CBL Options History — February 2010

In February 2010, CBL traded between $9.58 and $11.89. ATM implied volatility averaged 44.8%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 2.8% (HV 20d: 47.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2010-02-18: Highest Volume — 6,171 contracts
2010-02-04: Largest IV drop — 21.1% change
2010-02-18: Highest IV Rank — 9.2%
2010-02-03: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.55	$9.58	$11.89	$10.29	$11.89
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	44.8%	37.6%	52.1%	46.8%	40.7%
Expected Move	13.1%	10.8%	14.9%	13.4%	11.7%
HV 20d	47.5%	44.7%	52.3%	47.4%	45.1%
HV 60d	46.5%	45.3%	47.7%	47.3%	45.4%
IV Rank	5.4%	1.7%	9.2%	6.2%	3.8%
IV Percentile	7.5%	1.6%	15.9%	7.9%	4.0%
Term Structure	1.4%	-2.8%	4.3%	2.4%	-0.4%
VWIV	44.1%	24.6%	52.1%	46.2%	24.6%
Skew 25d	2.9%	-7.9%	13.8%	-6.5%	-7.8%
Skew 10d	8.0%	-9.2%	35.9%	-7.2%	-8.6%
Call IV 25d	42.2%	32.3%	53.0%	51.0%	39.0%
Put IV 25d	45.2%	31.2%	54.2%	44.5%	31.2%
Bid-Ask Spread %	20.97	11.47	36.96	30.51	16.06
Gamma HHI	0.82	0.51	0.97	0.91	0.51
Net GEX	154.1K	48.7K	468.8K	129.9K	73.2K
Net DEX	-4.0M	-7.6M	-1.2M	-2.9M	-6.4M
Net VEX	-6.8K	-7.9K	-5.0K	-7.6K	-5.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	2.05	0.00	0.04
Total Volume	548	27	6,171	50	108
Total OI	8,640.474	7,792	10,938	7,792	8,060

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
2010-02-01	$10.29	$10.00	46.8%	13.4%	47.4%	6.2%	0.0%	-6.5%	2.4%	129.9K	-2.9M	-7.6K	0.00	30.51	N/A	N/A	50	0	5,895	1,897
2010-02-02	$10.50	$10.00	46.1%	13.2%	45.9%	5.9%	46.2%	-2.4%	4.3%	132.4K	-3.4M	-7.4K	0.20	26.01	N/A	N/A	66	13	5,945	1,897
2010-02-03	$10.19	$10.00	52.1%	14.9%	44.7%	8.9%	52.1%	-7.9%	-1.3%	127.5K	-2.8M	-7.5K	0.66	26.34	N/A	N/A	235	155	6,005	1,910
2010-02-04	$9.78	$10.00	41.1%	11.8%	46.5%	3.4%	41.1%	6.6%	2.1%	152.3K	-1.6M	-7.0K	2.05	20.60	N/A	N/A	66	135	6,045	2,065
2010-02-05	$10.14	$10.00	37.8%	13.7%	46.6%	1.7%	46.8%	6.3%	1.9%	177.8K	-2.6M	-7.3K	0.13	13.61	N/A	N/A	290	39	6,040	2,035
2010-02-08	$9.61	$10.00	39.9%	13.1%	48.8%	2.7%	45.6%	4.6%	2.3%	164.4K	-1.2M	-6.4K	0.89	14.79	N/A	N/A	81	72	6,168	2,021
2010-02-09	$9.69	$10.00	42.7%	12.8%	48.6%	4.2%	44.7%	1.3%	2.6%	172.4K	-1.6M	-6.4K	0.00	13.73	N/A	N/A	1,670	0	6,159	2,018
2010-02-10	$9.58	$10.00	47.0%	13.2%	47.8%	6.3%	46.1%	-0.9%	3.7%	180.2K	-1.5M	-7.3K	1.30	14.53	N/A	N/A	20	26	7,375	2,018
2010-02-11	$9.73	$10.00	45.6%	13.1%	46.2%	5.6%	37.5%	0.4%	3.5%	223.0K	-1.9M	-7.5K	0.76	15.15	N/A	N/A	33	25	7,395	2,021
2010-02-12	$9.82	$10.00	44.6%	12.8%	46.3%	5.1%	44.6%	8.4%	1.4%	254.9K	-2.1M	-7.4K	0.01	15.70	N/A	N/A	156	1	7,390	2,021
2010-02-16	$10.18	$10.00	47.0%	13.5%	47.9%	6.3%	47.0%	8.5%	2.2%	468.8K	-4.0M	-6.9K	0.06	14.42	N/A	N/A	84	5	7,541	2,022
2010-02-17	$10.78	$10.00	50.5%	14.5%	50.5%	8.1%	50.4%	4.8%	-0.8%	107.6K	-6.2M	-5.7K	0.10	22.91	N/A	N/A	169	17	7,615	2,022
2010-02-18	$11.23	$10.00	51.5%	14.8%	52.3%	9.2%	50.6%	5.3%	-2.8%	48.7K	-7.0M	-5.0K	0.01	24.19	N/A	N/A	6,111	60	7,627	2,029
2010-02-19	$11.19	$10.00	43.8%	12.6%	49.2%	5.0%	44.7%	7.1%	3.7%	112.9K	-7.6M	-7.9K	0.00	36.96	N/A	N/A	470	0	8,889	2,049
2010-02-22	$11.23	$10.00	46.5%	13.3%	48.0%	6.5%	46.1%	0.5%	-0.5%	115.9K	-5.2M	-7.5K	2.00	26.51	N/A	N/A	9	18	6,678	1,322
2010-02-23	$11.21	$10.00	49.6%	14.2%	47.9%	9.1%	48.2%	6.7%	-1.3%	115.6K	-5.1M	-7.4K	0.28	29.42	N/A	N/A	89	25	6,675	1,325
2010-02-24	$11.66	$10.00	39.6%	11.3%	47.5%	3.0%	39.9%	7.1%	1.0%	95.0K	-5.9M	-5.9K	0.53	11.47	N/A	N/A	40	21	6,631	1,345
2010-02-25	$11.81	$10.00	37.6%	10.8%	46.6%	1.9%	37.6%	13.8%	1.9%	74.8K	-6.2M	-5.4K	0.66	25.59	N/A	N/A	32	21	6,666	1,353
2010-02-26	$11.89	$10.00	40.7%	11.7%	45.1%	3.8%	24.6%	-7.8%	-0.4%	73.2K	-6.4M	-5.6K	0.04	16.06	N/A	N/A	104	4	6,696	1,364