CBL Options History — February 2009

In February 2009, CBL traded between $3.10 and $5.17. ATM implied volatility averaged 177.4%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 51.1%. IV traded above realized volatility by 7.5% (HV 20d: 169.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 7.38.

Notable Days

  • 2009-02-04: Highest Volume — 3,063 contracts
  • 2009-02-17: Largest IV spike — 52.3% change
  • 2009-02-17: Highest IV Rank — 95.7%
  • 2009-02-17: Largest Expected Move — 66.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.94$3.10$5.17$4.45$3.10
Max Pain$6.97$5.00$7.50$5.00$7.50
ATM IV177.4%141.1%232.6%141.1%195.0%
Expected Move51.1%40.4%66.7%40.4%55.9%
HV 20d169.9%151.8%183.9%183.9%158.1%
HV 60d178.3%169.6%190.1%190.1%172.9%
IV Rank70.3%53.5%95.7%53.5%78.4%
IV Percentile85.6%70.0%99.4%70.0%92.6%
Term Structure-7.8%-37.6%97.7%0.5%-33.5%
VWIV163.7%114.6%246.9%137.1%197.8%
Skew 25d48.5%2.7%105.5%48.2%9.9%
Skew 10d86.4%2.7%143.0%96.3%43.2%
Call IV 25d152.7%106.0%203.2%129.2%188.1%
Put IV 25d201.1%177.4%232.7%177.4%198.0%
Bid-Ask Spread %20.9210.9646.6546.6515.64
Gamma HHI0.370.290.470.370.37
Net GEX-3.0K-7.1K467-143-2.5K
Net DEX637.0K207.8K1.3M296.6K383.4K
Net VEX-2.4K-4.1K-1.1K-2.2K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.380.0031.590.620.06
Total Volume741.526133,063183633
Total OI8,511.3685,51311,2945,5135,995

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$4.45$5.00141.1%40.4%183.9%53.5%137.1%48.2%0.5%-143296.6K-2.2K0.6246.65N/AN/A113703,3302,183
2009-02-03$4.05$5.00142.7%40.9%176.8%54.2%143.1%44.0%1.4%-214316.6K-2.0K0.0035.53N/AN/A1303,3902,228
2009-02-04$3.88$5.00199.8%57.3%163.3%80.6%246.9%63.3%-28.0%467207.8K-2.1K31.5930.69N/AN/A942,9693,4032,228
2009-02-05$4.49$5.00152.4%43.7%176.1%58.7%168.5%58.9%-7.0%-5.1K448.1K-3.1K1.4841.87N/AN/A2133163,4185,041
2009-02-06$4.80$7.50150.5%42.6%179.0%57.8%148.8%63.3%-13.7%-4.5K386.5K-3.3K23.8414.94N/AN/A942,2413,5765,211
2009-02-09$5.17$7.50153.0%43.8%182.3%59.0%150.5%62.6%-10.6%-7.1K405.2K-3.9K1.2116.61N/AN/A2222693,6396,046
2009-02-10$4.96$7.50145.3%43.0%169.7%55.4%150.1%46.6%-16.5%-6.8K408.9K-4.1K1.5117.31N/AN/A1993003,7716,088
2009-02-11$4.56$7.50154.0%48.2%171.2%59.5%172.6%72.3%-32.3%-7.1K603.3K-3.9K5.1518.89N/AN/A2401,2353,9666,298
2009-02-12$4.28$7.50160.6%46.0%169.8%62.5%160.8%73.8%-24.6%-6.6K1.1M-3.7K7.5219.02N/AN/A443313,9957,299
2009-02-13$3.97$7.50152.7%43.8%168.9%58.8%154.5%105.5%-19.6%-5.7K999.8K-3.3K0.1710.96N/AN/A157264,0157,010
2009-02-17$3.38$7.50232.6%66.7%175.1%95.7%0.0%39.8%-37.6%311.3M-1.1K4.7613.89N/AN/A1838724,0657,030
2009-02-18$3.38$7.50212.8%61.0%166.4%86.6%0.0%15.0%-14.0%791.2M-1.2K24.7613.90N/AN/A215204,0366,692
2009-02-19$3.19$7.50208.3%59.7%151.8%84.5%159.6%47.7%15.5%-5.4K1.0M-2.0K0.8418.65N/AN/A1721454,0436,766
2009-02-20$3.65$7.50220.2%63.1%156.9%90.0%0.0%17.6%-23.8%1791.2M-1.3K0.3814.27N/AN/A152574,0746,602
2009-02-23$3.11$7.50199.5%57.2%164.8%80.4%114.6%54.2%0.4%-4.1K459.7K-2.1K18.2719.66N/AN/A519322,8434,224
2009-02-24$3.73$7.50150.7%43.2%174.5%57.9%186.9%72.4%97.7%120570.6K-1.3K10.7618.68N/AN/A1001,0762,8763,666
2009-02-25$3.46$7.50202.0%57.9%176.2%81.6%0.0%2.7%-33.3%167506.5K-1.2K0.0017.79N/AN/A1502,9303,413
2009-02-26$3.22$7.50198.3%56.9%163.7%79.9%0.0%23.5%30.0%-3.1K373.1K-1.8K0.0012.56N/AN/A0142,9303,396
2009-02-27$3.10$7.50195.0%55.9%158.1%78.4%197.8%9.9%-33.5%-2.5K383.4K-1.6K0.0615.64N/AN/A598352,9303,065