CBL Options History — June 2009

In June 2009, CBL traded between $4.94 and $7.56. ATM implied volatility averaged 88.9%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 25.0%. IV traded below realized volatility by 31.8% (HV 20d: 120.8%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2009-06-09: Highest Volume — 7,082 contracts
  • 2009-06-03: Largest IV spike — 51.3% change
  • 2009-06-09: Highest IV Rank — 37.4%
  • 2009-06-15: Largest Expected Move — 29.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.93$4.94$7.56$6.68$5.39
Max Pain$5.80$5.00$7.50$5.00$5.00
ATM IV88.9%65.2%110.3%92.5%80.5%
Expected Move25.0%18.7%29.2%26.5%23.1%
HV 20d120.8%107.1%143.9%130.1%111.4%
HV 60d180.3%166.7%205.7%205.7%166.7%
IV Rank26.9%17.9%37.4%31.1%21.0%
IV Percentile33.9%26.2%44.4%36.9%26.2%
Term Structure-2.8%-16.7%21.6%-11.7%3.9%
VWIV89.3%74.5%118.9%89.0%80.2%
Skew 25d12.3%-79.7%58.9%26.7%9.9%
Skew 10d26.6%-93.8%87.9%43.3%28.8%
Call IV 25d81.8%62.8%154.5%88.5%71.5%
Put IV 25d94.1%63.5%132.1%115.2%81.4%
Bid-Ask Spread %37.3222.3262.0427.4829.38
Gamma HHI0.390.310.490.360.40
Net GEX10.8K2.4K19.7K18.6K7.8K
Net DEX-378.4K-2.4M2.5M-1.6M-772.9K
Net VEX-8.1K-9.4K-6.4K-8.5K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.0013.603.080.00
Total Volume732.727177,08229847
Total OI13,367.2738,88818,87212,25410,804

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$6.68$5.0092.5%26.5%130.1%31.1%89.0%26.7%-11.7%18.6K-1.6M-8.5K3.0827.48N/AN/A732257,9874,267
2009-06-02$6.32$5.0065.2%18.7%131.4%18.5%76.3%24.5%9.3%16.7K-1.4M-8.6K4.6729.36N/AN/A2701,2608,0454,377
2009-06-03$6.13$5.0098.7%28.3%131.4%33.9%79.1%49.9%21.6%11.5K-1.1M-6.9K0.4624.64N/AN/A68318,0084,801
2009-06-04$7.25$5.0074.6%21.4%143.9%22.8%74.5%58.9%6.2%17.3K-2.2M-8.9K0.8527.91N/AN/A3142667,9824,812
2009-06-05$7.36$7.5073.6%23.0%140.8%22.3%83.3%57.9%-4.7%19.1K-2.4M-9.4K0.6858.19N/AN/A2801908,1564,995
2009-06-08$7.56$7.5077.4%21.6%126.9%22.3%118.9%6.9%-0.9%19.7K-2.3M-9.1K0.7462.04N/AN/A1591177,8114,996
2009-06-09$6.57$7.50110.3%22.8%136.0%37.4%85.9%20.3%-3.9%14.5K-1.3M-8.7K13.6059.52N/AN/A4856,5977,8335,010
2009-06-10$6.10$7.50105.4%26.7%129.4%35.0%89.8%0.9%8.5%9.4K2.5M-8.0K1.9059.65N/AN/A2825357,93410,643
2009-06-11$6.01$7.5093.2%26.7%119.6%29.2%91.9%0.7%-5.0%10.4K2.2M-7.6K0.4330.84N/AN/A3451508,07110,573
2009-06-12$6.26$7.5071.5%20.5%117.8%17.9%99.1%-79.7%-1.6%12.1K2.2M-7.5K0.2427.05N/AN/A89218,20910,663
2009-06-15$5.94$7.50102.0%29.2%113.7%32.6%89.2%27.2%-11.4%10.9K2.2M-7.2K6.1545.77N/AN/A402468,15810,684
2009-06-16$5.69$5.0091.9%26.3%107.1%27.8%92.5%10.8%-5.5%7.4K-403.8K-7.4K2.2836.09N/AN/A1102518,1865,870
2009-06-17$5.29$5.0086.3%24.7%109.7%25.0%86.3%9.1%-4.1%4.3K-61.6K-7.0K2.9550.03N/AN/A842488,2215,966
2009-06-18$5.10$5.0094.1%27.0%110.1%28.8%94.1%-4.1%-11.7%2.4K154.3K-7.0K0.4222.32N/AN/A4171778,2646,108
2009-06-19$5.50$5.0093.2%26.7%113.5%28.3%93.3%-0.2%-10.8%6.3K-389.8K-6.9K0.2123.44N/AN/A128278,3876,128
2009-06-22$4.94$5.0090.1%25.8%117.2%26.5%90.0%-3.8%-10.0%4.6K-137.7K-6.4K0.1255.05N/AN/A1,6181965,4903,398
2009-06-23$5.04$5.0086.6%24.8%114.0%24.5%86.6%15.1%-7.8%7.8K-412.7K-8.2K1.3127.30N/AN/A1161526,8963,530
2009-06-24$5.26$5.00101.7%29.2%112.6%31.7%96.2%7.4%-16.7%9.0K-779.9K-9.0K0.7333.22N/AN/A79586,9493,651
2009-06-25$5.19$5.0087.6%25.1%112.2%24.7%92.5%0.7%-6.9%8.3K-514.6K-8.3K0.1729.18N/AN/A4887,0283,677
2009-06-26$5.58$5.0090.5%25.9%115.5%25.9%87.3%22.1%1.9%11.2K-969.4K-9.3K0.6131.28N/AN/A1841127,0443,681
2009-06-29$5.37$5.0089.6%25.7%112.5%25.4%0.0%9.8%-0.1%9.2K-767.7K-8.6K0.0031.33N/AN/A1707,1013,686
2009-06-30$5.39$5.0080.5%23.1%111.4%21.0%80.2%9.9%3.9%7.8K-772.9K-8.7K0.0029.38N/AN/A4707,1183,686