CBL Options History — June 2008

In June 2008, CBL traded between $22.76 and $26.70. ATM implied volatility averaged 34.7%. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.1% (HV 20d: 34.7%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.62.

Notable Days

  • 2008-06-24: Highest Volume — 141 contracts
  • 2008-06-05: Largest IV drop — 22.9% change
  • 2008-06-30: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.09$22.76$26.70$25.80$22.84
Max Pain$23.53$22.50$25.00$25.00$25.00
ATM IV34.7%25.2%38.8%37.0%38.8%
Expected Move10.1%7.2%11.1%10.6%11.1%
HV 20d34.7%29.0%42.1%30.1%41.0%
Term Structure0.3%-1.7%13.3%-0.1%0.0%
VWIV36.1%34.4%37.9%35.6%37.9%
Bid-Ask Spread %75.9730.50109.4398.6661.95
Gamma HHI0.690.511.001.000.59
Net GEX1.3K-6.8K45.1K0-3.6K
Net DEX48.1K-20.1K184.6K0168.4K
Net VEX-552-1.5K00-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.620.009.070.000.00
Total Volume20.0480141104
Total OI106.66702890289

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$25.80$0.0037.0%10.6%0.0%0.0%0.0%0.0%-0.1%0000.0098.66N/AN/A01000
2008-06-03$25.93$0.0035.4%10.2%0.0%0.0%35.6%0.0%-1.0%-3487.2K-640.0099.85N/AN/A100010
2008-06-04$26.15$25.0032.7%9.4%0.0%0.0%0.0%0.0%2.6%929-12.6K-800.00107.40N/AN/A001010
2008-06-05$26.70$25.0025.2%7.2%0.0%0.0%0.0%0.0%13.3%-332-20.1K-620.00109.43N/AN/A001010
2008-06-06$25.61$0.0030.3%10.3%0.0%0.0%0.0%0.0%-1.7%1.1K-10.4K-810.0091.72N/AN/A001010
2008-06-09$24.72$0.0033.3%10.2%0.0%0.0%34.9%0.0%-0.7%1.8K-3.6K-826.0078.02N/AN/A10601010
2008-06-10$24.91$25.0033.1%10.0%0.0%0.0%0.0%0.0%-0.3%-63854.9K-4490.0067.97N/AN/A302070
2008-06-11$24.90$25.0031.7%10.0%0.0%0.0%0.0%0.0%-0.7%-42749.3K-4670.0070.76N/AN/A102370
2008-06-12$25.25$22.5035.2%10.1%0.0%0.0%34.4%0.0%-0.8%5.7K40.9K-4760.0074.63N/AN/A102470
2008-06-13$25.76$22.5034.3%9.8%0.0%0.0%0.0%0.0%-1.0%-2.8K-2.4K-4440.0078.27N/AN/A602570
2008-06-16$25.79$22.5035.2%10.1%0.0%0.0%0.0%0.0%-1.6%-1.3K753-4770.0085.97N/AN/A002970
2008-06-17$25.63$22.5035.3%10.1%0.0%0.0%0.0%0.0%-1.1%1.9K6.4K-4800.0080.92N/AN/A0302970
2008-06-18$25.50$22.5034.3%9.8%0.0%0.0%0.0%0.0%0.1%45.1K18.9K-5280.0074.35N/AN/A702980
2008-06-19$25.73$22.5034.5%9.9%0.0%0.0%0.0%0.0%-0.9%-1.3K11.4K-5520.0085.95N/AN/A033080
2008-06-20$25.18$22.5035.4%10.1%30.1%0.0%0.0%0.0%0.3%3.3K42.6K-5500.0077.95N/AN/A003083
2008-06-23$24.68$22.5036.1%10.4%29.9%0.0%0.0%0.0%-0.5%-3.3K67.3K-5390.0072.46N/AN/A002083
2008-06-24$24.69$22.5036.7%10.5%29.0%0.0%0.0%0.0%0.2%-2.9K68.1K-5399.0775.02N/AN/A141272083
2008-06-25$25.19$22.5037.0%10.6%29.5%0.0%36.3%0.0%1.5%-6.8K155.4K-1.4K0.0032.49N/AN/A26030205
2008-06-26$23.09$25.0038.7%11.1%42.1%0.0%37.3%0.0%-0.3%-4.6K183.6K-1.4K0.9830.50N/AN/A424154205
2008-06-27$22.76$25.0038.7%11.1%41.1%0.0%0.0%0.0%-0.3%-4.6K184.6K-1.4K3.3341.11N/AN/A62054205
2008-06-30$22.84$25.0038.8%11.1%41.0%0.0%37.9%0.0%0.0%-3.6K168.4K-1.5K0.0061.95N/AN/A4075214