CBL Options History — July 2008

In July 2008, CBL traded between $19.39 and $22.72. ATM implied volatility averaged 50.6%. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 5.5% (HV 20d: 56.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 8.15.

Notable Days

  • 2008-07-25: Highest Volume — 285 contracts
  • 2008-07-23: Largest IV spike — 16.0% change
  • 2008-07-28: Largest Expected Move — 19.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.89$19.39$22.72$22.72$19.42
Max Pain$22.61$20.00$25.00$25.00$22.50
ATM IV50.6%38.5%66.8%38.5%65.4%
Expected Move14.5%11.0%19.2%11.0%18.8%
HV 20d56.1%38.4%69.3%40.7%69.0%
Term Structure-2.5%-6.7%0.9%0.9%-5.0%
VWIV49.6%26.0%66.8%39.5%65.4%
Skew 25d3.2%-1.8%12.2%12.2%2.6%
Skew 10d10.8%0.4%27.6%12.0%10.0%
Call IV 25d51.1%38.4%64.3%38.4%62.8%
Put IV 25d54.2%42.3%68.3%50.6%65.4%
Bid-Ask Spread %65.6948.4894.7149.9657.74
Gamma HHI0.470.260.720.580.29
Net GEX-15.2K-29.4K-3.4K-3.4K-18.3K
Net DEX538.9K175.7K889.6K175.7K889.6K
Net VEX-2.9K-4.2K-1.5K-1.5K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.150.0050.000.000.13
Total Volume87.50285617
Total OI827.2732931,4772931,477

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$22.72$25.0038.5%11.0%40.7%0.0%0.0%0.0%0.9%-3.4K175.7K-1.5K0.0049.96N/AN/A6079214
2008-07-02$22.06$25.0039.5%11.3%41.1%0.0%39.5%0.0%0.3%-3.8K190.4K-1.5K50.0071.73N/AN/A525085214
2008-07-03$21.93$22.5038.8%11.1%39.6%0.0%26.0%0.0%0.3%-12.4K329.8K-2.3K10.0048.48N/AN/A11090453
2008-07-07$21.36$22.5039.1%11.5%38.4%0.0%0.0%0.0%-0.6%-13.5K373.1K-2.2K2.5073.32N/AN/A287089453
2008-07-08$22.49$22.5043.3%11.9%42.6%0.0%0.0%0.0%0.1%-11.7K286.3K-2.3K3.3354.64N/AN/A62099475
2008-07-09$20.57$22.5044.7%13.1%51.8%0.0%44.2%0.0%-2.3%-17.4K437.6K-2.2K1.1366.06N/AN/A1517105485
2008-07-10$20.98$22.5045.8%13.1%52.7%0.0%0.0%0.0%-1.2%-19.0K449.1K-2.2K0.0064.62N/AN/A070101502
2008-07-11$20.89$22.5045.5%13.0%52.1%0.0%0.0%0.0%-3.0%-16.7K430.1K-2.2K0.0068.06N/AN/A094101477
2008-07-14$19.39$22.5047.6%13.7%55.7%0.0%43.9%0.0%-4.0%-18.3K582.7K-2.0K2.2261.80N/AN/A50111101508
2008-07-15$19.48$20.0049.0%14.0%55.8%0.0%36.4%12.2%-3.7%-19.6K665.7K-2.3K12.9594.71N/AN/A20259140579
2008-07-16$20.31$22.5049.4%14.2%59.2%0.0%49.2%5.5%-2.7%-29.4K755.9K-3.3K0.0052.33N/AN/A010160793
2008-07-17$20.65$22.5048.8%14.0%60.0%0.0%47.2%-1.8%-2.1%-19.4K528.4K-2.7K6.1683.80N/AN/A25154160601
2008-07-18$20.81$22.5048.7%14.0%60.0%0.0%0.0%0.1%-0.1%-19.2K637.4K-3.4K0.0059.48N/AN/A200182725
2008-07-21$20.90$22.5049.3%14.1%60.1%0.0%0.0%0.6%-2.2%-16.4K622.1K-3.3K0.0062.17N/AN/A00163690
2008-07-22$21.33$22.5047.9%13.7%60.8%0.0%47.9%7.7%0.3%-16.2K597.7K-3.4K0.0075.48N/AN/A100163690
2008-07-23$22.29$22.5055.6%15.9%63.4%0.0%55.6%-1.5%-5.1%-14.6K443.1K-3.6K0.0063.87N/AN/A1500173690
2008-07-24$20.38$22.5055.9%16.0%69.3%0.0%56.0%-1.7%-3.8%-12.5K656.4K-3.3K0.0070.53N/AN/A025323690
2008-07-25$20.49$22.5061.0%17.5%63.3%0.0%43.9%4.8%-1.8%-11.7K658.9K-3.4K1.2674.38N/AN/A126159323710
2008-07-28$19.81$22.5066.8%19.2%64.0%0.0%66.8%2.4%-6.5%-13.8K752.6K-3.7K44.5065.17N/AN/A289449857
2008-07-29$20.80$22.5066.0%18.9%67.0%0.0%59.9%1.1%-6.7%-13.6K687.9K-4.1K0.8076.25N/AN/A4435435946
2008-07-30$20.55$22.5066.1%19.0%67.0%0.0%61.6%9.1%-5.7%-13.9K704.3K-4.2K3.5050.54N/AN/A621484966
2008-07-31$19.42$22.5065.4%18.8%69.0%0.0%65.4%2.6%-5.0%-18.3K889.6K-3.9K0.1357.74N/AN/A152490987