CBL Options History — November 2009

In November 2009, CBL traded between $7.96 and $9.94. ATM implied volatility averaged 67.4%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 2.8% (HV 20d: 70.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2009-11-09: Highest Volume — 657 contracts
  • 2009-11-11: Largest IV spike — 38.1% change
  • 2009-11-02: Highest IV Rank — 20.2%
  • 2009-11-02: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.05$7.96$9.94$7.96$9.26
Max Pain$8.00$7.50$10.00$10.00$7.50
ATM IV67.4%47.0%83.8%83.8%62.7%
Expected Move19.5%16.3%24.0%24.0%18.0%
HV 20d70.2%52.3%76.0%68.6%52.3%
HV 60d69.3%65.7%72.4%71.1%66.4%
IV Rank12.0%1.6%20.2%20.2%10.1%
IV Percentile13.4%0.4%32.1%32.1%5.2%
Term Structure-1.1%-9.2%6.9%-7.6%2.1%
VWIV67.2%47.2%89.8%89.8%63.1%
Skew 25d-2.0%-26.9%18.1%-10.1%14.0%
Skew 10d7.8%-32.5%57.5%5.5%25.1%
Call IV 25d62.9%50.0%79.3%79.3%60.2%
Put IV 25d61.0%37.1%74.3%69.3%74.3%
Bid-Ask Spread %31.5512.7090.7239.2425.37
Gamma HHI0.480.430.560.450.54
Net GEX75.1K51.1K103.1K51.1K80.9K
Net DEX-3.1M-4.6M-1.6M-1.6M-3.3M
Net VEX-8.6K-9.6K-6.7K-8.8K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.007.500.430.00
Total Volume220.917657532512
Total OI10,886.5510,10411,54610,68110,241

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$7.96$10.0083.8%24.0%68.6%20.2%89.8%-10.1%-7.6%51.1K-1.6M-8.8K0.4339.24N/AN/A3731598,2582,423
2009-11-03$8.22$10.0083.4%23.9%69.8%20.0%81.7%-4.0%-9.2%55.1K-1.9M-8.9K0.9244.82N/AN/A1831688,2222,383
2009-11-04$7.97$10.0073.8%21.1%70.3%15.1%69.2%-6.8%-1.3%51.8K-1.6M-8.3K1.8762.34N/AN/A1072008,2302,349
2009-11-05$8.40$10.0073.1%21.0%71.7%14.8%72.5%2.3%0.7%57.0K-2.0M-9.1K1.8830.94N/AN/A24458,2682,524
2009-11-06$8.32$7.5077.8%21.5%71.2%17.2%74.7%0.9%-4.2%55.5K-2.0M-9.2K7.5012.70N/AN/A2158,2712,569
2009-11-09$8.90$7.5070.3%18.7%76.0%13.4%65.4%10.1%0.9%67.0K-2.7M-9.0K0.0215.57N/AN/A647108,2732,554
2009-11-10$8.76$7.5047.0%19.5%75.6%1.6%68.6%6.8%-0.9%68.9K-2.6M-9.2K0.0334.19N/AN/A3318,6772,544
2009-11-11$9.20$7.5064.9%19.5%75.2%10.7%68.7%16.3%-2.9%76.6K-3.3M-9.6K0.0336.92N/AN/A11538,6612,544
2009-11-12$9.10$7.5066.6%19.1%75.2%11.5%0.0%10.3%-1.0%76.3K-3.1M-9.2K2.2520.32N/AN/A8188,7562,541
2009-11-13$9.41$7.5067.1%19.2%74.8%11.8%67.1%18.1%-2.4%80.9K-3.7M-9.5K0.4916.33N/AN/A142698,7572,543
2009-11-16$9.64$7.5067.9%19.5%74.3%12.2%67.9%-0.6%-1.2%87.0K-4.1M-9.3K1.0331.35N/AN/A34358,8172,568
2009-11-17$9.76$7.5066.9%19.2%72.9%11.7%66.9%1.0%0.3%92.1K-4.3M-9.0K0.0030.41N/AN/A8108,8382,573
2009-11-18$9.94$7.5066.8%19.2%73.0%11.7%66.8%-13.8%-0.1%98.6K-4.6M-8.9K0.6125.24N/AN/A3001828,8512,573
2009-11-19$9.75$7.5065.8%18.9%72.8%11.1%65.8%-3.8%-0.6%103.1K-4.2M-8.6K0.0031.35N/AN/A2108,9182,598
2009-11-20$9.56$7.5069.0%19.8%71.5%12.7%69.0%-6.4%-5.4%87.7K-3.9M-8.5K0.0030.78N/AN/A02348,9392,607
2009-11-23$9.57$7.5058.4%16.7%71.0%7.4%58.4%-19.2%6.9%80.9K-4.0M-7.4K0.6422.87N/AN/A136877,8282,276
2009-11-24$9.17$7.5058.6%16.8%68.6%7.5%47.2%-10.0%4.5%77.8K-3.4M-7.5K0.2416.40N/AN/A253607,9402,362
2009-11-25$9.19$7.5057.0%16.3%62.0%7.0%56.0%-17.4%3.3%77.9K-3.2M-7.3K0.1713.13N/AN/A105187,7982,412
2009-11-27$8.83$7.5066.3%19.0%57.0%11.9%58.2%-26.9%-4.7%75.6K-2.8M-7.4K0.2390.72N/AN/A3177,8332,412
2009-11-30$9.26$7.5062.7%18.0%52.3%10.1%63.1%14.0%2.1%80.9K-3.3M-6.7K0.0025.37N/AN/A51207,8222,419