CBL Options History — September 2009

In September 2009, CBL traded between $8.09 and $10.69. ATM implied volatility averaged 67.6%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 2.7% (HV 20d: 70.3%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2009-09-14: Highest Volume — 4,584 contracts
  • 2009-09-10: Largest IV spike — 26.3% change
  • 2009-09-01: Highest IV Rank — 17.8%
  • 2009-09-01: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.34$8.09$10.69$8.55$9.70
Max Pain$8.45$5.00$10.00$5.00$10.00
ATM IV67.6%51.3%75.3%75.3%70.5%
Expected Move19.8%17.7%21.6%21.6%20.2%
HV 20d70.3%57.7%95.1%95.1%66.6%
HV 60d79.6%73.5%88.7%88.7%73.5%
IV Rank10.8%4.7%17.8%17.8%10.1%
IV Percentile8.1%2.4%14.7%14.7%11.5%
Term Structure0.2%-5.1%6.9%2.5%2.0%
VWIV68.5%61.9%75.9%66.7%63.4%
Skew 25d11.6%0.5%66.8%2.9%2.4%
Skew 10d28.0%-7.4%90.6%13.0%2.0%
Call IV 25d65.4%43.2%108.1%70.2%71.3%
Put IV 25d76.9%54.3%174.9%73.1%73.8%
Bid-Ask Spread %36.7718.2872.6736.2218.87
Gamma HHI0.500.360.750.480.38
Net GEX77.9K29.8K159.8K86.2K77.5K
Net DEX-7.4M-12.7M-3.8M-7.2M-4.6M
Net VEX-12.5K-15.4K-8.6K-11.9K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.002.310.470.93
Total Volume528.571484,5846687
Total OI14,627.90510,38718,34816,16410,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$8.55$5.0075.3%21.6%95.1%17.8%66.7%2.9%2.5%86.2K-7.2M-11.9K0.4736.22N/AN/A452112,6733,491
2009-09-02$8.11$5.0073.1%21.0%75.5%16.3%74.5%2.2%-0.2%89.4K-6.0M-12.1K0.2826.96N/AN/A2346512,6603,495
2009-09-03$8.18$5.0074.4%21.3%75.5%16.7%75.9%1.1%-3.3%89.4K-6.2M-11.9K0.6218.28N/AN/A815012,7013,560
2009-09-04$8.09$7.5067.5%19.7%69.0%12.8%66.4%27.5%-1.3%93.6K-6.0M-11.7K0.4940.38N/AN/A924512,6823,610
2009-09-08$8.35$7.5066.3%20.7%69.1%12.2%64.2%66.8%-4.4%29.8K-7.3M-8.6K2.3130.02N/AN/A5212012,7113,616
2009-09-09$8.64$7.5051.3%21.4%68.0%4.7%75.3%10.5%-4.8%61.9K-7.6M-9.4K0.5329.92N/AN/A573012,7263,606
2009-09-10$8.83$7.5064.8%18.6%66.7%11.5%63.4%11.1%0.8%42.7K-8.1M-9.2K0.1027.83N/AN/A49512,7563,616
2009-09-11$8.85$7.5062.5%17.9%66.5%10.3%70.4%12.3%0.5%61.7K-8.1M-9.8K0.2634.67N/AN/A381012,8043,611
2009-09-14$9.41$7.5066.5%19.1%69.3%11.4%68.6%16.6%-2.5%72.6K-9.2M-9.4K0.0143.86N/AN/A4,5295512,7983,611
2009-09-15$9.83$7.5065.7%18.8%57.7%10.9%66.1%11.7%-1.6%101.5K-10.5M-13.2K0.2443.90N/AN/A78819013,8503,635
2009-09-16$10.62$10.0068.9%19.8%61.8%12.5%68.9%20.2%-3.6%89.6K-12.7M-12.3K0.1227.25N/AN/A7989614,0553,745
2009-09-17$10.12$10.0061.9%17.7%65.7%5.5%61.9%8.7%6.9%159.8K-11.8M-13.6K0.4628.83N/AN/A1748014,5323,816
2009-09-18$10.46$10.0068.7%19.7%63.4%9.1%68.7%11.1%1.0%90.5K-12.5M-13.1K0.0963.27N/AN/A4193814,4453,840
2009-09-21$10.22$10.0064.7%18.6%64.5%7.0%64.7%13.5%1.7%59.6K-6.1M-13.7K0.0772.67N/AN/A508338,5821,805
2009-09-22$10.69$10.0073.7%21.1%65.5%11.7%74.3%9.2%-5.1%61.8K-7.0M-13.9K0.0531.57N/AN/A1,327648,9811,838
2009-09-23$9.88$10.0067.6%19.4%72.7%8.5%67.6%0.6%3.5%75.9K-6.4M-15.3K0.9358.73N/AN/A12711810,0401,862
2009-09-24$9.32$10.0069.0%19.8%76.4%9.3%69.6%3.1%2.8%72.3K-5.3M-15.4K0.1533.45N/AN/A2814210,0771,979
2009-09-25$9.20$10.0070.8%20.3%76.3%10.2%71.1%6.9%-0.2%68.8K-3.8M-14.8K0.3233.42N/AN/A152488,7702,004
2009-09-28$9.41$10.0070.0%20.1%75.2%9.8%70.2%4.1%3.0%73.0K-4.1M-14.6K0.0651.99N/AN/A7248,8262,029
2009-09-29$9.66$10.0065.8%18.9%75.1%7.6%65.6%0.5%5.3%77.2K-4.7M-14.7K0.0020.07N/AN/A7608,8382,029
2009-09-30$9.70$10.0070.5%20.2%66.6%10.1%63.4%2.4%2.0%77.5K-4.6M-14.8K0.9318.87N/AN/A45428,8522,029