CBL Options History — June 2010

In June 2010, CBL traded between $12.40 and $14.63. ATM implied volatility averaged 57.3%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 10.1% (HV 20d: 67.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.27.

Notable Days

  • 2010-06-29: Highest Volume — 955 contracts
  • 2010-06-04: Largest IV spike — 42.2% change
  • 2010-06-07: Highest IV Rank — 62.4%
  • 2010-06-07: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.67$12.40$14.63$13.76$12.44
Max Pain$13.41$12.50$15.00$12.50$15.00
ATM IV57.3%47.0%77.9%60.6%57.0%
Expected Move15.9%13.5%18.8%17.4%16.3%
HV 20d67.4%56.4%77.5%69.9%56.9%
HV 60d61.1%57.6%62.8%57.6%61.2%
IV Rank39.9%28.1%62.4%42.3%40.3%
IV Percentile48.3%30.6%84.9%50.0%48.4%
Term Structure2.6%-2.3%7.3%-2.3%1.5%
VWIV53.9%31.2%71.5%65.4%57.0%
Skew 25d12.9%2.8%21.1%15.9%7.1%
Skew 10d18.5%0.4%37.7%16.5%10.6%
Call IV 25d47.7%40.1%59.3%56.1%44.0%
Put IV 25d60.5%49.7%72.9%72.0%51.2%
Bid-Ask Spread %24.2115.9639.6532.6618.03
Gamma HHI0.450.330.560.500.33
Net GEX38.5K9.0K69.9K38.0K12.5K
Net DEX-826.7K-2.2M564.8K-1.1M336.4K
Net VEX-12.3K-14.2K-10.1K-13.8K-11.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.0016.500.110.89
Total Volume187.818195540285
Total OI6,470.0455,0837,2016,6236,230

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$13.76$12.5060.6%17.4%69.9%42.3%65.4%15.9%-2.3%38.0K-1.1M-13.8K0.1132.66N/AN/A3644,2142,409
2010-06-02$14.34$12.5052.3%15.0%70.4%32.6%71.5%21.1%2.5%44.5K-1.6M-14.1K0.8715.96N/AN/A23204,2112,413
2010-06-03$14.55$12.5050.7%14.5%70.6%30.8%50.8%20.5%0.9%47.1K-1.8M-14.2K0.0019.81N/AN/A17704,2322,411
2010-06-04$13.22$15.0072.1%18.6%76.5%55.6%63.1%16.8%-2.1%36.5K-623.4K-12.7K0.5916.75N/AN/A61364,3162,401
2010-06-07$12.64$12.5077.9%18.8%77.5%62.4%65.5%13.6%-0.7%30.2K-118.6K-11.6K0.9221.22N/AN/A98904,3322,411
2010-06-08$12.83$12.5071.1%17.8%70.2%54.5%65.8%19.4%-0.4%31.0K-93.8K-11.3K0.3624.69N/AN/A55204,3852,472
2010-06-09$13.00$12.5075.2%18.2%69.6%59.2%0.0%13.9%-1.7%33.3K-333.6K-11.6K0.0027.19N/AN/A5304,4042,472
2010-06-10$13.88$12.5052.3%15.0%71.7%34.6%55.8%16.5%7.3%46.6K-1.2M-12.6K0.3926.76N/AN/A224884,4362,472
2010-06-11$14.05$12.5052.0%14.9%71.9%34.2%53.4%17.9%6.7%49.3K-1.5M-12.8K0.3827.59N/AN/A26104,6022,560
2010-06-14$14.23$12.5051.8%14.9%71.7%34.0%51.3%19.0%5.7%57.4K-1.7M-13.0K0.1619.33N/AN/A134214,6082,570
2010-06-15$14.63$12.5052.3%15.0%72.6%34.5%52.2%7.5%6.6%68.5K-2.2M-13.2K0.2630.94N/AN/A58154,6102,571
2010-06-16$14.49$12.5053.9%15.5%71.4%36.6%31.2%20.1%3.6%69.9K-1.9M-12.8K0.0039.65N/AN/A3104,6132,582
2010-06-17$14.31$12.5051.9%14.9%71.3%34.1%51.5%17.1%5.3%57.4K-1.7M-12.5K0.0019.29N/AN/A104,6182,582
2010-06-18$14.24$12.5047.0%13.5%63.6%28.1%48.4%14.7%7.1%33.5K-1.5M-12.0K1.7921.82N/AN/A1592854,6192,582
2010-06-21$14.27$12.5048.2%13.8%63.0%29.6%48.1%13.9%3.0%32.8K-804.2K-12.7K0.3120.64N/AN/A4701443,3241,759
2010-06-22$13.59$15.0057.8%16.6%64.0%41.3%50.0%3.9%-0.2%33.0K-363.0K-12.4K2.0025.43N/AN/A18363,6811,883
2010-06-23$13.63$15.0055.5%15.9%64.0%38.5%48.2%6.6%2.0%33.1K-273.2K-12.2K0.1624.17N/AN/A138223,6851,917
2010-06-24$13.41$15.0056.6%16.2%64.2%39.8%46.4%5.0%1.3%27.6K-95.3K-11.6K16.5028.69N/AN/A2333,6651,939
2010-06-25$13.66$15.0054.7%15.7%56.4%37.5%0.0%6.7%3.5%30.4K-205.9K-12.1K0.0024.38N/AN/A103,6661,957
2010-06-28$13.17$15.0053.0%15.2%57.1%35.5%53.1%2.9%5.6%25.4K-29.1K-11.2K2.1628.17N/AN/A962073,6671,957
2010-06-29$12.40$15.0057.6%16.5%59.4%41.1%48.4%2.8%1.3%9.0K564.8K-10.1K0.0519.53N/AN/A908473,7532,150
2010-06-30$12.44$15.0057.0%16.3%56.9%40.3%57.0%7.1%1.5%12.5K336.4K-11.1K0.8918.03N/AN/A1511344,0342,196