CBL Options History — October 2009

In October 2009, CBL traded between $8.08 and $9.84. ATM implied volatility averaged 66.9%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 3.5% (HV 20d: 70.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2009-10-30: Highest Volume — 1,707 contracts
  • 2009-10-14: Largest IV spike — 43.4% change
  • 2009-10-28: Highest IV Rank — 14.8%
  • 2009-10-02: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.17$8.08$9.84$8.92$8.16
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV66.9%43.8%78.6%77.2%67.5%
Expected Move20.5%18.5%22.5%22.1%19.3%
HV 20d70.4%60.1%77.5%71.0%73.8%
HV 60d74.9%71.4%78.6%75.1%73.1%
IV Rank10.4%0.0%14.8%13.6%12.0%
IV Percentile10.3%0.0%21.8%19.0%10.3%
Term Structure0.3%-9.7%7.7%-2.6%7.7%
VWIV72.1%64.0%81.6%78.9%64.0%
Skew 25d2.7%-7.8%20.0%0.5%-7.8%
Skew 10d11.3%-12.5%33.3%15.1%5.4%
Call IV 25d69.6%58.1%77.3%71.6%77.3%
Put IV 25d72.3%63.4%79.4%72.1%69.5%
Bid-Ask Spread %39.0115.0252.4320.9644.40
Gamma HHI0.410.370.510.380.43
Net GEX76.0K57.3K115.4K69.4K57.3K
Net DEX-3.6M-4.7M-1.9M-3.6M-1.9M
Net VEX-12.6K-14.2K-9.8K-13.7K-9.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.004.550.910.09
Total Volume205.682341,7071261,707
Total OI11,116.90910,64011,42210,89011,154

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$8.92$10.0077.2%22.1%71.0%13.6%78.9%0.5%-2.6%69.4K-3.6M-13.7K0.9120.96N/AN/A66608,8362,054
2009-10-02$8.49$10.0078.6%22.5%73.5%14.3%81.6%-3.4%-9.7%62.8K-2.9M-13.3K0.3844.42N/AN/A215828,8592,114
2009-10-05$9.13$10.0070.4%21.4%77.5%10.0%74.6%8.1%-0.0%70.7K-3.7M-14.0K0.1341.69N/AN/A393528,8302,195
2009-10-06$9.23$10.0073.2%21.5%76.9%11.5%75.6%-0.1%0.3%77.1K-3.9M-14.0K0.7339.64N/AN/A55409,0872,247
2009-10-07$9.18$10.0062.8%21.1%76.2%6.0%0.0%1.1%-0.3%77.1K-3.8M-14.0K0.0034.46N/AN/A3409,0712,276
2009-10-08$9.54$10.0063.2%20.8%77.0%6.2%72.6%2.6%-2.5%86.2K-4.3M-14.2K0.0930.47N/AN/A4649,0832,276
2009-10-09$9.70$10.0059.2%20.8%77.1%4.2%72.7%3.3%-0.3%89.6K-4.5M-13.8K0.0034.99N/AN/A18009,0282,247
2009-10-12$9.60$10.0049.6%21.3%74.3%0.0%74.4%2.9%-2.4%92.5K-4.4M-13.8K1.0044.99N/AN/A70709,1182,247
2009-10-13$9.33$10.0043.8%20.7%73.2%0.0%0.0%3.8%0.9%80.4K-3.9M-13.4K2.4340.10N/AN/A14349,1252,241
2009-10-14$9.84$10.0062.7%20.7%70.1%9.6%72.2%6.6%0.3%106.0K-4.7M-13.4K0.2437.14N/AN/A55139,1112,235
2009-10-15$9.75$10.0072.4%20.8%68.2%14.5%72.4%2.5%-1.6%115.4K-4.6M-13.3K0.6941.59N/AN/A29209,1452,241
2009-10-16$9.34$10.0072.5%20.8%68.4%14.5%72.5%-0.5%-3.9%69.4K-3.9M-12.8K0.0045.05N/AN/A0479,1612,261
2009-10-19$9.66$10.0070.6%20.2%69.4%13.5%70.5%6.8%1.4%72.0K-4.2M-12.4K0.0852.43N/AN/A120108,5172,123
2009-10-20$9.28$10.0068.3%19.6%68.2%12.4%68.2%2.9%3.0%70.8K-3.7M-12.3K4.5536.91N/AN/A381738,6182,133
2009-10-21$9.22$10.0070.2%20.1%62.7%13.3%70.2%1.7%1.1%68.6K-3.6M-12.4K0.0048.00N/AN/A17108,6182,305
2009-10-22$9.48$10.0065.3%18.7%60.1%10.9%65.3%5.1%4.0%73.2K-3.9M-12.1K0.4534.44N/AN/A110508,6322,305
2009-10-23$9.09$10.0064.5%18.5%61.9%10.5%64.6%2.7%4.9%69.5K-3.4M-12.1K0.2015.02N/AN/A50108,6742,305
2009-10-26$9.31$10.0069.9%20.0%61.9%13.2%70.5%5.4%1.1%71.4K-3.7M-11.8K0.4046.86N/AN/A60248,6712,315
2009-10-27$8.72$10.0068.1%19.5%65.2%12.3%71.7%0.1%5.2%67.1K-2.8M-10.9K1.5746.40N/AN/A771218,7072,313
2009-10-28$8.08$10.0073.1%21.0%69.7%14.8%76.7%-5.0%-0.6%58.4K-1.9M-9.8K0.3530.59N/AN/A60218,7092,348
2009-10-29$8.78$10.0067.7%19.4%71.2%12.1%72.8%20.0%-0.3%67.1K-2.8M-10.7K1.0047.59N/AN/A72728,6892,348
2009-10-30$8.16$10.0067.5%19.3%73.8%12.0%64.0%-7.8%7.7%57.3K-1.9M-9.8K0.0944.40N/AN/A1,5691388,7342,420