CBL Options History — May 2009

In May 2009, CBL traded between $5.80 and $7.99. ATM implied volatility averaged 106.1%, placing in the 37.3% IV rank vs the trailing year. The 30-day expected move averaged 29.9%. IV traded below realized volatility by 83.3% (HV 20d: 189.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2009-05-19: Highest Volume — 1,341 contracts
  • 2009-05-13: Largest IV spike — 102.1% change
  • 2009-05-13: Highest IV Rank — 76.3%
  • 2009-05-13: Largest Expected Move — 35.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.64$5.80$7.99$7.06$6.23
Max Pain$6.00$5.00$7.50$5.00$5.00
ATM IV106.1%81.3%190.5%109.7%85.2%
Expected Move29.9%23.3%35.7%31.4%24.4%
HV 20d189.4%133.2%230.8%230.8%133.2%
HV 60d213.3%207.2%217.3%215.9%207.2%
IV Rank37.3%25.9%76.3%39.0%27.7%
IV Percentile42.4%33.1%92.9%42.2%34.3%
Term Structure4.7%-6.3%46.1%10.0%46.1%
VWIV99.1%59.4%120.9%109.5%87.4%
Skew 25d20.9%7.2%39.7%29.7%18.2%
Skew 10d40.8%-5.9%86.7%68.2%40.6%
Call IV 25d96.8%78.3%118.7%101.2%87.2%
Put IV 25d117.7%103.2%135.0%130.9%105.4%
Bid-Ask Spread %35.2319.0662.4730.4428.73
Gamma HHI0.450.340.650.380.35
Net GEX15.1K8.8K26.9K8.8K15.0K
Net DEX-1.7M-3.3M-765.9K-1.9M-1.1M
Net VEX-8.8K-9.8K-6.7K-8.9K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.034.970.030.17
Total Volume516.6701,3411,25170
Total OI11,691.159,46512,72910,98712,227

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$7.06$5.00109.7%31.4%230.8%39.0%109.5%29.7%10.0%8.8K-1.9M-8.9K0.0330.44N/AN/A1,209426,3924,595
2009-05-04$7.12$7.50112.0%32.0%228.5%40.1%109.9%18.9%5.8%16.3K-2.1M-9.2K0.3727.51N/AN/A7052617,1004,576
2009-05-05$6.91$5.00116.6%32.3%228.2%42.2%115.4%19.7%-1.8%15.6K-2.0M-9.7K0.2842.24N/AN/A241687,2884,556
2009-05-06$7.30$5.00110.7%32.3%219.3%39.5%119.9%29.5%-2.2%19.5K-2.4M-9.8K1.8844.44N/AN/A1072017,3334,576
2009-05-07$6.74$5.00107.1%31.9%223.8%37.8%120.9%24.0%-0.5%15.2K-1.9M-9.6K2.2743.15N/AN/A1413207,3924,723
2009-05-08$7.99$5.00111.5%31.4%222.0%39.8%108.8%39.7%1.8%17.5K-3.3M-9.8K0.7239.20N/AN/A2902107,2984,814
2009-05-11$7.91$7.5097.0%31.5%220.9%33.2%103.2%21.1%-0.1%17.2K-3.2M-9.7K0.3440.92N/AN/A4121397,3754,886
2009-05-12$6.87$7.5094.2%31.4%220.9%31.9%113.7%31.6%-2.2%26.9K-2.0M-9.5K1.1522.06N/AN/A2302657,6804,981
2009-05-13$5.98$7.50190.5%35.7%218.6%76.3%118.3%7.2%-2.0%10.9K-1.0M-8.1K0.4326.27N/AN/A3591547,6165,113
2009-05-14$6.41$7.50101.4%29.1%216.6%35.1%119.2%27.0%-1.5%12.2K-1.3M-8.5K0.6929.85N/AN/A2141477,5785,087
2009-05-15$5.80$7.50117.0%33.5%212.0%42.4%110.7%13.4%-4.9%9.4K-765.9K-7.3K1.2128.14N/AN/A2202677,5675,114
2009-05-18$6.47$7.50101.8%29.2%179.5%35.4%104.4%9.2%-6.3%12.3K-1.3M-8.3K0.5562.47N/AN/A3091716,3743,091
2009-05-19$6.41$7.5089.2%25.6%164.2%29.5%59.4%24.2%7.9%12.4K-1.1M-8.2K0.1760.03N/AN/A1,1481936,4773,126
2009-05-20$6.30$5.0095.2%27.3%159.9%32.3%76.5%17.8%-4.0%17.8K-1.5M-8.8K4.6155.57N/AN/A381757,5163,253
2009-05-21$6.49$5.0091.8%26.3%152.5%30.8%93.3%10.8%-4.2%17.7K-1.5M-8.8K2.5633.10N/AN/A481237,5383,407
2009-05-22$6.08$5.00104.2%29.9%143.4%36.5%95.6%17.5%19.4%16.9K-1.2M-8.1K4.9721.61N/AN/A1939607,5823,495
2009-05-26$6.52$5.0081.3%23.3%138.4%25.9%85.1%26.3%3.2%15.5K-1.4M-9.0K0.3219.06N/AN/A3381087,6874,202
2009-05-27$6.01$5.00102.0%29.3%141.2%35.5%60.8%17.1%14.6%9.4K-1.1M-6.7K0.2826.79N/AN/A72207,8704,207
2009-05-28$6.12$5.00102.8%29.5%133.4%35.8%70.6%14.8%14.6%14.6K-1.0M-8.6K0.3722.96N/AN/A120447,9164,215
2009-05-29$6.23$5.0085.2%24.4%133.2%27.7%87.4%18.2%46.1%15.0K-1.1M-8.9K0.1728.73N/AN/A60107,9704,257