CBL Options History — September 2008

In September 2008, CBL traded between $18.97 and $23.19. ATM implied volatility averaged 64.3%. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 10.2% (HV 20d: 54.1%). 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 11 of 21 days. Put/call ratio averaged 4.48.

Notable Days

  • 2008-09-18: Highest Volume — 648 contracts
  • 2008-09-18: Largest IV spike — 86.8% change
  • 2008-09-29: Largest Expected Move — 39.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.26$18.97$23.19$22.04$20.08
Max Pain$20.24$20.00$22.50$20.00$20.00
ATM IV64.3%39.2%137.1%39.2%82.2%
Expected Move18.3%11.2%39.3%11.2%23.6%
HV 20d54.1%37.0%82.3%46.1%82.3%
HV 60d57.8%52.7%67.1%53.2%67.1%
Term Structure-6.6%-69.7%8.2%3.1%-4.5%
VWIV80.8%44.0%152.3%44.0%56.6%
Skew 25d8.5%-5.0%21.1%11.9%17.6%
Skew 10d15.3%-29.8%40.7%17.4%32.7%
Call IV 25d52.2%33.3%87.7%33.3%66.5%
Put IV 25d60.7%37.6%101.1%45.1%84.1%
Bid-Ask Spread %84.6455.13174.0069.87114.75
Gamma HHI0.440.390.480.420.45
Net GEX-63.4K-87.8K-35.0K-52.6K-68.1K
Net DEX1.5M737.5K2.2M1.1M1.8M
Net VEX-9.5K-10.2K-8.7K-9.2K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.0025.000.000.00
Total Volume97.95206483210
Total OI3,327.4762,9564,0143,1693,229

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$22.04$20.0039.2%11.2%46.1%0.0%44.0%11.9%3.1%-52.6K1.1M-9.2K0.0069.87N/AN/A3203992,770
2008-09-03$22.08$20.0040.2%11.5%45.7%0.0%0.0%12.0%0.7%-51.6K1.1M-9.1K0.0069.33N/AN/A003972,770
2008-09-04$21.55$20.0040.8%11.7%41.1%0.0%0.0%5.1%0.5%-58.5K1.2M-9.2K0.0069.73N/AN/A003972,770
2008-09-05$21.01$20.0050.6%13.7%41.9%0.0%0.0%2.7%0.4%-67.1K1.5M-9.5K0.0058.28N/AN/A02763972,770
2008-09-08$21.97$20.0045.6%12.4%38.1%0.0%46.8%6.6%6.7%-87.8K1.4M-9.4K25.0069.84N/AN/A1253973,364
2008-09-09$21.51$20.0045.1%12.5%38.8%0.0%0.0%4.5%5.5%-67.9K1.4M-9.2K0.0071.81N/AN/A0603982,894
2008-09-10$21.38$20.0046.8%12.2%37.0%0.0%0.0%0.5%5.0%-69.9K1.4M-9.2K0.0066.26N/AN/A023982,924
2008-09-11$21.78$20.0041.9%12.0%37.5%0.0%0.0%-5.0%8.2%-60.1K1.2M-8.8K0.0071.14N/AN/A0853982,922
2008-09-12$22.23$20.0043.9%12.6%38.1%0.0%0.0%-2.8%5.2%-54.9K1.1M-9.3K0.0070.05N/AN/A003983,007
2008-09-15$20.75$20.0049.2%14.1%45.6%0.0%0.0%6.1%3.5%-82.4K1.7M-9.3K0.0080.08N/AN/A0753983,007
2008-09-16$22.02$20.0044.3%12.7%49.9%0.0%0.0%9.0%3.3%-63.1K1.3M-9.2K7.8076.66N/AN/A10783983,065
2008-09-17$21.05$20.0057.9%16.6%51.6%0.0%57.2%8.5%-4.5%-81.2K1.7M-9.5K0.0066.18N/AN/A01804063,072
2008-09-18$21.40$20.00108.2%31.0%51.8%0.0%146.7%-2.8%-69.7%-44.0K1.5M-9.6K11.96156.75N/AN/A505984063,153
2008-09-19$23.19$20.0059.2%17.0%58.3%0.0%62.0%5.4%-4.1%-57.7K737.5K-8.7K0.89133.62N/AN/A2021794563,558
2008-09-22$20.77$20.0079.3%22.7%71.0%0.0%77.0%8.8%-6.2%-67.7K1.8M-9.8K1.2298.95N/AN/A41501712,785
2008-09-23$20.61$22.5085.3%24.5%70.5%0.0%0.0%19.0%-11.2%-67.8K2.1M-10.2K0.0089.13N/AN/A0202322,934
2008-09-24$20.17$22.5085.3%24.5%70.3%0.0%85.7%16.4%-6.6%-65.7K2.2M-10.1K0.0057.51N/AN/A3002322,944
2008-09-25$20.74$20.0083.1%23.8%71.1%0.0%85.7%17.5%-5.8%-67.2K2.0M-10.1K0.8858.48N/AN/A16142622,944
2008-09-26$21.24$20.0084.6%24.3%68.9%0.0%74.3%21.1%-6.9%-61.9K1.6M-10.1K0.0055.13N/AN/A1802782,950
2008-09-29$18.97$20.00137.1%39.3%79.5%0.0%152.3%15.9%-62.1%-35.0K1.9M-9.8K1.50174.00N/AN/A232772,950
2008-09-30$20.08$20.0082.2%23.6%82.3%0.0%56.6%17.6%-4.5%-68.1K1.8M-9.6K0.00114.75N/AN/A1002792,950