CBL Options History — December 2008

In December 2008, CBL traded between $3.23 and $8.12. ATM implied volatility averaged 138.7%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 40.7%. IV traded below realized volatility by 52.9% (HV 20d: 191.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 2.18.

Notable Days

  • 2008-12-09: Highest Volume — 1,927 contracts
  • 2008-12-11: Largest IV spike — 26.7% change
  • 2008-12-01: Highest IV Rank — 74.0%
  • 2008-12-01: Largest Expected Move — 53.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.87$3.23$8.12$3.23$6.50
Max Pain$5.57$5.00$7.50$5.00$7.50
ATM IV138.7%93.5%185.6%185.6%112.4%
Expected Move40.7%26.8%53.2%53.2%32.2%
HV 20d191.5%174.2%213.7%197.0%174.2%
HV 60d195.0%179.0%204.8%179.0%202.1%
IV Rank52.4%31.5%74.0%74.0%40.2%
IV Percentile74.9%60.7%94.5%94.5%62.4%
Term Structure6.6%-17.1%54.6%54.6%-4.1%
VWIV128.8%79.9%167.8%92.6%141.2%
Skew 25d35.6%17.2%66.2%66.2%19.6%
Skew 10d60.4%10.5%87.0%61.5%47.9%
Call IV 25d114.1%95.2%142.5%103.9%100.7%
Put IV 25d149.7%120.2%170.1%170.1%120.2%
Bid-Ask Spread %60.8221.69104.35104.1723.00
Gamma HHI0.450.180.790.760.39
Net GEX-1.1K-25.6K5.5K2.2K-498
Net DEX54.4K-366.0K453.5K236.2K-6.2K
Net VEX-1.4K-2.3K-369-544-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.0018.810.000.83
Total Volume265.22701,92790236
Total OI3,348.0912,7425,0662,7423,321

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-12-01$3.23$5.00185.6%53.2%197.0%74.0%92.6%66.2%54.6%2.2K236.2K-5440.00104.17N/AN/A0901,6011,141
2008-12-02$3.61$5.00159.1%45.6%205.3%61.8%0.0%55.1%43.8%-8343.9K-3690.00104.35N/AN/A001,6011,168
2008-12-03$3.80$5.00141.7%40.6%200.9%53.7%0.0%63.3%3.4%-25362.5K-3930.0098.85N/AN/A0101,6011,168
2008-12-04$3.92$5.00173.2%49.7%185.0%68.3%0.0%64.4%10.8%-83367.6K-4190.0093.39N/AN/A5501,6011,178
2008-12-05$4.19$5.00154.1%49.5%187.2%59.5%0.0%54.3%-7.3%4.0K229.9K-8080.0081.45N/AN/A001,6011,178
2008-12-08$5.19$5.00159.3%51.7%204.1%61.9%0.0%53.0%-17.1%5.5K93.5K-1.0K0.0473.80N/AN/A4521,6011,178
2008-12-09$5.04$5.00161.8%47.8%200.7%63.0%166.7%32.2%-6.7%5.5K99.7K-9860.3977.77N/AN/A1,3865411,6031,180
2008-12-10$5.77$5.00131.9%46.4%200.4%49.2%157.3%50.0%-16.9%188-123.1K-67318.8175.85N/AN/A376961,6091,683
2008-12-11$4.92$5.00167.1%47.9%207.8%65.5%98.1%22.2%-5.9%-1.2K453.5K-1.4K6.1468.93N/AN/A7431,4142,283
2008-12-12$5.93$7.50164.2%47.1%213.7%64.1%157.7%22.7%-1.9%-2.5K129.3K-1.2K0.4157.58N/AN/A229941,4212,323
2008-12-15$5.47$5.00166.7%47.8%199.4%65.3%167.8%23.7%-3.9%-1.0K307.4K-1.4K1.1360.03N/AN/A32361,5072,385
2008-12-16$6.54$5.00134.1%38.5%186.2%50.3%143.1%26.3%8.5%-2.8K68.1K-1.3K0.4728.15N/AN/A95451,5382,404
2008-12-17$7.17$5.00140.5%40.3%187.7%53.2%152.7%19.7%-10.0%-8.5K-68.7K-1.5K1.3126.39N/AN/A4475841,6032,436
2008-12-18$6.62$5.00132.1%37.9%180.1%49.3%147.4%27.5%-0.1%-3.5K32.0K-2.0K0.4121.69N/AN/A140581,9492,958
2008-12-19$7.48$5.00123.1%35.3%181.1%45.2%124.8%30.0%3.8%-25.6K-281.0K-2.3K0.2326.90N/AN/A111262,0782,988
2008-12-22$7.75$5.00117.0%33.5%181.1%42.4%117.1%30.1%15.1%-2.9K-160.9K-2.0K0.0961.67N/AN/A117101,0711,686
2008-12-23$7.96$5.00102.8%29.5%181.2%35.8%103.8%28.3%23.4%-626-271.7K-2.1K0.1062.65N/AN/A219231,1711,696
2008-12-24$8.12$5.0093.5%26.8%181.0%31.5%79.9%33.3%41.8%2.8K-366.0K-2.2K0.0059.03N/AN/A12701,3831,716
2008-12-26$7.51$7.5097.2%27.9%184.3%33.2%97.8%27.1%21.0%3.2K-256.4K-2.3K0.0650.94N/AN/A11871,4091,706
2008-12-29$6.28$7.50106.0%30.4%198.9%37.3%132.5%17.4%6.4%-9112.9K-2.2K8.5543.33N/AN/A11941,5031,713
2008-12-30$6.12$7.50127.5%36.5%176.4%47.2%109.7%17.2%-14.2%2.5K3.9K-1.5K0.2338.15N/AN/A52121,5041,800
2008-12-31$6.50$7.50112.4%32.2%174.2%40.2%141.2%19.6%-4.1%-498-6.2K-2.3K0.8323.00N/AN/A1291071,5241,797