CBL Options History — December 2010

In December 2010, CBL traded between $16.80 and $17.83. ATM implied volatility averaged 35.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 3.5% (HV 20d: 31.5%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2010-12-27: Highest Volume — 6,602 contracts
  • 2010-12-13: Largest IV spike — 31.4% change
  • 2010-12-01: Highest IV Rank — 30.3%
  • 2010-12-01: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.45$16.80$17.83$16.92$17.50
Max Pain$16.82$12.50$17.50$12.50$17.50
ATM IV35.1%30.7%40.5%40.5%31.9%
Expected Move10.1%9.2%11.6%11.6%9.2%
HV 20d31.5%22.5%46.9%46.9%22.5%
HV 60d35.5%33.4%37.2%36.7%33.5%
IV Rank20.2%12.1%30.3%30.3%14.4%
IV Percentile7.8%2.4%26.6%24.2%3.2%
Term Structure3.7%-2.6%7.3%-2.6%7.3%
VWIV35.5%31.9%47.1%40.0%31.9%
Skew 25d5.4%-4.7%12.8%-4.7%3.3%
Skew 10d8.7%-1.4%16.2%-1.4%4.4%
Call IV 25d30.7%25.7%36.0%36.0%25.9%
Put IV 25d36.1%29.2%43.5%31.3%29.2%
Bid-Ask Spread %58.0915.90121.9117.7917.00
Gamma HHI0.590.440.710.440.58
Net GEX84.7K50.6K115.6K96.3K76.4K
Net DEX-5.1M-7.3M-2.9M-5.9M-3.0M
Net VEX-10.0K-11.0K-8.9K-11.0K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.002.780.220.00
Total Volume414.22706,602113529
Total OI6,412.9553,8368,2167,8164,094

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$16.92$12.5040.5%11.6%46.9%30.3%40.0%-4.7%-2.6%96.3K-5.9M-11.0K0.2217.79N/AN/A93205,3242,492
2010-12-02$17.32$12.5039.3%11.3%44.5%28.2%37.3%1.3%-1.1%95.8K-6.5M-10.4K1.4015.90N/AN/A60845,3462,501
2010-12-03$17.49$12.5033.8%9.7%41.0%17.9%33.8%4.3%3.5%92.6K-6.7M-10.4K0.1518.22N/AN/A143225,3712,582
2010-12-06$17.51$17.5035.0%10.8%40.3%20.2%0.0%5.7%1.8%102.3K-6.8M-10.2K0.0734.27N/AN/A4635,4442,581
2010-12-07$17.72$17.5037.0%10.9%40.6%23.8%0.0%6.2%0.7%101.2K-7.1M-9.9K0.1634.29N/AN/A62105,4372,581
2010-12-08$17.31$17.5038.4%11.2%33.5%26.4%0.0%6.6%-0.1%104.3K-6.6M-10.0K0.0540.37N/AN/A5735,4442,571
2010-12-09$17.46$17.5033.8%10.3%33.0%17.9%35.9%5.1%2.7%109.7K-6.8M-10.0K0.0135.46N/AN/A7515,4562,574
2010-12-10$17.77$17.5030.7%10.0%33.3%12.1%0.0%5.7%3.7%114.5K-7.3M-9.7K0.7138.97N/AN/A49355,4502,575
2010-12-13$17.71$17.5040.3%10.6%32.2%30.0%37.2%5.0%1.9%115.6K-7.2M-9.8K0.4144.75N/AN/A99415,4672,610
2010-12-14$17.18$17.5038.6%10.2%34.0%26.9%35.5%7.8%2.7%111.8K-6.3M-9.0K2.7884.74N/AN/A551535,4072,640
2010-12-15$16.80$17.5034.9%10.0%28.3%19.9%0.0%12.8%2.7%75.8K-5.5M-9.6K0.0054.34N/AN/A1505,4052,789
2010-12-16$16.88$17.5036.3%10.4%28.0%22.6%47.1%9.0%2.4%83.5K-5.6M-8.9K0.6365.48N/AN/A16105,4172,789
2010-12-17$17.07$17.5033.8%9.7%27.3%17.9%33.7%10.6%4.1%51.4K-5.6M-9.5K0.5250.58N/AN/A150785,4272,789
2010-12-20$17.41$17.5032.8%9.4%28.0%16.0%32.7%10.2%6.0%50.6K-2.9M-9.3K0.0181.12N/AN/A26432,923913
2010-12-21$17.66$17.5032.4%9.3%28.3%15.4%34.5%2.9%6.5%62.2K-3.4M-9.9K0.1995.99N/AN/A59113,172916
2010-12-22$17.83$17.5033.4%9.6%27.5%17.1%33.6%5.8%6.8%63.1K-3.6M-9.9K0.00121.91N/AN/A6103,203914
2010-12-23$17.64$17.5033.0%9.5%25.5%16.4%33.7%3.2%6.1%65.3K-3.5M-10.1K0.08114.36N/AN/A9173,234914
2010-12-27$17.73$17.5034.1%9.8%25.6%18.5%34.1%2.7%6.6%66.8K-3.5M-10.1K0.00112.50N/AN/A6,587153,296921
2010-12-28$17.60$17.5033.3%9.6%25.5%17.0%33.3%3.2%6.3%72.3K-3.1M-10.5K0.0096.63N/AN/A4603,052936
2010-12-29$17.66$17.5033.9%9.7%24.7%18.1%33.9%4.4%6.2%74.6K-3.1M-10.5K0.5059.03N/AN/A40203,098936
2010-12-30$17.72$17.5034.2%9.8%23.3%18.7%0.0%7.1%6.3%77.2K-3.3M-10.5K0.0044.28N/AN/A003,138956
2010-12-31$17.50$17.5031.9%9.2%22.5%14.4%31.9%3.3%7.3%76.4K-3.0M-10.7K0.0017.00N/AN/A52813,138956