CSBR Options History — September 2022

In September 2022, CSBR traded between $7.28 and $10.03. ATM implied volatility averaged 174.7%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 55.1%. IV traded above realized volatility by 92.1% (HV 20d: 82.5%). Max pain ranged from $2.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2022-09-06: Highest Volume — 715 contracts
  • 2022-09-08: Largest IV spike — 361.8% change
  • 2022-09-02: Highest IV Rank — 82.0%
  • 2022-09-02: Largest Expected Move — 115.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.03$7.28$10.03$7.44$7.57
Max Pain$10.83$2.50$17.50$2.50$2.50
ATM IV174.7%35.2%402.1%122.2%93.7%
Expected Move55.1%26.5%115.3%35.0%26.9%
HV 20d82.5%36.5%111.7%47.2%108.1%
HV 60d67.5%50.7%78.3%53.6%77.8%
IV Rank31.2%0.0%82.0%17.7%13.2%
IV Percentile48.7%0.0%98.4%27.8%9.5%
Term Structure-29.1%-161.4%127.0%-32.7%3.5%
VWIV167.3%75.8%311.2%75.8%102.3%
Skew 25d-0.0%-171.8%291.8%-56.1%-82.8%
Skew 10d58.9%-245.9%397.8%-64.7%-188.5%
Call IV 25d228.9%57.5%429.3%167.2%176.5%
Put IV 25d228.8%93.7%359.8%111.1%93.7%
Bid-Ask Spread %134.93104.77159.39133.92121.96
Gamma HHI0.350.320.390.340.33
Net GEX16.6K7.9K24.2K11.5K12.6K
Net DEX-941.0K-1.8M-316.9K-680.1K-316.9K
Net VEX-3.8K-5.1K-1.7K-3.6K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.002.110.002.11
Total Volume212.4290715640305
Total OI3,736.6673,1763,9053,1763,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$7.44$2.50122.2%35.0%47.2%17.7%0.0%-56.1%-32.7%11.5K-680.1K-3.6K0.00133.92N/AN/A64003,16214
2022-09-02$7.62$2.50402.1%115.3%48.1%82.0%0.0%-16.3%-161.4%13.6K-1.1M-5.0K0.00159.39N/AN/A003,76414
2022-09-06$7.38$0.0035.2%106.9%36.8%0.0%0.0%-19.6%-33.2%11.3K-1.6M-4.8K0.01147.98N/AN/A70693,76414
2022-09-07$7.28$0.0053.3%100.5%36.5%4.1%0.0%278.4%-57.6%7.9K-1.8M-4.5K0.01150.28N/AN/A70693,76414
2022-09-08$7.32$0.00245.9%33.8%36.8%47.4%0.0%-59.5%49.7%16.6K-983.4K-4.2K0.00137.19N/AN/A003,76414
2022-09-09$7.50$0.00288.4%82.7%39.0%56.9%0.0%-67.1%-61.0%11.2K-1.3M-4.8K0.00141.84N/AN/A003,76414
2022-09-12$7.60$0.00146.8%27.1%39.3%25.1%0.0%161.8%115.8%18.8K-698.5K-3.6K0.00116.36N/AN/A003,76414
2022-09-13$7.50$0.00184.7%27.9%39.1%33.6%0.0%54.8%-6.3%15.8K-445.6K-2.6K0.01114.01N/AN/A70693,76414
2022-09-14$9.55$0.00178.4%51.1%98.1%32.2%0.0%27.3%-96.9%22.8K-759.0K-3.6K0.00140.44N/AN/A003,76414
2022-09-15$10.03$0.0092.4%26.5%99.6%12.9%0.0%8.9%106.6%24.2K-1.3M-5.1K0.00140.56N/AN/A003,76414
2022-09-16$8.83$0.00114.6%32.9%109.9%17.9%0.0%-20.4%19.3%22.4K-1.2M-4.9K0.01104.77N/AN/A65893,76414
2022-09-19$8.85$0.00140.7%40.3%109.3%23.7%0.0%-108.0%-9.2%21.7K-980.0K-4.4K0.00122.90N/AN/A003,76512
2022-09-20$8.81$0.00187.4%53.7%108.7%34.2%0.0%-68.3%-38.3%15.3K-1.6M-5.1K0.00143.55N/AN/A003,68912
2022-09-21$8.77$0.00155.3%44.5%108.5%27.0%75.8%-37.8%23.2%20.9K-1.1M-4.7K0.00146.07N/AN/A403,68912
2022-09-22$8.20$17.50225.4%64.6%110.9%42.7%0.0%-55.8%-147.2%19.8K-572.1K-2.8K0.00148.79N/AN/A003,69312
2022-09-23$8.17$17.50270.0%77.4%110.9%52.8%0.0%291.8%-157.0%16.0K-533.8K-2.7K0.00142.86N/AN/A003,69312
2022-09-26$7.72$17.50222.7%63.8%111.5%42.1%0.0%36.6%-86.8%16.1K-912.2K-3.6K0.07142.05N/AN/A9873,69312
2022-09-27$7.55$17.50231.5%66.4%111.7%44.1%0.0%-171.8%-96.6%17.3K-574.3K-2.6K0.07133.32N/AN/A9873,69312
2022-09-28$7.50$17.50105.5%30.3%111.5%15.8%311.2%2.1%127.0%18.5K-607.7K-2.8K0.89131.32N/AN/A98873,69312
2022-09-29$7.53$2.50171.6%49.2%111.5%30.7%180.1%-99.2%-71.8%14.4K-682.3K-3.1K2.11113.92N/AN/A982073,693212
2022-09-30$7.57$2.5093.7%26.9%108.1%13.2%102.3%-82.8%3.5%12.6K-316.9K-1.7K2.11121.96N/AN/A982073,693212