CBL Options History — August 2009

In August 2009, CBL traded between $6.02 and $9.37. ATM implied volatility averaged 75.3%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded below realized volatility by 5.5% (HV 20d: 80.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2009-08-18: Highest Volume — 2,411 contracts
  • 2009-08-28: Largest IV drop — 28.4% change
  • 2009-08-03: Highest IV Rank — 30.6%
  • 2009-08-03: Largest Expected Move — 28.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.89$6.02$9.37$6.02$9.37
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV75.3%53.1%100.2%100.2%62.4%
Expected Move21.6%15.2%28.7%28.7%17.9%
HV 20d80.9%56.0%87.3%66.9%86.5%
HV 60d96.1%86.6%106.5%105.4%86.7%
IV Rank18.3%7.2%30.6%30.6%11.8%
IV Percentile17.5%5.2%36.5%36.5%6.7%
Term Structure-6.1%-44.9%10.2%-44.9%2.0%
VWIV75.7%60.8%105.3%74.8%62.7%
Skew 25d14.2%0.1%37.2%5.7%10.3%
Skew 10d32.5%-1.8%55.3%24.1%17.8%
Call IV 25d67.3%48.9%79.9%66.5%60.7%
Put IV 25d81.4%60.8%95.7%72.2%70.9%
Bid-Ask Spread %31.5320.0947.5635.2820.09
Gamma HHI0.460.370.560.420.47
Net GEX70.4K30.8K94.7K31.8K83.6K
Net DEX-5.6M-8.9M-2.1M-2.1M-8.9M
Net VEX-11.9K-15.6K-8.2K-8.2K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.003.270.920.45
Total Volume682.38152,411364262
Total OI15,421.66711,77918,71511,77916,134

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$6.02$5.00100.2%28.7%66.9%30.6%74.8%5.7%-44.9%31.8K-2.1M-8.2K0.9235.28N/AN/A1901748,6983,081
2009-08-04$6.26$5.0082.9%23.8%56.0%22.1%96.9%4.6%-12.3%30.8K-2.4M-8.9K0.0036.57N/AN/A1,91008,7093,201
2009-08-05$7.50$5.0063.6%18.2%77.1%12.7%63.4%28.2%1.0%69.4K-4.6M-10.0K0.2425.15N/AN/A1,62238310,4163,201
2009-08-06$7.50$5.0061.7%17.7%77.3%11.8%64.3%6.4%10.2%73.5K-4.7M-11.5K0.6332.07N/AN/A60138110,8993,448
2009-08-07$8.18$5.0071.9%21.4%78.8%16.7%71.2%8.9%-2.2%66.8K-6.0M-12.5K0.6324.08N/AN/A1,03764911,0413,583
2009-08-10$7.96$5.0083.1%23.0%76.8%22.2%80.1%19.1%-10.9%93.9K-6.0M-15.6K0.0326.05N/AN/A1,0893214,6464,069
2009-08-11$7.64$5.0085.0%23.2%80.2%23.2%80.4%14.5%-11.4%53.8K-4.6M-12.5K0.2334.61N/AN/A1112611,0724,064
2009-08-12$8.00$5.0072.3%22.4%79.6%16.9%75.8%17.1%-6.0%57.3K-5.3M-12.3K0.6421.39N/AN/A553511,0124,067
2009-08-13$8.15$5.0078.3%22.5%78.1%19.9%70.5%19.1%-11.0%60.2K-5.6M-11.8K0.6432.32N/AN/A20413011,0414,052
2009-08-14$8.08$5.0079.8%22.9%75.4%20.3%0.0%14.2%-9.5%45.2K-5.6M-11.4K0.2433.39N/AN/A21511,1384,040
2009-08-17$7.32$5.0079.9%22.9%87.1%20.4%79.2%12.1%-8.3%56.2K-4.0M-11.2K0.0435.95N/AN/A4652011,1524,045
2009-08-18$7.40$5.0078.2%22.4%85.5%19.5%78.2%37.2%-5.8%58.5K-4.3M-11.6K0.0347.56N/AN/A2,3516011,3584,045
2009-08-19$7.36$5.0070.6%20.2%85.9%15.8%105.3%32.0%0.3%93.7K-4.8M-12.8K0.0024.15N/AN/A0513,3384,065
2009-08-20$7.86$5.0074.1%21.2%87.3%17.5%74.1%36.0%-4.2%94.7K-6.2M-13.2K0.2436.51N/AN/A4109713,3944,040
2009-08-21$8.10$5.0080.5%23.1%87.2%20.7%79.6%6.8%-10.0%75.7K-6.9M-13.3K0.2238.02N/AN/A3096913,5064,062
2009-08-24$8.17$5.0077.2%22.1%86.9%19.1%75.7%2.1%0.5%80.8K-6.2M-13.2K3.2733.80N/AN/A7323912,4653,221
2009-08-25$8.44$5.0075.6%21.7%86.3%18.3%75.5%3.7%1.0%82.1K-6.7M-13.1K0.1827.29N/AN/A3746912,4673,350
2009-08-26$8.53$5.0077.6%22.3%86.3%19.3%78.5%8.3%-5.0%91.4K-6.9M-12.3K0.4334.66N/AN/A231012,5103,380
2009-08-27$8.73$5.0074.2%21.3%86.2%17.6%66.7%10.9%0.6%85.9K-7.6M-11.8K0.8133.58N/AN/A21017112,4923,390
2009-08-28$9.12$5.0053.1%15.2%86.6%7.2%60.8%0.1%-1.6%92.4K-8.5M-11.5K0.2329.70N/AN/A3718712,5223,441
2009-08-31$9.37$5.0062.4%17.9%86.5%11.8%62.7%10.3%2.0%83.6K-8.9M-11.6K0.4520.09N/AN/A1818112,6633,471