CBL Options History — September 2010

In September 2010, CBL traded between $12.65 and $14.04. ATM implied volatility averaged 43.2%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 7.0% (HV 20d: 36.2%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.13.

Notable Days

  • 2010-09-20: Highest Volume — 1,100 contracts
  • 2010-09-21: Largest IV spike — 48.6% change
  • 2010-09-10: Highest IV Rank — 40.0%
  • 2010-09-07: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.19$12.65$14.04$12.65$13.06
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV43.2%29.6%48.0%43.5%42.6%
Expected Move12.5%8.5%14.0%12.5%12.2%
HV 20d36.2%29.2%40.2%40.2%37.5%
HV 60d43.6%39.9%46.2%45.8%39.9%
IV Rank31.9%9.1%40.0%32.4%30.8%
IV Percentile23.0%0.4%40.1%19.4%19.8%
Term Structure5.2%0.1%19.8%4.7%4.8%
VWIV43.4%37.0%48.8%43.5%42.6%
Skew 25d12.9%-2.8%26.8%8.7%15.2%
Skew 10d18.8%-4.8%49.8%13.5%25.7%
Call IV 25d33.9%24.0%43.4%36.8%29.0%
Put IV 25d46.8%37.5%58.1%45.5%44.1%
Bid-Ask Spread %30.0416.0057.1257.1221.18
Gamma HHI0.500.360.740.560.45
Net GEX61.1K33.1K102.8K60.0K59.3K
Net DEX-1.8M-3.1M-696.6K-696.6K-1.5M
Net VEX-10.5K-12.4K-8.5K-10.6K-12.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0020.000.030.00
Total Volume239.381391,10021265
Total OI7,144.2384,2158,6228,2175,892

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$12.65$12.5043.5%12.5%40.2%32.4%43.5%8.7%4.7%60.0K-696.6K-10.6K0.0357.12N/AN/A20665,8422,375
2010-09-02$13.07$12.5037.1%10.6%40.2%21.7%37.0%8.8%13.6%86.1K-1.5M-10.7K4.6016.00N/AN/A301386,0322,379
2010-09-03$13.10$12.5042.9%13.6%40.2%31.3%47.6%7.6%2.6%74.2K-1.6M-10.7K0.3733.86N/AN/A62236,0432,389
2010-09-07$12.84$12.5045.1%14.0%39.4%35.1%48.8%12.1%1.9%76.1K-1.3M-10.3K0.3438.14N/AN/A29106,0692,392
2010-09-08$12.91$12.5044.0%13.5%38.5%33.2%0.0%-2.8%4.5%83.0K-1.3M-10.1K20.0024.52N/AN/A4806,0852,402
2010-09-09$12.84$12.5046.5%13.3%37.5%37.3%46.4%9.1%4.8%91.2K-1.4M-9.9K0.0017.92N/AN/A4506,0862,209
2010-09-10$13.01$12.5048.0%13.8%34.8%40.0%48.0%12.1%2.2%102.8K-1.8M-9.5K12.5016.43N/AN/A4506,0932,209
2010-09-13$13.38$12.5047.1%13.5%34.8%38.4%47.1%19.3%4.6%44.1K-2.5M-8.5K0.0042.16N/AN/A16506,0912,209
2010-09-14$13.39$12.5046.6%13.3%34.8%37.5%46.5%17.5%4.6%43.9K-2.6M-8.8K0.0442.85N/AN/A240106,2062,209
2010-09-15$13.57$12.5046.9%13.4%33.7%38.1%46.9%22.2%3.1%45.0K-2.9M-9.4K0.0146.84N/AN/A9616,3772,209
2010-09-16$13.48$12.5045.4%13.0%33.6%35.5%38.9%6.9%2.3%46.2K-3.0M-9.1K1.0430.11N/AN/A49516,4442,157
2010-09-17$13.59$12.5045.9%13.2%29.2%36.4%45.8%17.5%0.1%33.1K-3.1M-9.0K0.0145.00N/AN/A41366,4602,162
2010-09-20$14.04$12.5029.6%8.5%30.4%9.1%38.4%11.9%19.8%37.2K-1.8M-9.2K0.1049.75N/AN/A1,001993,0281,187
2010-09-21$13.62$12.5044.0%12.6%33.2%33.2%0.0%12.1%1.1%53.8K-2.0M-11.9K0.0022.70N/AN/A94103,8941,265
2010-09-22$13.31$12.5041.6%11.9%34.3%29.2%41.5%0.7%5.9%56.6K-1.5M-11.5K0.9119.59N/AN/A2942673,8591,265
2010-09-23$12.79$12.5043.3%12.4%35.3%32.0%38.9%10.6%5.3%54.5K-1.2M-11.5K1.9821.57N/AN/A651294,0281,468
2010-09-24$13.44$12.5042.6%12.2%37.5%30.9%42.4%19.6%4.7%59.7K-1.6M-12.1K1.8523.72N/AN/A541004,0881,530
2010-09-27$13.18$12.5041.6%11.9%38.1%29.2%40.7%12.1%5.6%58.5K-1.4M-12.2K0.3820.84N/AN/A66254,1181,619
2010-09-28$12.91$12.5043.3%12.4%38.7%32.1%43.3%23.6%4.8%59.2K-1.3M-12.1K0.4821.21N/AN/A62304,1831,614
2010-09-29$12.79$12.5040.1%11.5%39.0%26.7%40.1%26.8%7.6%59.4K-1.1M-12.0K0.0519.38N/AN/A10654,2181,644
2010-09-30$13.06$12.5042.6%12.2%37.5%30.8%42.6%15.2%4.8%59.3K-1.5M-12.4K0.0021.18N/AN/A6504,2431,649