CBL Options History — November 2008 In November 2008, CBL traded between $3.28 and $9.93. ATM implied volatility averaged 170.1%, placing in the 75.3% IV rank vs the trailing year. The 30-day expected move averaged 47.0%. IV traded below realized volatility by 10.8% (HV 20d: 180.9%). Max pain ranged from $5.00 to $22.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.59.
Notable Days 2008-11-17 : Highest Volume — 1,133 contracts2008-11-20 : Largest IV spike — 43.9% change2008-11-28 : Highest IV Rank — 75.4%2008-11-24 : Largest Expected Move — 69.4%Monthly Statistics Metric Avg Min Max Open Close Price $5.38 $3.28 $9.93 $8.94 $4.07 Max Pain $12.63 $5.00 $22.50 $10.00 $5.00 ATM IV 170.1% 119.2% 241.9% 144.4% 188.5% Expected Move 47.0% 34.2% 69.4% 41.4% 54.0% HV 20d 180.9% 151.2% 215.6% 215.6% 192.8% HV 60d 161.6% 139.7% 174.1% 139.7% 174.1% IV Rank 75.3% 75.2% 75.4% 75.2% 75.4% IV Percentile 96.0% 96.0% 96.1% 96.0% 96.1% Term Structure -22.9% -65.3% 27.1% -28.8% -14.9% VWIV 154.1% 119.2% 233.9% 145.8% 188.4% Skew 25d 12.4% -94.5% 54.3% 4.8% 16.0% Skew 10d 24.8% -28.2% 59.6% 22.6% 20.2% Call IV 25d 143.1% 90.2% 248.9% 148.8% 158.8% Put IV 25d 155.5% 115.8% 234.9% 153.6% 174.8% Bid-Ask Spread % 97.09 86.96 108.85 89.47 98.13 Gamma HHI 0.45 0.17 0.76 0.28 0.65 Net GEX 999 -738 6.9K -225 2.5K Net DEX 460.9K 134.0K 683.1K 631.5K 166.9K Net VEX -809 -1.4K -283 -1.3K -913 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.59 0.00 6.67 2.42 6.67 Total Volume 194.053 0 1,133 89 23 Total OI 2,785.158 1,855 3,827 1,855 2,719
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-11-03 $8.94 $10.00 144.4% 41.4% 215.6% 0.0% 145.8% 4.8% -28.8% -225 631.5K -1.3K 2.42 89.47 N/A N/A 26 63 702 1,153 2008-11-04 $9.93 $10.00 142.7% 40.9% 151.2% 0.0% 138.7% 7.9% -25.4% 250 658.3K -1.4K 0.36 86.96 N/A N/A 64 23 716 1,165 2008-11-05 $7.60 $10.00 119.2% 34.2% 165.0% 0.0% 122.4% 25.7% -18.4% -619 683.1K -766 2.64 98.57 N/A N/A 56 148 753 1,177 2008-11-06 $6.98 $10.00 153.8% 44.1% 165.9% 0.0% 149.5% -24.9% -37.4% -219 641.4K -779 0.30 92.14 N/A N/A 540 162 796 1,190 2008-11-07 $7.36 $22.50 150.0% 34.4% 159.0% 0.0% 119.2% 28.4% -25.1% 6.9K 361.4K -1.4K 5.69 93.52 N/A N/A 45 256 1,632 1,285 2008-11-10 $6.54 $17.50 149.3% 35.0% 161.6% 0.0% 120.4% -6.2% -15.0% 4.4K 493.4K -1.4K 2.78 91.62 N/A N/A 36 100 1,672 1,437 2008-11-11 $5.63 $22.50 174.0% 41.1% 167.0% 0.0% 129.0% 28.1% -31.0% 719 657.9K -851 2.91 91.94 N/A N/A 23 67 1,341 1,517 2008-11-12 $5.35 $22.50 165.6% 38.3% 156.0% 0.0% 135.8% 11.9% -16.3% 155 646.0K -748 0.77 95.56 N/A N/A 26 20 1,362 1,520 2008-11-13 $6.08 $22.50 138.5% 39.7% 165.6% 0.0% 138.2% 35.3% -20.4% 1.5K 645.3K -1.1K 0.00 94.44 N/A N/A 13 0 1,382 1,532 2008-11-14 $4.86 $22.50 131.0% 37.5% 179.1% 0.0% 131.0% 39.0% -14.9% -511 622.6K -619 2.26 99.49 N/A N/A 35 79 1,382 1,532 2008-11-17 $3.83 $22.50 167.9% 48.1% 191.7% 0.0% 169.7% 4.4% -38.4% -738 519.8K -439 0.62 102.68 N/A N/A 699 434 1,416 1,573 2008-11-18 $3.93 $7.50 181.7% 52.1% 192.9% 0.0% 181.8% 24.4% -45.3% 607 289.3K -741 0.19 99.63 N/A N/A 53 10 2,058 1,234 2008-11-19 $3.38 $7.50 154.3% 44.2% 195.7% 0.0% 233.9% -94.5% -28.8% 866 301.7K -530 0.07 99.11 N/A N/A 150 10 2,070 1,224 2008-11-20 $3.28 $7.50 221.9% 63.6% 195.8% 0.0% 207.9% 32.5% -65.3% 927 248.9K -623 0.11 103.12 N/A N/A 407 46 2,210 1,211 2008-11-21 $3.39 $5.00 217.4% 62.3% 195.8% 0.0% 0.0% 54.3% -6.0% 105 371.7K -283 0.00 108.85 N/A N/A 11 0 2,588 1,239 2008-11-24 $3.54 $5.00 241.9% 69.4% 197.7% 0.0% 0.0% -14.1% -18.6% 101 346.7K -287 0.39 96.72 N/A N/A 23 9 1,596 1,120 2008-11-25 $3.58 $5.00 202.5% 58.1% 192.4% 0.0% 0.0% 36.3% 27.1% 81 337.2K -308 0.00 100.01 N/A N/A 0 0 1,596 1,111 2008-11-26 $3.96 $5.00 188.2% 54.0% 197.1% 75.2% 188.4% 26.2% -12.2% 2.2K 134.0K -959 0.50 102.70 N/A N/A 20 10 1,596 1,111 2008-11-28 $4.07 $5.00 188.5% 54.0% 192.8% 75.4% 0.0% 16.0% -14.9% 2.5K 166.9K -913 6.67 98.13 N/A N/A 3 20 1,598 1,121
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