 2023-12-01: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.99$23.33$24.77$23.65$24.68
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV35.5%17.8%74.2%51.1%20.1%
Expected Move7.2%4.9%14.6%14.6%5.8%
HV 20d15.7%14.1%19.3%19.3%14.5%
HV 60d20.7%19.3%23.4%23.4%19.3%
IV Rank18.0%2.2%52.7%32.0%4.2%
IV Percentile28.7%0.4%94.4%69.0%2.0%
Term Structure-0.8%-47.1%22.4%-47.1%18.5%
VWIV24.0%14.9%70.9%14.9%21.0%
Skew 25d5.7%-2.5%25.5%25.5%3.1%
Skew 10d13.8%-21.6%80.1%80.1%-1.0%
Call IV 25d18.2%10.5%27.4%27.4%16.0%
Put IV 25d24.0%13.5%52.9%52.9%19.0%
Bid-Ask Spread %94.0764.87134.80134.80103.93
Gamma HHI0.840.640.990.960.73
Net GEX1.6M1.2M1.9M1.5M1.9M
Net DEX-15.3M-20.5M-9.0M-13.8M-20.5M
Net VEX-77.7K-102.4K-53.5K-70.3K-101.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.005.005.000.00
Total Volume821.3012,0002421
Total OI23,650.222,99624,50623,00124,485

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$23.65$22.5051.1%14.6%19.3%32.0%0.0%25.5%-47.1%1.5M-13.8M-70.3K5.00134.80N/AN/A42022,734267
2023-12-04$23.89$22.5040.2%7.6%17.8%22.2%0.0%-2.3%-6.4%1.6M-10.8M-60.6K0.0095.84N/AN/A4022,738287
2023-12-05$23.89$22.5048.8%7.4%16.7%29.9%0.0%15.9%4.0%1.5M-16.7M-75.2K0.00101.86N/AN/A5022,743287
2023-12-06$23.60$22.5064.6%6.1%17.8%44.2%0.0%5.2%10.2%1.4M-9.6M-56.1K0.00100.16N/AN/A7022,748287
2023-12-07$23.38$22.5050.1%6.3%18.2%31.2%0.0%17.6%3.1%1.3M-9.6M-55.3K0.0064.87N/AN/A0022,755287
2023-12-08$23.41$22.5048.7%4.9%18.1%29.9%14.9%16.6%14.7%1.2M-9.0M-53.5K0.2075.86N/AN/A5122,755287
2023-12-11$23.33$22.5074.2%6.7%16.6%52.7%0.0%2.7%-0.1%1.4M-11.2M-59.7K0.0065.80N/AN/A0022,710286
2023-12-12$23.38$22.5038.8%6.1%16.1%21.0%0.0%0.9%3.4%1.6M-11.7M-61.7K0.0084.66N/AN/A0022,710286
2023-12-13$24.01$22.5025.1%7.2%14.7%8.7%0.0%3.7%-3.0%1.8M-17.9M-70.7K0.0091.96N/AN/A1022,710286
2023-12-14$24.10$22.5031.5%9.0%14.1%14.5%17.1%0.4%-18.4%1.9M-17.2M-70.8K0.0082.75N/AN/A10022,710286
2023-12-15$23.96$22.5031.8%9.1%14.2%14.7%17.6%12.3%-15.3%1.6M-18.7M-71.5K0.0099.90N/AN/A12,000022,720286
2023-12-18$23.80$22.5034.8%10.0%14.6%17.4%17.6%3.0%-23.6%1.4M-13.3M-78.0K0.0091.16N/AN/A4,1901223,625265
2023-12-19$23.94$22.5025.9%7.4%14.6%9.5%20.4%1.9%-6.8%1.3M-14.9M-90.2K0.0090.66N/AN/A12024,221273
2023-12-20$24.00$22.5017.8%5.1%14.6%2.2%0.0%6.4%8.5%1.4M-16.6M-97.7K0.0093.70N/AN/A1024,232273
2023-12-21$24.29$22.5020.1%5.8%14.8%4.2%0.0%-2.5%11.3%1.6M-19.3M-102.4K0.0090.72N/AN/A0024,233273
2023-12-22$24.42$22.5023.4%6.7%14.2%7.2%19.1%2.5%-2.6%1.6M-17.4M-94.3K0.0386.00N/AN/A78224,233273
2023-12-26$24.77$22.5019.8%5.7%14.6%4.0%70.9%-0.8%12.8%1.7M-20.5M-96.0K0.0099.75N/AN/A3024,208275
2023-12-27$24.64$22.5019.8%5.7%14.9%4.0%19.8%-2.2%22.4%1.8M-19.3M-97.9K0.00114.56N/AN/A30024,210275
2023-12-28$24.72$22.5022.6%6.5%14.6%6.4%21.0%5.1%-2.4%1.7M-18.6M-90.0K0.00112.40N/AN/A20024,210275
2023-12-29$24.68$22.5020.1%5.8%14.5%4.2%21.0%3.1%18.5%1.9M-20.5M-101.7K0.00103.93N/AN/A21024,210275