CBL Options History — January 2010

In January 2010, CBL traded between $10.00 and $10.92. ATM implied volatility averaged 45.8%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 0.9% (HV 20d: 46.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.05.

Notable Days

2010-01-15: Highest Volume — 4,528 contracts
2010-01-14: Largest IV spike — 37.2% change
2010-01-14: Highest IV Rank — 8.6%
2010-01-07: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.37	$10.00	$10.92	$10.06	$10.00
Max Pain	$9.74	$7.50	$10.00	$10.00	$10.00
ATM IV	45.8%	34.5%	51.5%	44.6%	49.8%
Expected Move	14.5%	13.0%	15.6%	15.2%	14.3%
HV 20d	46.6%	43.3%	51.7%	45.5%	47.2%
HV 60d	54.7%	47.4%	57.3%	56.6%	47.4%
IV Rank	5.5%	0.0%	8.6%	3.7%	7.7%
IV Percentile	5.5%	0.0%	9.9%	2.8%	9.9%
Term Structure	2.3%	-1.0%	6.0%	4.9%	1.0%
VWIV	50.5%	46.2%	54.8%	52.9%	48.4%
Skew 25d	5.0%	-9.4%	43.0%	43.0%	5.2%
Skew 10d	16.6%	-6.1%	74.3%	74.3%	11.1%
Call IV 25d	48.3%	42.1%	53.7%	46.6%	50.7%
Put IV 25d	53.2%	43.5%	89.6%	89.6%	55.9%
Bid-Ask Spread %	30.32	14.32	52.96	23.80	29.22
Gamma HHI	0.91	0.84	0.96	0.96	0.91
Net GEX	130.6K	89.0K	271.8K	142.2K	116.8K
Net DEX	-3.1M	-4.1M	-2.2M	-2.3M	-2.2M
Net VEX	-7.1K	-8.3K	-5.7K	-7.0K	-8.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.05	0.00	28.00	0.14	0.00
Total Volume	421.684	8	4,528	80	8
Total OI	6,847.158	6,182	7,786	6,182	7,786

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$10.06	$10.00	44.6%	15.2%	45.5%	3.7%	52.9%	43.0%	4.9%	142.2K	-2.3M	-7.0K	0.14	23.80	N/A	N/A	70	10	4,891	1,291
2010-01-05	$10.49	$10.00	46.2%	15.1%	44.3%	4.5%	52.7%	7.6%	5.2%	130.4K	-3.1M	-6.8K	0.05	25.47	N/A	N/A	470	22	4,949	1,291
2010-01-06	$10.29	$10.00	45.9%	15.4%	44.2%	4.3%	0.0%	10.3%	2.7%	148.4K	-3.0M	-7.1K	0.00	29.21	N/A	N/A	69	0	5,211	1,291
2010-01-07	$10.66	$10.00	34.8%	15.6%	44.5%	0.0%	54.8%	10.1%	0.2%	120.2K	-3.8M	-6.2K	0.05	28.63	N/A	N/A	173	8	5,265	1,291
2010-01-08	$10.30	$10.00	43.6%	14.9%	46.4%	4.5%	52.0%	-8.5%	2.5%	177.9K	-3.1M	-6.9K	0.20	38.89	N/A	N/A	87	17	5,341	1,293
2010-01-11	$10.44	$10.00	34.5%	15.2%	43.3%	0.0%	0.0%	-4.2%	2.0%	173.0K	-3.7M	-6.2K	0.00	38.69	N/A	N/A	16	0	5,408	1,306
2010-01-12	$10.15	$10.00	44.3%	15.2%	43.6%	5.0%	53.1%	-9.4%	-0.4%	271.8K	-2.7M	-6.4K	0.11	52.96	N/A	N/A	274	30	5,406	1,306
2010-01-13	$10.51	$10.00	37.5%	14.4%	45.1%	1.6%	49.6%	6.3%	2.7%	124.6K	-3.8M	-5.7K	0.00	38.30	N/A	N/A	116	0	5,393	1,336
2010-01-14	$10.60	$10.00	51.5%	14.8%	44.6%	8.6%	51.5%	-0.2%	2.7%	100.1K	-4.1M	-5.9K	0.00	36.91	N/A	N/A	25	0	5,506	1,336
2010-01-15	$10.38	$10.00	49.3%	14.1%	45.4%	7.5%	48.9%	-1.1%	3.1%	160.1K	-3.8M	-5.8K	0.00	41.45	N/A	N/A	4,508	20	5,506	1,316
2010-01-19	$10.77	$7.50	50.0%	14.3%	46.2%	7.8%	49.4%	0.9%	1.4%	90.3K	-3.3M	-7.5K	1.92	37.41	N/A	N/A	93	179	5,125	1,227
2010-01-20	$10.92	$7.50	45.4%	13.0%	46.3%	5.5%	46.2%	8.6%	3.8%	89.0K	-3.6M	-7.4K	0.74	42.12	N/A	N/A	27	20	5,203	1,394
2010-01-21	$10.42	$10.00	46.7%	13.4%	49.6%	6.2%	46.7%	-0.3%	6.0%	98.6K	-2.9M	-7.7K	5.59	14.32	N/A	N/A	39	218	5,196	1,404
2010-01-22	$10.16	$10.00	51.5%	14.8%	50.5%	8.6%	51.5%	6.4%	-0.2%	90.4K	-2.4M	-8.1K	2.08	20.96	N/A	N/A	39	81	5,235	1,594
2010-01-25	$10.33	$10.00	49.1%	14.1%	49.9%	7.4%	49.1%	8.4%	2.7%	96.9K	-2.6M	-7.7K	0.04	19.77	N/A	N/A	666	25	5,257	1,650
2010-01-26	$10.01	$10.00	50.2%	14.4%	50.2%	7.9%	50.2%	6.8%	-1.0%	116.3K	-2.5M	-8.2K	28.00	14.50	N/A	N/A	9	252	5,880	1,645
2010-01-27	$10.35	$10.00	48.0%	13.8%	51.7%	6.8%	48.4%	-3.3%	1.1%	112.9K	-3.0M	-8.3K	0.00	21.20	N/A	N/A	416	0	5,884	1,897
2010-01-28	$10.10	$10.00	46.4%	13.3%	47.3%	6.0%	0.0%	7.6%	3.1%	120.6K	-2.6M	-8.1K	0.00	22.37	N/A	N/A	25	0	5,889	1,897
2010-01-29	$10.00	$10.00	49.8%	14.3%	47.2%	7.7%	0.0%	5.2%	1.0%	116.8K	-2.2M	-8.1K	0.00	29.22	N/A	N/A	8	0	5,889	1,897