CBL Options History — October 2008

In October 2008, CBL traded between $6.62 and $19.81. ATM implied volatility averaged 138.6%. The 30-day expected move averaged 40.8%. IV traded below realized volatility by 51.3% (HV 20d: 189.9%). Max pain ranged from $10.00 to $20.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.69.

Notable Days

  • 2008-10-07: Highest Volume — 565 contracts
  • 2008-10-07: Largest IV spike — 154.5% change
  • 2008-10-03: Largest Expected Move — 56.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.47$6.62$19.81$19.81$9.23
Max Pain$13.26$10.00$20.00$20.00$10.00
ATM IV138.6%56.5%197.1%78.7%138.3%
Expected Move40.8%22.6%56.5%22.6%39.6%
HV 20d189.9%82.3%217.8%82.3%215.6%
HV 60d121.8%66.2%140.7%66.2%140.7%
Term Structure-23.8%-113.6%62.1%-3.2%-17.7%
VWIV138.8%82.6%171.9%82.6%139.9%
Skew 25d25.6%-85.7%147.0%14.8%13.8%
Skew 10d30.8%-69.8%148.8%33.0%28.8%
Call IV 25d116.6%54.0%173.3%67.6%139.1%
Put IV 25d142.2%15.5%230.7%82.4%152.9%
Bid-Ask Spread %93.5070.14146.7070.1487.98
Gamma HHI0.390.200.680.440.25
Net GEX-11.7K-65.7K-479-65.7K-573
Net DEX1.7M612.0K3.0M2.0M660.5K
Net VEX-3.1K-9.6K-787-9.6K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0712.217.330.33
Total Volume98.60955652560
Total OI2,694.131,6113,3293,2301,806

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-10-01$19.81$20.0078.7%22.6%82.3%0.0%82.6%14.8%-3.2%-65.7K2.0M-9.6K7.3370.14N/AN/A3222802,950
2008-10-02$17.70$20.0085.6%24.5%90.6%0.0%84.4%11.4%-2.7%-63.4K2.7M-8.8K3.0074.24N/AN/A21632802,962
2008-10-03$14.61$20.00197.1%56.5%111.3%0.0%171.6%147.0%-113.6%-29.8K2.5M-7.4K6.22146.70N/AN/A321992783,006
2008-10-06$14.09$17.5056.5%24.2%108.9%0.0%0.0%44.0%-29.0%-20.3K3.0M-5.6K0.00115.44N/AN/A0192972,962
2008-10-07$9.02$17.50143.9%44.7%185.7%0.0%171.9%-34.4%-113.2%-6.4K2.5M-1.4K1.3195.30N/AN/A2453202972,952
2008-10-08$10.81$12.50143.6%48.7%201.9%0.0%148.3%132.9%-11.9%-7.7K2.6M-2.2K0.28100.71N/AN/A127354622,672
2008-10-09$10.11$12.50177.1%43.6%201.2%0.0%133.8%24.8%-52.7%-7.1K2.0M-3.6K0.50114.63N/AN/A42215892,662
2008-10-10$11.50$12.50139.2%25.0%208.9%0.0%98.5%-85.7%62.1%-9.4K2.0M-4.8K1.50136.91N/AN/A28426192,681
2008-10-13$11.75$12.50119.1%36.8%209.3%0.0%124.2%45.9%-19.0%-11.5K2.5M-3.4K3.3389.26N/AN/A15506152,685
2008-10-14$11.59$12.5073.6%40.7%206.9%0.0%84.8%-8.1%49.5%-11.6K2.0M-4.5K2.45117.46N/AN/A20496122,685
2008-10-15$9.52$12.50130.3%41.8%215.0%0.0%140.8%60.5%-13.6%-6.0K2.2M-2.4K3.4188.26N/AN/A17586122,717
2008-10-16$9.44$12.50146.0%41.9%214.3%0.0%147.9%12.0%-17.1%-5.6K2.2M-2.2K0.6777.13N/AN/A326192,680
2008-10-17$9.70$12.50147.1%42.2%211.1%0.0%144.4%70.5%-20.4%-6.7K2.1M-2.6K12.2176.43N/AN/A141716222,680
2008-10-20$9.91$12.50146.7%42.0%210.8%0.0%144.8%41.6%-17.1%-7.0K1.7M-2.5K0.1672.48N/AN/A3155132,198
2008-10-21$9.12$12.50145.4%41.7%211.1%0.0%141.5%48.3%-19.0%-5.1K1.6M-2.1K5.0076.67N/AN/A241205402,200
2008-10-22$8.26$12.50154.6%44.3%211.9%0.0%138.9%0.7%-32.1%-1.2K703.9K-1.1K6.2980.80N/AN/A7445391,116
2008-10-23$7.81$12.50156.4%44.8%210.2%0.0%151.6%13.2%-24.0%-479670.3K-7871.8087.26N/AN/A751355461,065
2008-10-24$6.99$10.00163.5%46.9%209.5%0.0%160.2%10.2%-25.7%-852631.3K-8910.1485.63N/AN/A5076061,180
2008-10-27$6.62$10.00161.8%46.4%208.4%0.0%159.0%1.6%-26.2%-903612.0K-8220.0783.62N/AN/A1416191,181
2008-10-28$7.31$10.00162.8%46.7%211.8%0.0%164.3%22.4%-34.0%-782658.8K-8150.2886.88N/AN/A1856321,148
2008-10-29$7.55$10.00159.0%45.6%213.5%0.0%158.8%-20.0%-35.5%-650643.6K-9511.1994.47N/AN/A21256491,148
2008-10-30$8.29$10.00161.5%46.3%217.8%0.0%162.2%20.7%-31.8%-688651.6K-1.1K1.6792.21N/AN/A356601,143
2008-10-31$9.23$10.00138.3%39.6%215.6%0.0%139.9%13.8%-17.7%-573660.5K-1.3K0.3387.98N/AN/A45156631,143