CBL Options History — August 2010

In August 2010, CBL traded between $11.90 and $14.66. ATM implied volatility averaged 48.2%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 6.3% (HV 20d: 41.9%). 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 19 of 22 days. Put/call ratio averaged 1.04.

Notable Days

  • 2010-08-23: Highest Volume — 773 contracts
  • 2010-08-10: Largest IV spike — 33.1% change
  • 2010-08-05: Highest IV Rank — 47.3%
  • 2010-08-10: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.81$11.90$14.66$14.66$12.20
Max Pain$13.41$12.50$15.00$12.50$12.50
ATM IV48.2%38.6%52.9%44.3%46.7%
Expected Move14.0%11.7%15.2%12.7%13.4%
HV 20d41.9%37.0%46.2%45.8%38.2%
HV 60d53.5%45.3%59.0%59.0%45.3%
IV Rank39.3%23.8%47.3%26.5%37.7%
IV Percentile34.9%6.0%48.8%20.6%31.7%
Term Structure2.2%-3.3%4.8%2.4%4.4%
VWIV48.0%37.7%53.1%44.7%47.9%
Skew 25d10.2%-1.7%23.4%20.4%-1.2%
Skew 10d17.3%-5.0%37.6%32.4%-0.1%
Call IV 25d42.2%33.9%54.3%37.6%42.0%
Put IV 25d52.4%40.8%59.9%58.0%40.8%
Bid-Ask Spread %21.008.7930.8820.9813.93
Gamma HHI0.490.340.670.340.56
Net GEX63.4K17.8K103.8K71.9K51.0K
Net DEX-702.1K-3.3M679.7K-3.3M-218.8K
Net VEX-11.7K-14.6K-9.8K-13.9K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.009.260.380.00
Total Volume219.3641077339110
Total OI8,677.6367,5129,5668,1628,207

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$14.66$12.5044.3%12.7%45.8%26.5%44.7%20.4%2.4%71.9K-3.3M-13.9K0.3820.98N/AN/A2841075,5622,600
2010-08-03$14.38$12.5050.8%14.6%41.5%35.0%50.6%13.8%-3.3%74.5K-3.0M-14.6K1.3730.88N/AN/A2112895,7932,672
2010-08-04$13.94$12.5043.8%12.5%41.1%32.2%45.0%8.2%-1.6%74.6K-2.2M-14.3K1.1729.38N/AN/A1952295,9292,891
2010-08-05$13.40$12.5052.9%15.2%44.2%47.3%53.1%5.6%0.2%66.7K-1.6M-14.5K0.4025.42N/AN/A115466,0533,021
2010-08-06$13.42$15.0039.3%14.3%44.0%24.9%43.4%9.8%2.3%67.8K-1.4M-13.8K1.5623.69N/AN/A901406,0063,008
2010-08-09$13.77$15.0038.6%11.7%43.8%23.8%50.3%10.4%4.6%72.0K-1.8M-13.4K0.2213.86N/AN/A2765,9592,959
2010-08-10$13.41$15.0051.4%15.2%42.7%44.8%53.1%5.0%-1.0%68.4K-1.4M-13.1K1.0016.58N/AN/A23235,9592,932
2010-08-11$13.06$15.0052.7%14.8%43.9%46.9%51.9%10.7%2.0%65.2K-794.0K-12.2K0.0025.78N/AN/A4705,9562,922
2010-08-12$12.55$15.0050.3%14.4%46.2%43.8%44.5%9.0%2.3%59.4K-120.5K-11.2K0.8726.86N/AN/A23205,9702,922
2010-08-13$12.28$15.0050.6%14.5%45.3%44.2%0.0%19.1%2.0%60.1K208.9K-10.7K0.0024.30N/AN/A3405,9802,932
2010-08-16$12.38$15.0050.1%14.4%45.0%43.4%50.6%20.6%3.6%67.3K200.8K-10.2K0.0221.30N/AN/A30765,9802,932
2010-08-17$12.74$15.0049.6%14.2%43.0%42.7%49.0%-1.7%4.4%87.2K-618.4K-11.1K0.0918.69N/AN/A7776,2222,938
2010-08-18$12.62$12.5047.7%13.7%42.8%39.5%37.7%21.1%4.8%103.8K-399.7K-10.7K1.3819.83N/AN/A8116,2422,938
2010-08-19$12.11$12.5052.1%14.9%39.5%46.8%52.8%4.1%2.2%79.0K533.1K-9.8K0.2726.33N/AN/A5471496,2362,941
2010-08-20$12.06$12.5049.7%14.2%38.1%42.8%49.6%5.5%4.8%73.3K679.7K-10.3K0.8823.37N/AN/A68606,4953,071
2010-08-23$12.03$12.5047.7%13.7%37.0%39.5%47.6%16.8%2.5%17.8K402.9K-9.9K0.0420.82N/AN/A743305,0432,469
2010-08-24$11.90$12.5049.4%14.2%37.0%42.3%43.0%15.8%2.7%39.2K247.5K-10.4K9.2621.13N/AN/A504635,7022,499
2010-08-25$12.39$12.5048.6%13.9%40.5%40.9%48.5%23.4%1.8%45.7K111.2K-11.1K0.0123.85N/AN/A16215,7752,742
2010-08-26$12.07$12.5050.2%14.4%41.1%43.6%50.2%1.7%2.2%47.3K-318.4K-10.8K1.1913.46N/AN/A27325,8022,306
2010-08-27$12.32$12.5045.9%13.2%42.1%36.4%45.9%5.9%3.2%51.5K-398.0K-10.8K2.358.79N/AN/A431015,8152,324
2010-08-30$12.18$12.5047.9%13.7%38.2%39.8%47.9%-0.4%2.7%50.5K-290.3K-10.4K0.3612.75N/AN/A1145,8322,371
2010-08-31$12.20$12.5046.7%13.4%38.2%37.7%0.0%-1.2%4.4%51.0K-218.8K-10.3K0.0013.93N/AN/A1005,8322,375