CBL Options History — September 2024

In September 2024, CBL traded between $24.70 and $26.27. ATM implied volatility averaged 30.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 13.5% (HV 20d: 16.7%). Max pain ranged from $23.00 to $27.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 11.80.

Notable Days

  • 2024-09-04: Highest Volume — 44 contracts
  • 2024-09-27: Largest IV spike — 73.7% change
  • 2024-09-06: Highest IV Rank — 30.5%
  • 2024-09-05: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.43$24.70$26.27$26.27$25.24
Max Pain$24.10$23.00$27.00$25.00$24.00
ATM IV30.2%20.0%46.1%24.3%22.0%
Expected Move8.4%5.7%12.2%7.0%6.3%
HV 20d16.7%14.3%18.4%16.8%14.5%
HV 60d20.8%20.1%21.3%20.8%20.1%
IV Rank17.2%8.4%30.5%11.6%10.2%
IV Percentile33.7%4.8%73.8%15.5%9.9%
Term Structure-8.6%-27.4%7.8%7.8%0.2%
VWIV34.7%17.2%51.8%17.2%24.0%
Skew 25d-1.7%-30.0%13.2%-30.0%-0.8%
Skew 10d-1.0%-24.7%15.5%-24.7%-13.1%
Call IV 25d25.9%17.3%49.4%49.4%18.6%
Put IV 25d24.2%15.1%37.5%19.3%17.8%
Bid-Ask Spread %117.78104.00128.26118.70104.00
Gamma HHI0.310.290.330.310.31
Net GEX1.6M1.4M1.7M1.5M1.7M
Net DEX-20.8M-25.7M-16.4M-25.7M-18.9M
Net VEX-65.7K-73.6K-56.4K-72.6K-56.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.800.0025.0013.000.00
Total Volume6.6044281
Total OI16,730.916,68216,76416,69016,682

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$26.27$25.0024.3%7.0%16.8%11.6%17.2%-30.0%7.8%1.5M-25.7M-72.6K13.00118.70N/AN/A22616,580110
2024-09-04$25.75$25.0036.1%10.4%18.4%21.9%29.3%-10.6%-13.2%1.4M-22.7M-73.6K21.00119.89N/AN/A24216,582132
2024-09-05$25.98$23.0037.2%12.2%17.8%22.9%0.0%2.0%-19.6%1.4M-24.7M-71.6K0.00126.61N/AN/A0016,584174
2024-09-06$25.82$23.0046.1%12.0%18.0%30.5%0.0%5.5%-20.5%1.5M-22.9M-72.5K0.00128.26N/AN/A0616,584174
2024-09-09$25.52$23.0041.6%8.9%18.3%26.6%0.0%13.2%-14.1%1.6M-20.3M-69.5K0.00121.79N/AN/A0016,584180
2024-09-10$25.63$23.0039.2%8.2%17.6%24.6%0.0%11.0%-9.5%1.7M-21.4M-69.0K0.00122.02N/AN/A0016,584180
2024-09-11$25.59$23.0030.8%8.8%17.0%17.3%0.0%11.5%-11.7%1.7M-20.9M-68.3K0.00120.80N/AN/A0016,584180
2024-09-12$25.67$23.0025.7%7.4%17.1%12.9%0.0%8.4%-9.2%1.6M-20.9M-67.6K0.00117.24N/AN/A0016,584180
2024-09-13$25.45$24.0034.7%9.9%17.3%21.9%0.0%9.4%-6.4%1.6M-21.7M-68.3K0.00118.76N/AN/A0016,571180
2024-09-16$25.30$24.0025.9%7.4%17.4%13.8%46.1%0.4%-7.5%1.5M-21.0M-67.8K0.00113.82N/AN/A0116,571180
2024-09-17$25.28$24.0020.0%5.7%17.3%8.4%0.0%4.4%3.3%1.6M-20.3M-65.3K0.00114.45N/AN/A0016,571180
2024-09-18$25.38$24.0031.9%9.2%17.3%19.3%0.0%-10.2%-9.7%1.6M-21.7M-65.5K0.00125.11N/AN/A0016,571180
2024-09-19$25.25$24.0021.3%6.1%16.9%9.6%0.0%-0.7%3.7%1.5M-19.8M-63.7K0.00118.28N/AN/A0016,571180
2024-09-20$24.70$24.0026.3%7.5%18.4%14.2%51.8%-16.1%-3.6%1.5M-16.4M-59.2K25.00115.15N/AN/A12516,571174
2024-09-23$25.09$27.0031.5%9.0%14.5%18.9%0.0%5.7%-16.6%1.6M-19.2M-63.2K0.00115.17N/AN/A0016,567140
2024-09-24$25.29$27.0027.4%7.9%15.0%15.2%39.6%1.7%-16.7%1.7M-19.7M-60.7K0.00112.25N/AN/A02516,567140
2024-09-25$25.20$24.0022.7%6.5%14.9%10.9%0.0%-5.3%-2.5%1.7M-19.0M-60.2K0.00114.94N/AN/A0016,567115
2024-09-26$25.13$24.0021.3%6.1%14.3%9.6%0.0%-13.6%2.3%1.6M-19.6M-60.5K0.00110.08N/AN/A1016,567115
2024-09-27$25.15$24.0037.0%10.6%14.4%23.9%0.0%-20.9%-27.4%1.6M-18.8M-59.1K0.00118.22N/AN/A0016,567115
2024-09-30$25.24$24.0022.0%6.3%14.5%10.2%24.0%-0.8%0.2%1.7M-18.9M-56.4K0.00104.00N/AN/A1016,567115