CBL Options History — July 2010

In July 2010, CBL traded between $11.20 and $14.07. ATM implied volatility averaged 52.8%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 0.6% (HV 20d: 52.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2010-07-20: Highest Volume — 746 contracts
  • 2010-07-06: Largest IV spike — 29.0% change
  • 2010-07-06: Highest IV Rank — 57.9%
  • 2010-07-06: Largest Expected Move — 19.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.78$11.20$14.07$12.44$14.07
Max Pain$12.74$12.50$15.00$15.00$12.50
ATM IV52.8%45.4%71.3%57.5%46.4%
Expected Move15.3%13.0%19.0%16.5%13.3%
HV 20d52.2%48.1%57.0%56.4%50.0%
HV 60d62.4%59.3%63.7%61.1%59.3%
IV Rank36.6%26.7%57.9%41.0%29.3%
IV Percentile42.0%24.6%81.0%49.6%29.0%
Term Structure-0.9%-5.6%3.1%2.4%0.8%
VWIV53.7%43.5%62.1%57.5%53.1%
Skew 25d9.3%-10.9%14.7%9.4%8.6%
Skew 10d16.3%-6.5%29.4%14.6%17.4%
Call IV 25d48.4%42.6%54.9%45.2%43.5%
Put IV 25d57.8%41.1%66.9%54.6%52.1%
Bid-Ask Spread %28.6518.4338.9536.7923.64
Gamma HHI0.310.270.390.310.33
Net GEX24.0K-11.7K68.0K11.7K68.0K
Net DEX-340.3K-2.5M1.2M347.7K-2.5M
Net VEX-12.0K-14.7K-8.7K-11.4K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.0112.863.9012.86
Total Volume237.5715874634897
Total OI7,278.3816,4228,0886,4648,088

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$12.44$15.0057.5%16.5%56.4%41.0%57.5%9.4%2.4%11.7K347.7K-11.4K3.9036.79N/AN/A712774,1502,314
2010-07-02$11.77$15.0055.3%15.8%49.4%38.2%55.4%-10.9%3.1%3.5K835.3K-10.4K0.3021.25N/AN/A235714,1852,527
2010-07-06$11.20$12.5071.3%19.0%50.0%57.9%61.2%14.7%-4.6%1.3K1.2M-8.7K0.5438.90N/AN/A3792034,3492,580
2010-07-07$11.83$12.5055.4%16.6%54.0%38.4%62.1%11.6%-1.9%976923.2K-10.4K0.9830.34N/AN/A46454,3552,673
2010-07-08$12.04$12.5046.8%16.1%54.2%28.0%56.5%9.1%-1.5%-918822.1K-10.5K0.4132.26N/AN/A201834,3842,680
2010-07-09$12.25$12.5045.7%15.5%48.4%26.7%54.3%13.1%0.2%438629.8K-11.0K0.0226.69N/AN/A5714,4932,731
2010-07-12$12.03$12.5051.6%15.6%48.1%34.0%58.6%10.2%-1.4%1.6K805.5K-10.3K1.0331.23N/AN/A79814,5372,731
2010-07-13$12.60$12.5061.5%15.3%51.4%46.2%50.9%9.7%-1.3%2.9K320.2K-11.4K0.0825.73N/AN/A144114,5062,811
2010-07-14$12.60$12.5054.3%15.5%49.9%39.6%53.5%9.1%-1.1%-96305.9K-11.4K0.1527.72N/AN/A72114,5432,819
2010-07-15$12.47$12.5055.2%15.8%49.9%40.8%43.5%10.8%-1.9%-11.7K450.7K-11.3K0.8435.93N/AN/A101854,5592,819
2010-07-16$12.07$12.5054.0%15.5%50.6%39.2%49.9%9.2%0.9%-1.6K998.5K-10.2K2.2030.90N/AN/A30664,5772,869
2010-07-19$12.29$12.5051.7%14.8%51.5%36.2%51.7%7.0%-1.6%10.2K478.6K-9.9K0.0130.24N/AN/A33134,0192,403
2010-07-20$12.87$12.5050.6%14.5%54.8%34.8%50.5%10.7%0.5%23.7K-165.2K-11.4K0.0438.95N/AN/A718284,2732,406
2010-07-21$12.69$12.5053.4%15.3%52.5%38.4%52.0%6.9%-1.5%26.6K-271.2K-12.3K0.0132.92N/AN/A16224,5652,416
2010-07-22$13.43$12.5053.2%15.3%56.7%38.2%54.0%5.6%-3.1%37.3K-952.5K-13.3K0.0321.46N/AN/A723194,6792,416
2010-07-23$13.75$12.5057.8%16.6%57.0%44.2%52.3%13.1%-5.6%63.9K-2.0M-14.5K1.2127.26N/AN/A43525,3662,397
2010-07-26$14.00$12.5045.4%13.0%57.0%27.9%47.8%12.4%0.5%66.0K-2.3M-14.5K0.1721.00N/AN/A124215,3902,412
2010-07-27$13.96$12.5046.8%13.4%55.2%29.7%56.7%11.9%-0.8%66.5K-2.3M-14.6K1.5727.85N/AN/A30475,4652,418
2010-07-28$14.04$12.5045.6%13.1%49.9%28.2%53.8%14.0%-0.5%66.8K-2.4M-14.5K1.0418.43N/AN/A48505,4952,465
2010-07-29$14.02$12.5048.9%14.0%50.0%32.5%52.8%9.9%0.8%66.8K-2.4M-14.7K0.7822.15N/AN/A80625,5122,469
2010-07-30$14.07$12.5046.4%13.3%50.0%29.3%53.1%8.6%0.8%68.0K-2.5M-14.4K12.8623.64N/AN/A7905,5572,531