CBL Options History — March 2010

In March 2010, CBL traded between $12.14 and $15.35. ATM implied volatility averaged 38.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 2.2% (HV 20d: 36.5%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-03-25: Highest Volume — 4,319 contracts
  • 2010-03-09: Largest IV spike — 85.0% change
  • 2010-03-09: Highest IV Rank — 12.0%
  • 2010-03-17: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.98$12.14$15.35$12.14$13.70
Max Pain$13.70$10.00$15.00$10.00$15.00
ATM IV38.7%24.2%44.7%39.7%37.2%
Expected Move11.2%10.2%12.2%11.4%10.7%
HV 20d36.5%26.0%44.8%44.8%44.2%
HV 60d44.3%43.1%46.2%44.8%44.1%
IV Rank7.4%0.0%12.0%3.3%7.8%
IV Percentile5.3%0.0%12.3%2.8%2.4%
Term Structure3.3%-0.8%19.6%1.5%19.6%
VWIV40.0%35.4%44.5%39.7%39.2%
Skew 25d4.8%-5.4%15.0%-5.0%4.6%
Skew 10d9.1%-6.1%25.0%-6.1%7.2%
Call IV 25d36.8%29.7%42.4%38.5%39.8%
Put IV 25d41.6%31.8%50.4%33.4%44.3%
Bid-Ask Spread %26.8312.5948.8316.1226.47
Gamma HHI0.510.300.770.570.48
Net GEX18.6K-93.7K55.9K48.0K8.2K
Net DEX-5.5M-8.8M-659.5K-6.8M-659.5K
Net VEX-5.6K-6.9K-4.4K-4.4K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.003.150.301.49
Total Volume605.696154,319285137
Total OI6,696.0433,3898,9498,0513,907

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$12.14$10.0039.7%11.4%44.8%3.3%39.7%-5.0%1.5%48.0K-6.8M-4.4K0.3016.12N/AN/A220656,6831,368
2010-03-02$12.30$10.0037.9%10.9%44.2%2.2%37.9%-2.1%0.4%55.9K-6.9M-4.9K0.2115.77N/AN/A268556,7341,343
2010-03-03$12.35$10.0038.2%10.9%44.1%2.3%38.4%2.4%0.7%52.0K-7.0M-4.8K1.1117.16N/AN/A1001116,7451,331
2010-03-04$12.57$10.0036.9%10.6%41.8%1.5%37.1%4.6%2.6%45.9K-7.2M-4.8K0.0013.52N/AN/A17906,7401,441
2010-03-05$13.29$12.5035.2%10.7%40.0%0.5%37.8%5.5%4.9%41.5K-8.0M-4.6K0.0333.86N/AN/A749216,7821,441
2010-03-08$13.77$12.5024.2%11.5%40.0%0.0%42.0%7.2%-0.8%32.8K-8.6M-4.6K0.1123.66N/AN/A1,6771806,8711,462
2010-03-09$14.13$12.5044.7%11.0%30.7%12.0%38.7%5.9%2.8%34.1K-8.2M-4.7K2.4920.64N/AN/A2025026,5111,490
2010-03-10$14.33$12.5039.2%11.1%30.5%8.8%38.7%3.5%1.6%22.6K-8.3M-5.2K1.0335.23N/AN/A1081116,5291,913
2010-03-11$14.26$15.0040.2%11.5%29.7%9.4%0.0%8.1%2.9%17.5K-8.1M-5.2K0.0028.50N/AN/A28716,5142,024
2010-03-12$14.36$15.0035.4%10.2%30.0%6.8%35.4%5.1%5.6%16.0K-7.7M-5.5K0.5335.31N/AN/A2141136,2332,024
2010-03-15$14.35$15.0037.7%10.8%30.6%8.1%41.6%10.1%3.7%10.1K-7.5M-5.5K0.8628.54N/AN/A1311136,2072,137
2010-03-16$14.80$15.0041.7%12.0%30.3%10.5%41.9%15.0%0.6%10.6K-8.1M-5.5K0.2921.96N/AN/A1,7084996,2272,040
2010-03-17$15.27$15.0042.6%12.2%27.2%11.1%44.5%7.9%0.8%-2.2K-8.5M-6.2K0.9534.22N/AN/A2252146,4302,240
2010-03-18$15.35$15.0041.6%11.9%26.0%10.5%41.6%6.4%0.5%-7.1K-8.8M-6.0K0.0848.83N/AN/A194166,5432,406
2010-03-19$14.97$15.0039.9%11.4%29.0%9.5%39.9%13.6%1.9%-93.7K-7.4M-6.0K0.4023.10N/AN/A45186,0842,407
2010-03-22$14.98$15.0039.8%11.4%29.2%9.4%40.0%-1.2%2.3%26.0K-2.1M-5.8K0.0712.59N/AN/A166122,3321,057
2010-03-23$13.99$15.0039.9%11.4%41.2%9.5%42.5%5.4%3.6%22.9K-1.5M-6.1K3.1523.40N/AN/A621952,3801,061
2010-03-24$14.25$15.0039.1%11.2%39.9%9.0%39.6%9.1%7.1%20.8K-1.6M-6.1K0.3323.03N/AN/A156512,3981,185
2010-03-25$14.32$15.0042.6%12.2%40.0%11.1%43.3%3.9%1.4%24.1K-1.7M-6.4K0.0629.16N/AN/A4,0632562,4861,211
2010-03-26$13.89$15.0039.4%11.3%42.4%9.2%40.8%2.0%2.8%15.2K-873.5K-6.5K2.3333.73N/AN/A461072,1201,415
2010-03-29$13.94$15.0039.3%11.3%42.2%9.1%39.2%4.9%5.8%13.8K-820.8K-6.4K2.2929.62N/AN/A1032362,1411,515
2010-03-30$14.12$15.0038.0%10.9%42.2%8.3%0.0%-5.4%3.6%12.5K-878.1K-6.8K0.0042.75N/AN/A1502,1651,736
2010-03-31$13.70$15.0037.2%10.7%44.2%7.8%0.0%4.6%19.6%8.2K-659.5K-6.9K1.4926.47N/AN/A55822,1711,736