CBL Options History — April 2009

In April 2009, CBL traded between $2.41 and $7.94. ATM implied volatility averaged 138.3%, placing in the 52.2% IV rank vs the trailing year. The 30-day expected move averaged 39.8%. IV traded below realized volatility by 77.4% (HV 20d: 215.8%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2009-04-17: Highest Volume — 3,647 contracts
  • 2009-04-14: Largest IV spike — 48.9% change
  • 2009-04-14: Highest IV Rank — 68.4%
  • 2009-04-14: Largest Expected Move — 49.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.95$2.41$7.94$2.41$7.94
Max Pain$3.93$2.50$5.00$2.50$5.00
ATM IV138.3%112.3%173.5%145.1%116.9%
Expected Move39.8%32.2%49.7%41.6%33.5%
HV 20d215.8%172.4%240.7%240.7%222.2%
HV 60d205.1%191.1%216.7%193.3%214.6%
IV Rank52.2%40.2%68.4%55.3%42.3%
IV Percentile60.5%45.0%88.6%64.0%45.0%
Term Structure-11.7%-94.8%5.6%0.5%2.0%
VWIV136.9%99.4%179.7%99.4%110.4%
Skew 25d33.4%-2.4%66.2%-2.4%34.7%
Skew 10d64.8%25.3%125.1%25.3%70.1%
Call IV 25d106.5%74.4%142.8%142.8%98.8%
Put IV 25d139.9%125.8%162.5%140.5%133.5%
Bid-Ask Spread %45.3316.2672.3951.7239.15
Gamma HHI0.470.330.950.580.43
Net GEX4.1K-87325.4K-87312.5K
Net DEX-760.3K-2.7M115.0K115.0K-2.7M
Net VEX-3.4K-8.7K-524-972-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.006.000.000.12
Total Volume777.524103,647161,285
Total OI5,762.194,04310,4104,04310,330

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$2.41$2.50145.1%41.6%240.7%55.3%0.0%-2.4%0.5%-873115.0K-9720.0051.72N/AN/A1602,4971,546
2009-04-02$2.60$2.50133.4%38.2%238.4%49.9%0.0%6.9%-10.9%-79483.9K-1.1K0.0041.04N/AN/A1002,5091,546
2009-04-03$3.00$2.50128.2%38.2%237.7%47.5%0.0%29.7%4.3%15625.3K-5240.0046.84N/AN/A10802,5151,546
2009-04-06$3.37$2.50167.5%40.0%240.2%65.7%0.0%40.0%-1.5%347-29.6K-1.3K0.5337.53N/AN/A150802,5511,546
2009-04-07$2.95$2.50150.8%45.1%205.0%57.9%99.4%32.5%-14.5%54719.8K-1.2K0.1521.44N/AN/A133202,5731,566
2009-04-08$3.08$2.50120.7%41.8%172.4%44.1%0.0%22.4%-1.9%-34717.1K-1.2K6.0071.46N/AN/A10602,6591,566
2009-04-09$3.73$2.50130.1%37.3%180.7%48.4%0.0%26.6%-22.7%570-37.1K-1.4K0.5963.02N/AN/A2191302,6691,626
2009-04-13$4.16$2.50116.5%33.4%183.6%42.1%117.5%52.4%2.1%945-121.0K-1.6K0.4750.31N/AN/A86402,7591,639
2009-04-14$3.61$2.50173.5%49.7%190.2%68.4%128.7%54.2%-94.8%733-84.4K-1.5K0.6441.07N/AN/A105672,6951,625
2009-04-15$4.44$5.00112.3%32.2%201.3%40.2%0.0%66.2%5.6%1.2K-142.9K-1.7K0.0072.39N/AN/A13402,7481,620
2009-04-16$4.97$5.00141.6%40.6%200.6%53.7%142.0%50.1%-9.6%25.4K-546.2K-2.0K1.1265.97N/AN/A4575142,8001,532
2009-04-17$5.88$5.00151.1%43.3%198.5%58.1%152.4%38.2%-26.7%427-863.8K-2.2K0.3965.69N/AN/A2,6241,0232,4901,959
2009-04-20$4.29$5.00170.7%48.9%227.5%67.2%169.7%10.0%-35.4%674-225.5K-3.5K0.5866.84N/AN/A163952,9212,269
2009-04-21$5.32$5.00151.7%43.5%234.7%58.4%151.0%52.9%-9.4%533-481.3K-4.2K0.3053.45N/AN/A7132173,0432,327
2009-04-22$5.95$5.00150.4%43.1%227.9%57.8%124.0%27.9%-6.6%6.2K-1.2M-5.1K0.1921.85N/AN/A8171574,0162,326
2009-04-23$6.81$5.00119.2%34.2%227.1%43.4%144.3%26.5%-1.3%6.2K-1.5M-5.7K1.1721.91N/AN/A4995864,3782,360
2009-04-24$7.88$5.00127.0%36.4%227.5%47.0%127.2%32.1%-3.2%8.9K-2.3M-6.4K0.7129.39N/AN/A9706874,6532,910
2009-04-27$6.87$5.00134.4%38.5%229.4%50.4%179.7%34.0%-9.1%7.3K-1.7M-7.3K3.5416.26N/AN/A4511,5975,3013,355
2009-04-28$6.88$5.00140.7%40.3%222.9%53.3%133.5%29.2%-16.2%3.8K-1.7M-7.6K0.1651.27N/AN/A1,3122045,3534,272
2009-04-29$7.76$5.00123.6%35.4%222.3%45.4%110.4%37.8%3.8%11.4K-2.6M-8.7K0.4323.37N/AN/A4111786,0674,343
2009-04-30$7.94$5.00116.9%33.5%222.2%42.3%0.0%34.7%2.0%12.5K-2.7M-7.1K0.1239.15N/AN/A1,1431425,8464,484