CBL Options History — March 2009 In March 2009, CBL traded between $2.06 and $3.15. ATM implied volatility averaged 153.9%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 44.9%. IV traded below realized volatility by 61.6% (HV 20d: 215.5%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 6.10.
Notable Days 2009-03-03 : Highest Volume — 872 contracts2009-03-09 : Largest IV spike — 21.8% change2009-03-09 : Highest IV Rank — 78.5%2009-03-06 : Largest Expected Move — 61.0%Monthly Statistics Metric Avg Min Max Open Close Price $2.50 $2.06 $3.15 $2.71 $2.36 Max Pain $5.34 $2.50 $7.50 $7.50 $2.50 ATM IV 153.9% 116.7% 195.3% 171.0% 126.6% Expected Move 44.9% 33.4% 61.0% 49.0% 36.3% HV 20d 215.5% 153.0% 242.7% 161.5% 242.7% HV 60d 186.1% 171.1% 195.6% 173.5% 195.6% IV Rank 59.4% 42.2% 78.5% 67.3% 46.8% IV Percentile 71.5% 48.8% 92.8% 88.4% 51.0% Term Structure 10.3% -27.4% 45.3% 41.5% 22.1% VWIV 148.9% 101.2% 174.6% 170.0% 146.0% Skew 25d 13.0% -10.3% 61.2% 28.3% -10.3% Skew 10d 42.7% -26.7% 87.8% 87.8% 23.8% Call IV 25d 151.9% 117.6% 180.0% 165.8% 158.9% Put IV 25d 164.9% 144.7% 194.1% 194.1% 148.6% Bid-Ask Spread % 51.02 11.39 93.80 15.39 54.34 Gamma HHI 0.53 0.38 0.77 0.77 0.65 Net GEX -514 -1.8K 1.1K -1.5K -1.1K Net DEX 323.2K 31.3K 525.3K 404.8K 117.9K Net VEX -1.1K -1.5K -680 -1.4K -945 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.10 0.00 45.75 1.83 3.33 Total Volume 168.227 13 872 695 13 Total OI 6,221.045 3,710 7,529 6,608 4,032
Daily Data (22 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 2009-03-02 $2.71 $7.50 171.0% 49.0% 161.5% 67.3% 170.0% 28.3% 41.5% -1.5K 404.8K -1.4K 1.83 15.39 N/A N/A 246 449 3,512 3,096 2009-03-03 $2.46 $7.50 175.0% 50.2% 158.2% 69.1% 174.6% 0.5% 31.4% -1.4K 441.7K -1.2K 1.50 11.39 N/A N/A 349 523 3,669 3,256 2009-03-04 $2.68 $7.50 164.9% 47.3% 161.3% 64.4% 167.4% 11.2% 37.9% -1.8K 441.4K -1.5K 0.46 15.93 N/A N/A 137 63 3,975 3,426 2009-03-05 $2.38 $7.50 166.9% 47.9% 164.9% 65.4% 0.0% 17.7% 17.0% -787 435.7K -1.2K 0.00 22.49 N/A N/A 31 0 4,067 3,298 2009-03-06 $2.09 $5.00 160.3% 61.0% 155.9% 62.3% 0.0% 4.3% -27.4% -42 498.3K -691 1.67 27.24 N/A N/A 18 30 4,078 3,298 2009-03-09 $2.15 $5.00 195.3% 54.9% 153.0% 78.5% 0.0% 38.8% -6.8% -45 517.2K -680 0.69 64.93 N/A N/A 65 45 4,078 3,318 2009-03-10 $3.15 $5.00 176.1% 53.8% 211.4% 69.6% 101.2% 61.2% 9.9% -1.4K 497.0K -1.0K 0.28 56.47 N/A N/A 18 5 4,074 3,319 2009-03-11 $2.33 $5.00 194.3% 56.0% 233.2% 78.0% 160.4% 23.4% -11.8% -823 385.7K -1.3K 0.10 78.07 N/A N/A 125 13 4,040 3,237 2009-03-12 $2.60 $5.00 168.3% 48.2% 238.1% 66.0% 168.2% 19.5% -0.1% 1.1K 370.8K -1.2K 0.41 67.23 N/A N/A 63 26 4,067 3,139 2009-03-13 $2.66 $5.00 155.4% 44.6% 238.4% 60.1% 153.1% 19.0% 7.4% -1.3K 423.5K -1.4K 0.00 60.22 N/A N/A 0 196 4,103 3,151 2009-03-16 $2.49 $5.00 156.8% 44.9% 238.2% 60.7% 149.0% -1.1% -2.4% -1.1K 402.1K -1.3K 30.22 55.69 N/A N/A 9 272 4,103 3,122 2009-03-17 $2.64 $5.00 145.9% 41.8% 234.1% 55.7% 0.0% 13.5% 18.1% 277 429.9K -1.2K 0.20 43.57 N/A N/A 75 15 4,103 3,286 2009-03-18 $2.99 $5.00 136.3% 39.1% 239.1% 51.3% 169.0% 31.8% 45.3% 1.0K 448.3K -721 0.38 91.50 N/A N/A 158 60 4,158 3,264 2009-03-19 $2.64 $5.00 147.0% 42.1% 242.1% 56.2% 102.6% 2.6% -4.3% 688 351.4K -1.2K 0.78 93.80 N/A N/A 32 25 4,259 3,264 2009-03-20 $2.30 $5.00 149.1% 42.8% 239.9% 57.2% 152.6% 3.0% -2.2% -123 525.3K -998 45.75 33.04 N/A N/A 4 183 4,255 3,274 2009-03-23 $2.60 $5.00 149.2% 42.8% 239.5% 57.2% 149.1% 13.4% -24.4% -3 85.3K -1.1K 0.05 75.96 N/A N/A 185 9 2,305 1,405 2009-03-24 $2.29 $5.00 139.5% 40.0% 231.8% 52.7% 139.2% -3.0% 3.3% -82 57.3K -1.0K 40.00 35.37 N/A N/A 3 120 2,437 1,414 2009-03-25 $2.66 $5.00 127.4% 36.5% 238.9% 47.2% 0.0% 13.7% 19.8% -893 31.3K -1.0K 0.05 54.06 N/A N/A 43 2 2,440 1,534 2009-03-26 $2.57 $5.00 116.7% 33.4% 238.1% 42.2% 0.0% 6.1% 23.2% -680 60.0K -1.2K 0.50 70.77 N/A N/A 20 10 2,456 1,536 2009-03-27 $2.28 $5.00 131.8% 37.8% 241.0% 49.2% 131.8% -6.2% 21.4% -645 86.1K -1.0K 0.00 53.22 N/A N/A 31 0 2,476 1,536 2009-03-30 $2.06 $5.00 132.0% 37.8% 239.2% 49.3% 146.0% -1.5% 6.9% -682 99.8K -871 0.00 41.73 N/A N/A 30 0 2,467 1,536 2009-03-31 $2.36 $2.50 126.6% 36.3% 242.7% 46.8% 0.0% -10.3% 22.1% -1.1K 117.9K -945 3.33 54.34 N/A N/A 3 10 2,496 1,536
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