CBL Options History — April 2010

In April 2010, CBL traded between $14.03 and $15.40. ATM implied volatility averaged 44.1%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 2.9% (HV 20d: 47.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2010-04-16: Highest Volume — 599 contracts
  • 2010-04-29: Largest IV drop — 20.4% change
  • 2010-04-28: Highest IV Rank — 16.7%
  • 2010-04-28: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.71$14.03$15.40$14.20$14.60
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV44.1%38.8%52.0%40.2%44.5%
Expected Move13.2%11.5%14.9%11.5%12.7%
HV 20d47.0%42.3%54.4%45.3%54.4%
HV 60d44.4%42.6%47.0%43.9%47.0%
IV Rank12.0%8.8%16.7%9.6%12.2%
IV Percentile19.1%6.0%35.7%10.3%21.0%
Term Structure-0.8%-3.7%4.6%4.6%0.8%
VWIV46.0%40.2%51.6%40.2%42.6%
Skew 25d11.6%-8.9%48.4%-8.9%1.9%
Skew 10d20.0%-9.9%82.0%-9.9%3.7%
Call IV 25d42.3%36.6%47.3%39.9%43.7%
Put IV 25d53.9%30.9%89.2%30.9%45.6%
Bid-Ask Spread %27.9613.8847.2413.8836.03
Gamma HHI0.690.470.880.590.88
Net GEX33.7K12.6K68.5K12.6K68.5K
Net DEX-1.6M-2.7M-555.7K-916.7K-2.3M
Net VEX-9.2K-12.7K-7.1K-7.1K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.003.541.160.32
Total Volume277.76244599329388
Total OI4,949.8574,0336,0984,0336,098

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$14.20$15.0040.2%11.5%45.3%9.6%40.2%-8.9%4.6%12.6K-916.7K-7.1K1.1613.88N/AN/A1521772,2171,816
2010-04-05$14.99$15.0038.8%12.9%45.1%8.8%44.6%42.8%-0.9%22.5K-1.5M-7.2K0.2032.51N/AN/A295592,3291,957
2010-04-06$15.23$15.0042.2%13.0%43.9%10.8%45.4%38.0%-0.7%24.4K-1.8M-7.5K3.5427.11N/AN/A983472,4822,000
2010-04-07$14.89$15.0042.0%13.1%44.2%10.7%45.9%48.4%-1.6%21.7K-1.4M-7.8K1.4428.55N/AN/A18262,4622,026
2010-04-08$14.79$15.0043.0%13.3%44.1%11.3%46.4%-3.3%-1.4%19.1K-1.4M-7.7K0.0522.07N/AN/A6632,4622,026
2010-04-09$15.08$15.0039.2%13.4%44.5%9.0%46.9%48.1%-2.3%24.3K-1.6M-7.6K0.3627.49N/AN/A33122,5062,048
2010-04-12$14.64$15.0040.2%13.8%45.9%9.6%47.8%5.0%-2.9%25.5K-1.2M-7.5K2.2028.72N/AN/A501102,5252,060
2010-04-13$14.98$15.0043.8%13.6%46.6%11.8%47.4%6.7%-2.5%23.8K-1.5M-7.7K0.0027.97N/AN/A8302,5412,169
2010-04-14$15.40$15.0041.6%13.7%46.3%10.5%0.0%4.7%-3.2%23.5K-2.0M-7.1K1.0930.77N/AN/A55602,5812,169
2010-04-15$14.58$15.0048.5%13.9%49.1%14.6%49.1%5.7%-1.3%20.5K-1.0M-7.8K0.5526.45N/AN/A3772082,5562,215
2010-04-16$14.10$15.0046.7%13.4%50.2%13.5%46.2%1.5%1.1%14.5K-555.7K-8.2K0.4523.25N/AN/A4121872,7442,353
2010-04-19$14.17$15.0045.5%13.0%49.7%12.8%45.8%6.1%-1.0%24.6K-1.1M-8.9K0.2823.51N/AN/A243692,6081,875
2010-04-20$14.42$15.0045.4%13.0%50.2%12.8%46.2%6.7%-1.9%30.1K-1.4M-9.5K0.0522.19N/AN/A248122,7921,903
2010-04-21$14.51$15.0044.5%12.8%43.7%12.2%45.1%3.6%0.3%35.5K-1.7M-10.5K0.0027.15N/AN/A14703,0271,913
2010-04-22$14.72$15.0044.2%12.7%43.5%12.0%44.2%6.9%0.3%41.7K-1.9M-10.6K0.0026.79N/AN/A14503,1591,913
2010-04-23$15.02$15.0045.2%12.9%44.0%12.6%45.2%4.6%-0.3%48.3K-2.3M-10.6K1.4547.24N/AN/A1592313,2691,913
2010-04-26$15.20$15.0048.0%13.7%42.3%14.3%48.0%5.6%-2.7%52.0K-2.5M-10.9K0.0042.47N/AN/A40913,4282,072
2010-04-27$14.21$15.0049.2%14.1%49.4%15.0%49.7%5.3%-0.6%54.0K-1.8M-12.2K0.1724.23N/AN/A113193,8002,072
2010-04-28$14.03$15.0052.0%14.9%49.4%16.7%51.6%7.1%-3.7%53.5K-1.6M-12.2K0.7332.75N/AN/A1531113,8632,057
2010-04-29$15.07$15.0041.4%11.9%54.2%10.3%41.2%6.4%2.8%66.1K-2.7M-12.0K0.9816.00N/AN/A2822753,8082,133
2010-04-30$14.60$15.0044.5%12.7%54.4%12.2%42.6%1.9%0.8%68.5K-2.3M-12.7K0.3236.03N/AN/A294944,0322,066