CBL Options History — December 2009

In December 2009, CBL traded between $9.48 and $10.50. ATM implied volatility averaged 52.4%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 5.7% (HV 20d: 46.7%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2009-12-15: Highest Volume — 4,403 contracts
  • 2009-12-21: Largest IV drop — 17.4% change
  • 2009-12-01: Highest IV Rank — 9.1%
  • 2009-12-01: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.92$9.48$10.50$9.67$9.67
Max Pain$7.50$7.50$7.50$7.50$7.50
ATM IV52.4%37.4%61.0%61.0%37.4%
Expected Move15.1%10.7%17.5%17.5%10.7%
HV 20d46.7%41.2%52.5%52.5%43.2%
HV 60d62.3%55.8%67.2%66.8%56.0%
IV Rank5.2%0.0%9.1%9.1%0.0%
IV Percentile2.5%0.0%6.0%3.6%0.0%
Term Structure6.1%1.7%12.2%1.7%12.2%
VWIV48.9%37.5%61.0%61.0%37.5%
Skew 25d8.9%-12.4%38.8%23.7%5.1%
Skew 10d15.0%-15.7%57.1%36.5%4.0%
Call IV 25d48.8%34.0%64.6%56.3%40.4%
Put IV 25d57.7%42.7%83.7%80.0%45.5%
Bid-Ask Spread %30.7013.8462.5423.3227.27
Gamma HHI0.910.620.990.620.97
Net GEX121.0K72.5K220.4K86.6K128.1K
Net DEX-3.6M-5.9M-1.5M-4.2M-1.5M
Net VEX-6.7K-7.7K-5.4K-7.1K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.009.270.250.16
Total Volume354.77304,403154148
Total OI9,265.2734,98512,67310,6106,061

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$9.67$7.5061.0%17.5%52.5%9.1%61.0%23.7%1.7%86.6K-4.2M-7.1K0.2523.32N/AN/A123318,1912,419
2009-12-02$9.86$7.5058.2%16.7%52.0%7.7%58.2%5.7%3.6%90.7K-4.7M-7.1K0.4513.97N/AN/A114518,2962,377
2009-12-03$9.94$7.5055.4%15.9%49.8%6.2%55.4%28.8%2.8%96.0K-4.9M-6.9K5.0024.49N/AN/A2108,4102,428
2009-12-04$10.46$7.5059.4%17.5%49.6%8.3%46.7%-0.5%2.2%93.0K-5.9M-6.8K0.1320.41N/AN/A166218,4112,429
2009-12-07$10.25$7.5059.2%17.0%50.3%8.2%43.1%-6.8%3.8%101.9K-5.6M-6.5K0.2424.24N/AN/A126308,4682,440
2009-12-08$9.96$7.5057.7%17.3%47.4%7.4%0.0%-9.4%3.0%104.2K-4.9M-6.4K0.5951.40N/AN/A80478,4722,470
2009-12-09$9.90$7.5060.6%17.3%46.9%8.9%0.0%-12.4%3.2%104.8K-4.8M-6.3K0.0029.29N/AN/A008,4542,492
2009-12-10$9.48$7.5060.9%17.4%47.2%9.1%58.5%-6.2%1.8%95.9K-3.9M-5.8K1.4014.03N/AN/A861208,4542,482
2009-12-11$9.78$7.5059.8%17.1%48.1%8.5%59.8%1.8%3.6%111.6K-4.4M-6.0K1.1713.84N/AN/A981158,4342,562
2009-12-14$9.87$7.5060.3%17.3%46.8%8.8%0.0%3.6%4.8%128.6K-4.5M-5.7K0.0059.17N/AN/A18208,4502,668
2009-12-15$9.71$7.5057.1%16.4%46.5%7.1%57.1%6.0%10.1%157.9K-3.9M-5.4K0.0040.80N/AN/A4,39858,3902,668
2009-12-16$9.81$7.5056.8%16.3%46.5%6.9%0.0%-3.1%8.1%211.5K-3.9M-7.7K0.1043.40N/AN/A5059,2452,673
2009-12-17$9.63$7.5055.7%16.0%46.4%6.3%55.7%-7.3%8.7%194.5K-3.7M-6.9K2.8840.61N/AN/A17499,9702,673
2009-12-18$9.68$7.5056.0%16.1%46.0%6.5%49.3%0.0%6.3%220.4K-3.9M-6.8K9.2762.54N/AN/A151399,9732,700
2009-12-21$9.87$7.5046.3%13.3%45.9%1.4%46.0%27.6%8.1%72.5K-1.5M-6.2K0.0042.80N/AN/A98703,7431,242
2009-12-22$9.97$7.5042.2%12.1%46.0%0.0%42.2%25.2%8.2%102.7K-2.0M-7.4K0.0016.71N/AN/A3904,5931,242
2009-12-23$10.24$7.5040.3%11.6%43.6%0.0%40.3%7.3%10.6%105.2K-2.5M-7.5K0.0119.43N/AN/A30424,6141,242
2009-12-24$10.50$7.5041.5%11.9%44.1%0.6%41.5%20.3%9.0%107.3K-2.9M-7.5K1.3329.10N/AN/A15204,7881,234
2009-12-28$10.38$7.5045.7%13.1%41.2%2.8%45.5%9.2%4.9%104.2K-2.8M-7.2K0.3733.92N/AN/A81304,6801,234
2009-12-29$9.76$7.5042.3%12.1%45.3%1.0%42.3%38.8%8.1%115.6K-1.7M-7.1K1.7424.09N/AN/A34594,7551,252
2009-12-30$9.90$7.5040.1%11.5%43.0%0.0%40.1%38.6%9.8%129.4K-1.9M-7.1K0.2020.62N/AN/A514,7851,272
2009-12-31$9.67$7.5037.4%10.7%43.2%0.0%37.5%5.1%12.2%128.1K-1.5M-6.8K0.1627.27N/AN/A128204,7901,271