CBL Options History — October 2010

In October 2010, CBL traded between $13.15 and $16.18. ATM implied volatility averaged 39.3%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 7.6% (HV 20d: 31.7%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2010-10-22: Highest Volume — 1,311 contracts
  • 2010-10-14: Largest IV spike — 67.1% change
  • 2010-10-29: Highest IV Rank — 41.9%
  • 2010-10-29: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.69$13.15$16.18$13.15$15.68
Max Pain$13.33$12.50$15.00$12.50$15.00
ATM IV39.3%25.6%49.1%39.9%49.1%
Expected Move12.8%11.3%14.1%11.4%14.1%
HV 20d31.7%20.9%36.4%35.8%23.7%
HV 60d37.1%34.1%39.8%39.8%34.1%
IV Rank25.3%2.3%41.9%26.4%41.9%
IV Percentile21.2%0.4%55.6%12.3%55.6%
Term Structure-1.8%-8.4%8.9%8.9%-8.4%
VWIV42.7%37.3%48.3%40.6%47.3%
Skew 25d10.8%4.2%19.3%12.5%19.3%
Skew 10d15.5%3.6%27.7%25.7%18.6%
Call IV 25d35.3%27.0%40.4%28.0%27.0%
Put IV 25d46.1%40.5%48.5%40.5%46.2%
Bid-Ask Spread %26.6014.0243.2528.8814.02
Gamma HHI0.570.450.690.450.58
Net GEX89.1K60.0K146.9K61.8K140.4K
Net DEX-3.8M-6.9M-1.6M-1.6M-5.9M
Net VEX-13.7K-18.2K-12.1K-12.4K-17.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0011.920.004.77
Total Volume291.048181,31124127
Total OI6,972.5245,8989,5315,8989,528

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$13.15$12.5039.9%11.4%35.8%26.4%0.0%12.5%8.9%61.8K-1.6M-12.4K0.0028.88N/AN/A2404,2491,649
2010-10-04$13.39$12.5033.9%13.7%36.3%16.3%40.6%4.2%-3.7%65.2K-1.8M-12.1K0.0616.51N/AN/A10364,2731,649
2010-10-05$13.55$12.5028.2%13.2%35.6%6.8%40.6%7.1%0.3%60.0K-2.1M-12.4K0.0317.28N/AN/A11634,3421,644
2010-10-06$13.45$12.5028.1%13.8%35.8%6.5%0.0%6.2%-2.2%63.5K-2.0M-12.4K0.0023.36N/AN/A1804,4191,641
2010-10-07$13.60$12.5029.9%13.7%35.8%9.7%43.6%9.1%-1.2%62.3K-2.2M-12.4K0.0022.40N/AN/A3104,4371,641
2010-10-08$13.57$12.5038.7%14.0%35.6%24.3%38.9%8.7%-2.9%65.4K-2.2M-12.3K0.0622.49N/AN/A11274,4611,641
2010-10-11$13.66$12.5037.7%13.8%34.4%22.6%0.0%7.6%-1.5%64.3K-2.3M-12.3K0.0025.47N/AN/A3604,5681,648
2010-10-12$13.99$12.5031.1%11.3%35.3%11.7%47.3%11.3%-0.4%68.4K-2.7M-12.2K0.0725.34N/AN/A364264,6031,648
2010-10-13$14.39$12.5025.6%11.8%36.3%2.3%41.2%11.5%0.5%71.9K-3.1M-12.8K0.1943.25N/AN/A269524,6601,668
2010-10-14$14.44$12.5042.7%12.3%36.1%31.1%42.7%11.9%-2.8%81.0K-3.3M-13.3K0.5020.11N/AN/A22114,8951,707
2010-10-15$14.68$12.5040.7%11.7%36.4%27.7%40.7%12.5%-0.6%81.3K-3.6M-13.2K2.9125.12N/AN/A11324,9011,716
2010-10-18$15.06$12.5039.4%11.3%35.7%25.5%39.4%14.2%0.9%93.7K-3.8M-12.5K0.4328.10N/AN/A46204,6991,624
2010-10-19$14.97$12.5039.5%11.3%33.7%25.7%39.5%14.2%-0.3%94.4K-3.8M-12.7K0.5229.35N/AN/A137714,7451,604
2010-10-20$15.60$12.5043.1%12.4%34.4%31.7%43.2%10.4%-2.5%94.3K-4.7M-12.2K0.7138.46N/AN/A6294474,8381,659
2010-10-21$15.60$15.0042.4%12.1%29.6%30.5%42.7%10.8%-1.2%79.7K-4.3M-13.6K0.3438.13N/AN/A44154,8692,010
2010-10-22$15.79$15.0044.9%12.9%25.6%34.8%45.5%12.2%-4.4%81.0K-4.5M-13.2K0.0240.56N/AN/A1,291204,8842,020
2010-10-25$16.10$15.0047.2%13.5%23.7%38.6%46.9%11.5%-4.2%120.3K-6.2M-14.6K0.1823.94N/AN/A1,0651885,9192,000
2010-10-26$16.18$15.0048.2%13.8%20.9%40.3%48.3%13.3%-5.2%146.9K-6.9M-17.1K11.9222.26N/AN/A526206,7952,140
2010-10-27$15.92$15.0047.7%13.7%21.9%39.5%0.0%7.9%-3.7%135.8K-6.4M-18.2K0.0024.52N/AN/A5106,7792,719
2010-10-28$15.68$15.0046.9%13.4%23.5%38.1%37.3%10.2%-2.8%139.5K-5.9M-18.2K0.0229.14N/AN/A4516,8122,719
2010-10-29$15.68$15.0049.1%14.1%23.7%41.9%47.3%19.3%-8.4%140.4K-5.9M-17.8K4.7714.02N/AN/A221056,8092,719