CBL Options History — January 2009

In January 2009, CBL traded between $4.07 and $8.70. ATM implied volatility averaged 137.6%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 40.6%. IV traded below realized volatility by 31.5% (HV 20d: 169.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2009-01-06: Highest Volume — 2,445 contracts
  • 2009-01-14: Largest IV spike — 95.1% change
  • 2009-01-14: Highest IV Rank — 85.3%
  • 2009-01-16: Largest Expected Move — 47.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.00$4.07$8.70$6.57$4.07
Max Pain$7.38$5.00$7.50$7.50$7.50
ATM IV137.6%92.0%210.0%92.0%139.3%
Expected Move40.6%26.4%47.5%26.4%39.9%
HV 20d169.1%149.2%182.5%174.2%179.8%
HV 60d183.5%178.8%190.5%180.8%190.5%
IV Rank51.9%30.8%85.3%30.8%52.7%
IV Percentile72.7%58.7%98.1%58.7%69.2%
Term Structure-4.3%-14.9%18.1%18.1%7.9%
VWIV135.3%92.8%157.0%92.8%119.7%
Skew 25d40.4%26.1%54.9%26.8%41.1%
Skew 10d94.5%48.1%127.1%63.5%79.5%
Call IV 25d115.6%98.4%138.5%101.5%130.8%
Put IV 25d156.0%124.5%176.2%128.3%171.9%
Bid-Ask Spread %28.6618.4042.4436.7633.71
Gamma HHI0.400.330.700.390.36
Net GEX850-16.5K9.2K-254-126
Net DEX31.0K-840.6K506.5K-100.5K298.8K
Net VEX-3.2K-5.2K-2.0K-2.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.016.900.010.46
Total Volume443592,445139164
Total OI5,347.13,4926,6363,4925,387

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$6.57$7.5092.0%26.4%174.2%30.8%92.8%26.8%18.1%-254-100.5K-2.3K0.0136.76N/AN/A13811,6501,842
2009-01-05$7.48$5.00110.9%34.4%177.9%39.5%124.7%31.6%-7.7%5.6K-405.5K-2.6K6.0118.40N/AN/A1217271,7331,843
2009-01-06$8.70$7.50117.0%37.2%182.5%42.3%139.8%26.1%-12.2%6.0K-695.6K-3.4K1.0218.44N/AN/A1,2101,2351,8252,496
2009-01-07$8.28$7.50110.5%36.4%172.2%39.4%129.3%30.5%-7.7%9.2K-689.2K-5.2K0.3020.91N/AN/A4041232,7253,391
2009-01-08$8.35$7.50109.3%36.5%171.2%38.8%126.8%33.5%-8.0%5.0K-840.6K-5.0K0.0220.48N/AN/A19542,8973,386
2009-01-09$7.93$7.50104.1%36.6%168.1%36.4%123.8%28.1%-4.4%9.0K-675.1K-5.2K0.9123.56N/AN/A54492,9993,390
2009-01-12$6.48$7.50108.3%37.0%174.6%38.3%141.0%35.8%-5.4%1.5K98.1K-4.0K2.0829.53N/AN/A741543,0143,420
2009-01-13$6.57$7.50107.7%37.7%162.2%38.1%156.6%40.5%-6.6%1.7K76.8K-4.1K2.8624.48N/AN/A28803,0073,559
2009-01-14$5.99$7.50210.0%46.5%163.1%85.3%157.0%38.2%-14.9%517229.2K-3.6K0.5435.03N/AN/A121653,0183,559
2009-01-15$5.46$7.50165.3%47.4%152.7%64.7%136.4%46.0%-12.3%-16.5K506.5K-3.3K6.9018.77N/AN/A2461,6973,0333,603
2009-01-16$5.67$7.50165.6%47.5%149.2%64.8%0.0%48.7%-12.9%258203.1K-3.1K1.1919.39N/AN/A27323,1462,835
2009-01-20$4.77$7.50161.6%46.3%158.2%62.9%97.5%46.9%-12.3%-618336.5K-2.4K2.0629.38N/AN/A1923962,4862,033
2009-01-21$5.64$7.50161.5%46.3%164.2%62.9%152.0%53.6%-14.6%-1.7K383.4K-3.2K0.1634.35N/AN/A251392,5422,422
2009-01-22$4.93$7.50157.7%45.2%168.4%61.1%153.6%49.8%-8.3%-308302.1K-2.5K0.3130.93N/AN/A65202,6772,080
2009-01-23$4.95$7.50157.9%45.3%167.7%61.2%154.1%54.9%-8.6%-255299.0K-2.5K0.2032.32N/AN/A50102,7212,086
2009-01-26$4.33$7.50151.1%43.3%171.2%58.1%147.2%35.9%-0.9%-566371.3K-2.0K0.5033.40N/AN/A153762,7512,089
2009-01-27$4.32$7.50143.8%41.2%170.6%54.7%143.8%45.3%6.2%-867396.9K-2.0K0.3931.38N/AN/A145562,7992,109
2009-01-28$5.12$7.50143.4%41.1%174.5%54.5%139.2%53.4%9.6%-399276.4K-2.6K0.0542.44N/AN/A369182,8802,143
2009-01-29$4.46$7.50135.8%38.9%180.3%51.0%135.9%41.7%8.5%-11249.4K-2.5K0.1639.57N/AN/A61103,2132,153
2009-01-30$4.07$7.50139.3%39.9%179.8%52.7%119.7%41.1%7.9%-126298.8K-2.1K0.4633.71N/AN/A112523,2242,163