CBL Options History — August 2008

In August 2008, CBL traded between $19.21 and $22.24. ATM implied volatility averaged 51.0%. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 8.2% (HV 20d: 59.2%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 10.92.

Notable Days

  • 2008-08-22: Highest Volume — 1,417 contracts
  • 2008-08-14: Largest IV spike — 34.7% change
  • 2008-08-01: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.87$19.21$22.24$19.71$21.69
Max Pain$20.12$20.00$22.50$22.50$20.00
ATM IV51.0%37.7%65.8%62.7%38.5%
Expected Move14.6%11.0%18.0%18.0%11.0%
HV 20d59.2%47.3%69.4%69.4%47.4%
HV 60d54.1%52.4%56.5%53.5%53.6%
Term Structure-2.5%-12.0%2.0%-2.2%1.2%
VWIV52.4%40.0%70.3%68.9%40.0%
Skew 25d7.2%-1.0%14.4%5.6%10.1%
Skew 10d16.2%0.4%33.2%12.1%12.3%
Call IV 25d47.1%33.4%58.8%58.8%33.8%
Put IV 25d54.3%40.6%70.3%64.5%43.9%
Bid-Ask Spread %57.6447.4368.1957.7368.19
Gamma HHI0.390.280.520.290.45
Net GEX-32.4K-71.7K-7.6K-18.1K-56.6K
Net DEX943.3K415.0K1.8M864.0K1.2M
Net VEX-5.5K-10.1K-3.7K-3.9K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.920.00100.216.000.00
Total Volume119.71401,417140
Total OI1,905.9521,2133,1691,4943,169

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$19.71$22.5062.7%18.0%69.4%0.0%0.0%5.6%-2.2%-18.1K864.0K-3.9K6.0057.73N/AN/A212505989
2008-08-04$19.21$20.0063.4%17.1%69.4%0.0%68.9%13.3%-10.8%-20.2K930.3K-3.7K0.0058.13N/AN/A0295071,001
2008-08-05$19.67$20.0065.8%17.5%67.0%0.0%70.3%14.4%-12.0%-19.6K897.1K-3.9K6.8053.45N/AN/A5345071,018
2008-08-06$21.00$20.0059.1%15.6%64.2%0.0%51.9%8.9%-6.1%-17.5K681.9K-4.1K0.3250.05N/AN/A82265071,030
2008-08-07$20.74$20.0059.9%15.8%63.9%0.0%53.1%7.2%-6.5%-18.1K729.6K-4.1K0.0050.83N/AN/A0345401,034
2008-08-08$22.14$20.0055.7%14.6%68.0%0.0%0.0%5.2%-4.5%-7.7K436.4K-4.4K3.5052.87N/AN/A275401,054
2008-08-11$22.24$20.0053.6%14.8%61.6%0.0%0.0%5.0%-4.2%-7.6K415.0K-4.1K0.0057.02N/AN/A1505421,047
2008-08-12$21.51$20.0040.8%14.5%63.2%0.0%58.9%7.9%-4.4%-16.8K628.7K-4.0K0.0053.95N/AN/A0255331,047
2008-08-13$21.41$20.0037.7%14.6%61.8%0.0%55.8%10.3%-3.0%-20.0K677.4K-4.0K0.0055.58N/AN/A045331,072
2008-08-14$21.55$20.0050.8%14.6%61.6%0.0%0.0%7.5%-3.4%-18.7K665.4K-3.9K0.0058.50N/AN/A2005331,076
2008-08-15$21.39$20.0048.0%13.8%61.6%0.0%49.1%7.2%-0.4%-23.3K685.5K-4.0K2.5054.63N/AN/A16405531,076
2008-08-18$21.01$20.0050.8%14.6%62.0%0.0%49.7%7.7%0.3%-25.7K671.8K-3.8K13.0855.90N/AN/A121572101,003
2008-08-19$20.41$20.0049.2%14.1%62.4%0.0%0.0%9.2%0.7%-33.6K932.5K-4.2K0.0061.84N/AN/A022121,160
2008-08-20$20.40$20.0049.6%14.2%59.9%0.0%46.7%7.4%1.6%-33.7K933.8K-4.1K20.0059.83N/AN/A102002121,162
2008-08-21$20.14$20.0049.9%14.3%51.0%0.0%48.3%8.3%2.0%-38.3K1.1M-5.0K0.1047.43N/AN/A137142221,352
2008-08-22$20.70$20.0048.2%13.8%51.9%0.0%0.0%-1.0%0.8%-35.6K973.0K-5.1K100.2159.35N/AN/A141,4033081,352
2008-08-25$20.19$20.0049.3%14.1%51.2%0.0%49.4%3.7%-0.9%-70.8K1.8M-9.9K0.0060.74N/AN/A01103222,732
2008-08-26$20.71$20.0049.1%14.1%49.0%0.0%49.5%1.0%-0.9%-70.3K1.7M-9.9K0.3760.75N/AN/A27103222,760
2008-08-27$20.71$20.0048.0%13.8%48.8%0.0%42.1%-0.0%-0.5%-71.7K1.7M-10.1K0.0067.14N/AN/A4003592,770
2008-08-28$21.84$20.0039.9%11.4%47.3%0.0%40.0%12.4%0.3%-57.3K1.2M-9.5K0.0066.42N/AN/A2503842,770
2008-08-29$21.69$20.0038.5%11.0%47.4%0.0%0.0%10.1%1.2%-56.6K1.2M-9.7K0.0068.19N/AN/A003992,770