CSBR Options History — November 2022

In November 2022, CSBR traded between $6.38 and $7.20. ATM implied volatility averaged 269.2%, placing in the 51.3% IV rank vs the trailing year. The 30-day expected move averaged 78.9%. IV traded above realized volatility by 237.5% (HV 20d: 31.7%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2022-11-03: Highest Volume — 127 contracts
  • 2022-11-25: Largest IV spike — 270.8% change
  • 2022-11-29: Highest IV Rank — 82.8%
  • 2022-11-29: Largest Expected Move — 118.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.79$6.38$7.20$7.02$6.94
Max Pain$7.25$5.00$7.50$5.00$7.50
ATM IV269.2%100.3%412.6%120.6%292.5%
Expected Move78.9%29.8%118.3%34.6%83.9%
HV 20d31.7%26.9%36.9%30.2%35.3%
HV 60d68.1%67.0%68.9%67.7%67.0%
IV Rank51.3%14.3%82.8%18.7%56.5%
IV Percentile70.2%10.3%98.0%20.6%84.5%
Term Structure-128.6%-377.6%59.9%50.8%-113.5%
VWIV227.9%75.6%357.3%160.2%118.8%
Skew 25d-42.3%-473.6%264.4%226.3%-165.9%
Skew 10d27.0%-471.0%386.6%311.6%-77.6%
Call IV 25d318.4%46.2%490.1%131.1%333.6%
Put IV 25d276.0%2.5%385.5%357.3%167.7%
Bid-Ask Spread %148.03120.89163.32155.50157.11
Gamma HHI0.370.300.590.550.30
Net GEX761-146.4K4.1K111
Net DEX-41.8K-144.0K-3.9K-93.6K-9.6K
Net VEX-114-499-59-280-77
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.060.700.060.64
Total Volume78.42901271210
Total OI2,503.048583,7263,71962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$7.02$5.00120.6%34.6%30.2%18.7%160.2%226.3%50.8%4.1K-93.6K-2800.06155.50N/AN/A11473,70712
2022-11-02$7.00$5.00190.7%54.7%30.1%34.1%168.6%218.5%-29.9%6.4K-144.0K-4990.08120.89N/AN/A11793,70712
2022-11-03$6.85$0.00100.3%60.0%28.6%14.3%277.6%-205.5%7.6%3.8K-81.0K-2450.09129.93N/AN/A117103,71014
2022-11-04$6.76$7.50218.5%89.3%26.9%40.2%325.4%264.4%-120.9%-14-50.1K-830.09156.05N/AN/A117103,71015
2022-11-07$6.61$7.50246.0%85.6%27.5%46.3%284.1%-114.8%-133.0%6-39.1K-770.10148.47N/AN/A99103,71015
2022-11-08$6.65$7.50398.0%77.5%27.7%79.6%245.2%-93.9%-146.5%87-46.2K-840.10159.52N/AN/A99103,71115
2022-11-09$6.51$7.50272.0%78.0%28.1%52.0%243.8%182.8%-132.4%94-44.2K-820.10155.44N/AN/A99103,71115
2022-11-10$6.70$7.50321.2%92.1%30.3%62.8%276.5%-106.5%-184.8%69-49.5K-790.10163.32N/AN/A99103,71115
2022-11-11$6.49$7.50290.0%83.1%31.5%55.9%303.1%-106.6%-113.6%53-47.5K-760.10156.29N/AN/A99103,71115
2022-11-14$6.38$7.50395.3%113.3%31.3%79.0%357.3%-473.6%-58.4%82-33.8K-600.10154.47N/AN/A99103,71115
2022-11-15$6.41$7.50354.5%101.6%30.6%70.1%350.5%-98.8%-168.5%68-47.4K-720.10163.10N/AN/A99103,71115
2022-11-16$6.51$7.50359.3%103.0%31.6%71.1%286.1%-158.3%-268.4%71-47.4K-750.10151.09N/AN/A99103,71115
2022-11-17$6.73$7.50252.8%72.5%34.7%47.7%75.6%-179.2%-377.6%118-41.6K-800.10148.43N/AN/A99103,71115
2022-11-18$6.95$7.50192.8%55.3%36.9%34.6%197.5%-157.2%-77.9%153-40.4K-800.10131.99N/AN/A99103,71115
2022-11-21$7.15$7.50222.4%63.8%32.6%41.1%100.0%-108.5%-216.4%160-7.3K-720.70126.45N/AN/A107499
2022-11-22$7.20$7.50103.8%29.8%32.5%15.1%103.5%176.7%59.9%167-8.2K-740.64121.10N/AN/A117499
2022-11-23$6.98$7.50106.7%30.6%33.9%15.7%118.8%167.1%-14.3%115-3.9K-590.64131.63N/AN/A117509
2022-11-25$6.80$7.50395.7%113.5%34.8%79.1%0.0%-64.6%-184.1%101-14.1K-780.00159.35N/AN/A02509
2022-11-28$6.93$7.50406.5%116.6%34.9%81.5%0.0%-42.7%-275.0%106-12.7K-800.00163.10N/AN/A005011
2022-11-29$7.03$7.50412.6%118.3%35.2%82.8%0.0%-48.7%-202.8%93-16.2K-790.00155.49N/AN/A015011
2022-11-30$6.94$7.50292.5%83.9%35.3%56.5%0.0%-165.9%-113.5%111-9.6K-770.00157.11N/AN/A005012