CBL Options History — January 2011

In January 2011, CBL traded between $16.80 and $18.05. ATM implied volatility averaged 38.4%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 11.2% (HV 20d: 27.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.61.

Notable Days

  • 2011-01-25: Highest Volume — 241 contracts
  • 2011-01-13: Largest IV spike — 23.5% change
  • 2011-01-31: Highest IV Rank — 36.8%
  • 2011-01-31: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.24$16.80$18.05$17.96$17.06
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV38.4%32.6%43.9%33.8%43.9%
Expected Move11.4%9.6%12.6%9.7%12.6%
HV 20d27.2%24.0%30.9%24.0%30.9%
HV 60d34.4%33.3%35.3%33.8%33.3%
IV Rank26.5%15.6%36.8%17.8%36.8%
IV Percentile25.0%4.0%50.8%5.6%50.8%
Term Structure-2.0%-7.3%7.1%5.3%-7.3%
VWIV39.5%28.7%50.7%33.7%43.9%
Skew 25d8.5%-4.8%16.0%8.5%-4.8%
Skew 10d13.3%-3.8%29.9%10.6%-3.8%
Call IV 25d31.9%23.4%39.4%24.1%37.1%
Put IV 25d40.5%30.9%47.6%32.6%32.4%
Bid-Ask Spread %37.3617.4159.7817.4121.70
Gamma HHI0.510.480.580.480.57
Net GEX106.4K97.8K124.2K101.9K107.9K
Net DEX-3.0M-3.8M-2.4M-3.7M-2.8M
Net VEX-11.0K-11.9K-9.8K-11.7K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.610.0020.500.240.21
Total Volume74.8924152133
Total OI5,014.34,6135,2314,6135,229

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$17.96$17.5033.8%9.7%24.0%17.8%33.7%8.5%5.3%101.9K-3.7M-11.7K0.2417.41N/AN/A42103,658955
2011-01-04$17.46$17.5034.7%9.9%26.2%19.5%34.5%2.1%4.5%101.5K-3.2M-11.5K1.8824.19N/AN/A25473,693965
2011-01-05$18.05$17.5033.6%9.6%28.5%17.5%31.0%12.1%7.1%107.1K-3.8M-11.2K0.0521.14N/AN/A199103,7151,012
2011-01-06$17.56$17.5036.4%10.4%29.0%22.7%28.7%2.5%2.3%106.2K-3.5M-11.8K2.0022.91N/AN/A21423,8451,022
2011-01-07$17.30$17.5035.1%11.8%29.4%20.4%41.3%4.9%-4.5%103.5K-3.1M-11.6K0.0042.73N/AN/A0873,8291,044
2011-01-10$17.32$17.5035.1%11.8%28.6%20.3%0.0%2.6%-3.5%101.9K-3.0M-11.7K0.0035.51N/AN/A3203,8291,128
2011-01-11$17.04$17.5034.9%11.9%29.1%19.9%41.5%2.7%-2.9%97.8K-2.8M-11.6K20.5040.83N/AN/A2413,8471,128
2011-01-12$17.11$17.5032.6%11.3%27.1%15.6%39.7%16.0%-1.6%99.6K-2.7M-11.8K0.0029.85N/AN/A11103,8491,169
2011-01-13$17.12$17.5040.3%11.5%25.8%29.9%40.3%14.4%-2.1%106.6K-2.9M-11.9K0.5635.13N/AN/A18103,9501,169
2011-01-14$17.37$17.5039.8%11.4%26.2%29.1%0.0%15.4%-2.0%112.7K-3.1M-11.5K0.0053.23N/AN/A1303,9501,179
2011-01-18$17.48$17.5040.1%11.5%26.1%29.5%40.1%13.2%-2.8%124.2K-3.1M-11.0K0.0041.02N/AN/A2503,9621,179
2011-01-19$17.10$17.5043.3%12.4%26.3%35.5%43.3%10.2%-5.1%113.4K-2.7M-11.1K0.0338.57N/AN/A3313,9771,179
2011-01-20$16.83$17.5043.0%12.3%26.2%35.1%42.9%9.0%-5.2%100.3K-2.4M-10.7K0.0032.34N/AN/A903,9611,178
2011-01-21$16.87$17.5039.5%11.3%25.9%28.6%39.7%11.2%-2.0%102.9K-2.4M-10.7K1.2226.64N/AN/A41503,9701,178
2011-01-24$16.90$17.5040.6%11.6%25.8%30.6%41.0%12.1%-3.7%102.9K-2.6M-10.2K0.0057.38N/AN/A13203,8271,065
2011-01-25$16.95$17.5040.4%11.6%25.7%30.2%40.4%10.8%-3.3%112.6K-2.6M-9.8K15.0758.06N/AN/A152263,9111,065
2011-01-26$17.09$17.5041.8%12.0%25.9%32.8%0.0%11.9%-5.0%106.1K-2.7M-10.2K0.8343.86N/AN/A30253,9261,291
2011-01-27$17.48$17.5038.5%11.0%27.2%26.6%38.3%5.2%-1.0%114.4K-3.3M-10.7K0.0044.99N/AN/A5003,9261,305
2011-01-28$16.80$17.5041.0%11.8%30.5%31.4%50.7%10.1%-7.3%105.4K-2.6M-10.1K7.0059.78N/AN/A2143,9161,305
2011-01-31$17.06$17.5043.9%12.6%30.9%36.8%43.9%-4.8%-7.3%107.9K-2.8M-10.2K0.2121.70N/AN/A110233,9181,311