CBL Options History — May 2010

In May 2010, CBL traded between $13.45 and $16.17. ATM implied volatility averaged 58.9%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 8.4% (HV 20d: 67.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.63.

Notable Days

  • 2010-05-13: Highest Volume — 1,250 contracts
  • 2010-05-20: Largest IV spike — 26.8% change
  • 2010-05-25: Highest IV Rank — 60.1%
  • 2010-05-25: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.70$13.45$16.17$15.62$14.29
Max Pain$13.00$12.50$15.00$15.00$12.50
ATM IV58.9%45.1%76.0%45.1%53.5%
Expected Move16.8%12.9%21.8%12.9%15.3%
HV 20d67.2%56.3%75.4%56.3%73.5%
HV 60d52.1%46.9%58.1%47.6%58.1%
IV Rank32.4%12.6%60.1%12.6%34.1%
IV Percentile46.8%23.0%79.8%23.0%39.3%
Term Structure-1.8%-10.2%4.1%1.7%1.1%
VWIV56.9%45.1%71.6%45.1%53.9%
Skew 25d11.4%-1.4%25.2%5.9%19.9%
Skew 10d26.2%-11.0%51.5%19.9%26.3%
Call IV 25d51.5%40.3%59.4%42.3%45.5%
Put IV 25d62.8%48.2%81.1%48.2%65.4%
Bid-Ask Spread %33.8313.7692.4834.3833.99
Gamma HHI0.650.420.850.820.49
Net GEX68.4K29.4K133.1K72.7K40.2K
Net DEX-2.4M-4.6M-777.2K-3.5M-1.5M
Net VEX-14.3K-17.1K-12.3K-12.3K-14.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.072.450.110.07
Total Volume247.2341,250287114
Total OI7,062.36,2138,2176,2136,508

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$15.62$15.0045.1%12.9%56.3%12.6%45.1%5.9%1.7%72.7K-3.5M-12.3K0.1134.38N/AN/A259284,0552,158
2010-05-04$14.97$15.0049.9%14.3%58.2%15.5%49.9%6.8%-0.7%75.7K-2.8M-13.2K0.6813.84N/AN/A119814,2582,178
2010-05-05$14.80$15.0051.1%14.7%57.7%16.2%51.1%5.0%-0.1%73.3K-2.5M-13.6K0.6013.76N/AN/A78474,3542,259
2010-05-06$14.09$15.0058.1%16.6%60.3%20.4%0.0%4.2%-3.2%59.2K-1.8M-13.5K2.2692.48N/AN/A531204,4222,297
2010-05-07$13.70$12.5061.6%18.0%60.4%22.5%61.5%-1.4%-6.3%51.1K-1.1M-13.2K0.4455.40N/AN/A116514,4372,417
2010-05-10$14.94$12.5054.8%15.6%67.7%18.4%53.7%8.7%-4.6%79.5K-2.6M-13.7K0.1729.12N/AN/A83144,4782,468
2010-05-11$15.31$12.5056.2%16.1%67.7%19.3%0.0%4.5%-2.6%86.4K-3.1M-13.7K0.1329.64N/AN/A3044,4822,468
2010-05-12$16.06$12.5058.6%15.6%69.2%20.7%50.3%6.8%-1.9%77.9K-4.3M-13.0K0.7432.25N/AN/A2531874,4922,468
2010-05-13$16.17$12.5054.3%15.6%65.8%18.1%50.2%5.8%-1.4%76.1K-4.6M-13.3K0.5125.16N/AN/A8274234,5882,422
2010-05-14$15.68$12.5054.4%15.6%65.6%32.6%54.9%8.6%1.1%103.0K-4.0M-17.1K1.0334.67N/AN/A59615,2762,774
2010-05-17$15.72$12.5058.0%16.6%65.6%36.4%56.1%11.7%-2.3%102.2K-4.1M-16.5K0.1340.93N/AN/A200265,2662,822
2010-05-18$15.11$12.5059.7%17.1%67.3%41.2%59.3%7.6%-3.4%119.9K-3.2M-17.0K0.1037.82N/AN/A6775,3752,837
2010-05-19$14.88$12.5058.9%16.9%67.6%40.3%62.4%7.6%-0.7%133.1K-2.6M-16.6K0.2024.33N/AN/A193385,3782,839
2010-05-20$13.62$12.5074.7%21.4%74.4%58.7%71.6%25.2%-10.2%52.9K-1.1M-14.8K0.2340.34N/AN/A4871125,3152,819
2010-05-21$13.97$12.5060.4%17.3%74.7%42.0%60.7%18.6%4.1%31.1K-777.2K-14.3K0.9638.42N/AN/A1141095,1842,830
2010-05-24$13.45$12.5070.4%20.2%75.4%53.6%62.8%17.8%1.0%29.4K-907.0K-13.8K0.3826.90N/AN/A63243,9322,334
2010-05-25$13.55$12.5076.0%21.8%71.9%60.1%62.1%25.0%-3.6%30.2K-855.5K-13.8K1.1026.78N/AN/A941033,9642,349
2010-05-26$13.48$12.5068.7%19.7%71.9%51.7%60.7%17.9%-3.8%33.2K-875.7K-13.7K2.4525.88N/AN/A33814,0092,339
2010-05-27$14.67$12.5053.0%15.2%73.8%33.5%58.0%20.9%-0.0%40.3K-1.8M-14.5K0.3420.45N/AN/A139473,9942,401
2010-05-28$14.29$12.5053.5%15.3%73.5%34.1%53.9%19.9%1.1%40.2K-1.5M-14.5K0.0733.99N/AN/A10774,1072,401