CBL Options History — November 2010

In November 2010, CBL traded between $15.86 and $18.47. ATM implied volatility averaged 40.5%, placing in the 30.0% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 0.3% (HV 20d: 40.2%). 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 11 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2010-11-02: Highest Volume — 705 contracts
2010-11-02: Largest IV drop — 23.3% change
2010-11-01: Highest IV Rank — 42.5%
2010-11-01: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.92	$15.86	$18.47	$16.09	$16.50
Max Pain	$12.98	$12.50	$15.00	$15.00	$12.50
ATM IV	40.5%	36.2%	49.5%	49.5%	39.9%
Expected Move	11.5%	10.6%	14.2%	14.2%	11.4%
HV 20d	40.2%	24.2%	48.0%	24.2%	46.8%
HV 60d	36.4%	33.9%	38.3%	34.4%	36.8%
IV Rank	30.0%	22.3%	42.5%	42.5%	29.3%
IV Percentile	20.4%	4.8%	57.1%	57.1%	20.6%
Term Structure	0.0%	-5.6%	3.4%	-5.4%	-1.8%
VWIV	40.6%	33.0%	54.5%	38.3%	40.5%
Skew 25d	10.3%	-2.8%	39.9%	10.6%	4.7%
Skew 10d	19.8%	-4.2%	84.9%	47.0%	13.9%
Call IV 25d	34.0%	25.0%	40.6%	39.7%	40.6%
Put IV 25d	44.3%	35.0%	66.5%	50.3%	45.3%
Bid-Ask Spread %	33.14	18.10	85.44	35.42	23.83
Gamma HHI	0.45	0.39	0.54	0.54	0.42
Net GEX	110.0K	84.5K	142.0K	140.4K	95.1K
Net DEX	-8.1M	-11.5M	-5.0M	-6.7M	-5.4M
Net VEX	-12.7K	-16.6K	-10.7K	-16.4K	-11.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.01	2.43	0.04	1.54
Total Volume	204.619	16	705	570	33
Total OI	9,599.381	7,568	10,633	9,649	7,786

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-11-01	$16.09	$15.00	49.5%	14.2%	24.2%	42.5%	38.3%	10.6%	-5.4%	140.4K	-6.7M	-16.4K	0.04	35.42	N/A	N/A	550	20	6,825	2,824
2010-11-02	$16.48	$15.00	38.0%	10.9%	24.8%	23.2%	54.5%	15.5%	2.5%	142.0K	-8.2M	-16.6K	0.01	30.70	N/A	N/A	700	5	7,375	2,844
2010-11-03	$17.28	$15.00	37.7%	10.8%	27.2%	22.9%	37.5%	-2.8%	-1.5%	125.4K	-9.7M	-13.4K	0.35	43.59	N/A	N/A	361	125	7,163	2,849
2010-11-04	$18.12	$15.00	42.5%	12.2%	29.9%	34.1%	42.6%	39.9%	-5.6%	106.3K	-11.1M	-10.9K	0.08	32.62	N/A	N/A	340	28	7,262	2,907
2010-11-05	$18.47	$12.50	36.2%	10.6%	29.3%	22.3%	33.0%	6.7%	2.3%	97.9K	-11.5M	-10.7K	0.62	40.87	N/A	N/A	117	73	7,192	2,927
2010-11-08	$18.37	$12.50	40.5%	11.3%	30.1%	30.3%	38.4%	8.3%	1.5%	96.3K	-11.3M	-11.0K	0.45	28.31	N/A	N/A	141	63	7,263	2,970
2010-11-09	$17.17	$12.50	42.0%	10.8%	41.7%	33.2%	41.1%	15.7%	2.9%	134.0K	-9.5M	-13.5K	0.70	31.48	N/A	N/A	236	165	7,360	3,018
2010-11-10	$17.50	$12.50	43.1%	11.0%	41.3%	35.2%	0.0%	18.2%	3.1%	115.5K	-10.1M	-12.1K	1.07	19.41	N/A	N/A	27	29	7,421	3,122
2010-11-11	$17.33	$12.50	41.6%	11.9%	41.8%	32.5%	41.7%	17.4%	-1.1%	120.1K	-9.7M	-13.2K	0.49	18.86	N/A	N/A	82	40	7,424	3,145
2010-11-12	$16.95	$12.50	40.1%	11.5%	43.2%	29.6%	40.1%	15.3%	1.1%	128.6K	-9.2M	-13.8K	0.33	18.26	N/A	N/A	46	15	7,442	3,128
2010-11-15	$16.76	$12.50	39.9%	11.4%	43.1%	29.2%	0.0%	17.3%	1.8%	125.3K	-9.0M	-13.2K	0.45	46.48	N/A	N/A	11	5	7,437	3,133
2010-11-16	$15.86	$12.50	44.9%	12.9%	48.0%	38.6%	42.9%	1.8%	-0.4%	127.4K	-7.2M	-13.7K	0.42	20.54	N/A	N/A	122	51	7,447	3,138
2010-11-17	$16.08	$12.50	45.9%	13.2%	46.1%	40.4%	45.7%	4.2%	-2.4%	104.7K	-7.7M	-13.3K	1.12	20.55	N/A	N/A	34	38	7,477	3,144
2010-11-18	$16.42	$12.50	37.8%	10.8%	46.6%	25.3%	39.3%	10.6%	2.4%	105.1K	-8.2M	-13.2K	0.96	18.10	N/A	N/A	25	24	7,467	3,160
2010-11-19	$16.53	$12.50	38.3%	11.0%	46.5%	26.3%	46.5%	8.3%	3.4%	84.5K	-8.4M	-13.0K	0.04	22.96	N/A	N/A	293	11	7,454	3,179
2010-11-22	$16.53	$12.50	38.9%	11.1%	46.0%	27.3%	37.4%	2.9%	1.1%	90.9K	-5.4M	-11.4K	2.43	85.44	N/A	N/A	35	85	5,195	2,373
2010-11-23	$16.29	$12.50	38.2%	10.9%	46.4%	26.0%	39.3%	1.8%	-0.7%	89.7K	-5.0M	-12.0K	0.42	22.08	N/A	N/A	52	22	5,199	2,422
2010-11-24	$16.87	$12.50	37.9%	10.9%	47.5%	25.4%	37.8%	3.4%	-1.0%	91.9K	-5.7M	-11.4K	0.05	42.80	N/A	N/A	149	7	5,188	2,444
2010-11-26	$16.89	$12.50	38.7%	11.1%	47.0%	27.0%	36.3%	8.5%	-2.2%	93.9K	-5.9M	-10.8K	0.04	63.67	N/A	N/A	76	3	5,284	2,450
2010-11-29	$16.74	$12.50	39.5%	11.3%	47.2%	28.5%	38.7%	8.8%	0.6%	94.6K	-5.7M	-11.4K	0.76	30.00	N/A	N/A	33	25	5,296	2,453
2010-11-30	$16.50	$12.50	39.9%	11.4%	46.8%	29.3%	40.5%	4.7%	-1.8%	95.1K	-5.4M	-11.1K	1.54	23.83	N/A	N/A	13	20	5,314	2,472