CBL Options History — July 2009

In July 2009, CBL traded between $4.40 and $5.94. ATM implied volatility averaged 81.7%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 4.6% (HV 20d: 86.3%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2009-07-24: Highest Volume — 1,002 contracts
  • 2009-07-31: Largest IV spike — 34.1% change
  • 2009-07-07: Highest IV Rank — 33.2%
  • 2009-07-02: Largest Expected Move — 27.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.13$4.40$5.94$5.61$5.94
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV81.7%63.8%105.5%77.4%94.4%
Expected Move23.0%18.3%27.9%22.2%27.1%
HV 20d86.3%67.1%112.3%112.3%67.1%
HV 60d131.8%106.6%165.4%165.4%106.6%
IV Rank21.5%12.8%33.2%19.4%27.8%
IV Percentile25.6%15.5%41.3%24.6%33.3%
Term Structure-1.0%-14.5%11.4%11.4%-14.5%
VWIV74.7%44.0%93.1%88.4%44.0%
Skew 25d18.3%2.0%30.6%13.3%14.1%
Skew 10d23.9%9.3%43.4%21.0%32.8%
Call IV 25d58.0%46.2%71.4%64.7%61.2%
Put IV 25d76.4%71.3%84.0%78.0%75.3%
Bid-Ask Spread %35.3518.7971.2236.5620.69
Gamma HHI0.420.280.600.370.44
Net GEX12.5K-16.5K29.3K10.8K29.3K
Net DEX-727.7K-2.0M118.9K-974.4K-2.0M
Net VEX-7.3K-8.6K-6.3K-8.6K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.005.500.271.43
Total Volume271.045261,002123576
Total OI11,057.3189,98111,77410,82411,641

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$5.61$5.0077.4%22.2%112.3%19.4%88.4%13.3%11.4%10.8K-974.4K-8.6K0.2736.56N/AN/A97267,1383,686
2009-07-02$5.12$5.0097.5%27.9%96.1%29.3%0.0%6.3%-7.7%8.6K-667.0K-8.3K0.5738.20N/AN/A35207,2053,693
2009-07-06$5.09$5.0088.7%23.4%95.4%25.0%0.0%23.8%-0.0%6.6K-519.9K-8.1K2.1861.18N/AN/A601317,2403,713
2009-07-07$4.64$5.00105.5%25.0%97.3%33.2%0.0%30.6%4.5%5.9K-441.7K-7.8K3.6371.22N/AN/A431567,2863,801
2009-07-08$4.43$5.0098.9%27.2%87.7%30.0%0.0%10.3%-3.3%5.5K41.4K-6.7K0.2452.44N/AN/A103257,3233,768
2009-07-09$4.45$5.0095.1%26.1%85.6%28.1%0.0%12.0%-3.0%5.1K-24.8K-6.8K1.2627.97N/AN/A35447,3423,793
2009-07-10$4.40$5.0084.4%26.6%85.6%22.9%93.1%8.9%-7.4%4.8K118.9K-6.3K3.0418.79N/AN/A27827,3623,813
2009-07-13$4.87$5.00104.8%25.6%93.3%32.9%0.0%21.6%4.3%3.0K-219.8K-7.3K0.5839.82N/AN/A85497,3593,823
2009-07-14$5.02$5.0094.9%25.2%93.2%28.0%88.3%14.9%-5.4%-395-240.0K-7.1K1.5738.13N/AN/A2654177,4103,793
2009-07-15$5.31$5.0072.7%25.0%95.0%17.2%87.2%29.9%-1.5%5.1K-830.5K-8.0K0.4730.23N/AN/A3441627,6153,970
2009-07-16$5.20$5.0086.0%24.7%91.7%23.7%86.0%29.1%0.4%7.5K-785.4K-7.7K0.0630.77N/AN/A8057,8593,915
2009-07-17$4.99$5.0078.1%22.4%91.9%19.8%78.1%22.2%-1.3%-16.5K-399.3K-7.0K3.4829.76N/AN/A1605567,7283,824
2009-07-20$5.10$5.0070.2%20.1%87.9%15.9%70.1%23.5%10.7%14.5K-614.4K-7.0K0.0727.50N/AN/A316217,0412,940
2009-07-21$4.96$5.0063.8%18.3%79.6%12.8%63.8%19.4%4.8%16.8K-569.6K-6.8K0.7242.52N/AN/A29217,3162,961
2009-07-22$5.01$5.0068.9%19.7%79.3%15.3%68.9%21.6%-3.7%17.1K-554.0K-6.7K5.5036.01N/AN/A4227,3432,981
2009-07-23$5.20$5.0066.4%19.0%79.0%14.0%66.4%19.5%4.4%18.3K-731.0K-6.9K0.2030.88N/AN/A135277,3312,981
2009-07-24$5.23$5.0067.4%19.3%78.8%14.5%0.0%21.6%3.1%18.9K-784.7K-6.9K0.0030.76N/AN/A1,00207,3942,986
2009-07-27$5.46$5.0066.6%19.1%75.9%14.2%66.7%24.4%3.6%27.9K-1.3M-7.5K0.8036.55N/AN/A55448,3662,986
2009-07-28$5.41$5.0068.8%19.7%74.7%15.2%68.8%2.0%-2.1%27.8K-1.3M-7.5K0.1423.87N/AN/A5988,3603,026
2009-07-29$5.59$5.0076.6%22.0%75.6%19.1%76.7%25.9%-8.9%29.3K-1.4M-7.4K0.8326.24N/AN/A2932428,3813,034
2009-07-30$5.78$5.0070.4%20.2%75.2%16.0%0.0%8.8%-9.1%29.0K-1.8M-7.4K1.0027.56N/AN/A51518,5583,176
2009-07-31$5.94$5.0094.4%27.1%67.1%27.8%44.0%14.1%-14.5%29.3K-2.0M-7.9K1.4320.69N/AN/A2373398,5163,125