CBL Options History — February 2011

In February 2011, CBL traded between $17.08 and $18.50. ATM implied volatility averaged 34.8%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.2% (HV 20d: 26.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.25.

Notable Days

2011-02-07: Highest Volume — 789 contracts
2011-02-09: Largest IV drop — 37.3% change
2011-02-03: Highest IV Rank — 38.4%
2011-02-03: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.86	$17.08	$18.50	$17.25	$17.85
Max Pain	$15.39	$15.00	$17.50	$17.50	$15.00
ATM IV	34.8%	25.9%	44.8%	44.4%	30.7%
Expected Move	9.8%	8.5%	12.8%	12.7%	8.8%
HV 20d	26.7%	23.3%	29.6%	29.6%	24.8%
HV 60d	27.9%	25.5%	31.9%	31.9%	26.3%
IV Rank	19.8%	3.3%	38.4%	37.6%	12.1%
IV Percentile	18.2%	0.8%	55.2%	52.8%	4.4%
Term Structure	0.4%	-8.8%	4.4%	-7.9%	4.1%
VWIV	35.4%	29.2%	46.5%	44.4%	32.3%
Skew 25d	6.6%	-9.1%	25.8%	-2.6%	25.8%
Skew 10d	11.2%	-14.4%	58.9%	-1.8%	58.9%
Call IV 25d	28.2%	17.3%	38.4%	37.0%	35.7%
Put IV 25d	34.8%	28.5%	61.5%	34.4%	61.5%
Bid-Ask Spread %	29.75	13.95	84.27	24.61	22.10
Gamma HHI	0.63	0.53	0.76	0.61	0.66
Net GEX	174.5K	118.5K	296.5K	118.5K	155.0K
Net DEX	-4.6M	-6.6M	-2.8M	-3.0M	-3.8M
Net VEX	-9.4K	-10.5K	-8.3K	-9.8K	-8.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	14.50	0.27	0.00
Total Volume	130.105	12	789	33	12
Total OI	6,009.263	5,359	6,813	5,359	5,591

Daily Data (19 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
2011-02-01	$17.25	$17.50	44.4%	12.7%	29.6%	37.6%	44.4%	-2.6%	-7.9%	118.5K	-3.0M	-9.8K	0.27	24.61	N/A	N/A	26	7	4,027	1,332
2011-02-02	$17.28	$17.50	43.0%	12.3%	27.9%	35.1%	43.0%	-0.3%	-5.5%	122.8K	-3.1M	-10.3K	0.33	20.51	N/A	N/A	30	10	4,053	1,325
2011-02-03	$17.12	$17.50	44.8%	12.8%	25.0%	38.4%	44.8%	-2.7%	-8.8%	124.1K	-3.0M	-10.1K	0.48	22.92	N/A	N/A	42	20	4,083	1,335
2011-02-04	$17.08	$15.00	44.5%	10.8%	23.3%	37.9%	46.5%	11.7%	0.3%	121.5K	-2.8M	-10.0K	0.00	44.04	N/A	N/A	18	0	4,113	1,355
2011-02-07	$17.74	$15.00	40.6%	10.7%	26.5%	30.5%	35.9%	4.3%	1.3%	144.7K	-3.7M	-9.4K	0.04	30.69	N/A	N/A	756	33	4,121	1,355
2011-02-08	$17.94	$15.00	41.3%	10.2%	26.7%	31.9%	35.5%	5.2%	0.0%	210.0K	-4.8M	-10.5K	0.63	34.88	N/A	N/A	163	103	4,820	1,380
2011-02-09	$18.10	$15.00	25.9%	9.0%	26.0%	3.3%	29.2%	8.5%	2.2%	296.5K	-5.4M	-9.6K	0.40	43.96	N/A	N/A	205	82	4,951	1,467
2011-02-10	$17.99	$15.00	30.9%	8.9%	26.2%	12.5%	30.9%	9.1%	2.0%	257.4K	-5.3M	-10.5K	0.75	15.57	N/A	N/A	88	66	5,076	1,453
2011-02-11	$18.41	$15.00	29.8%	8.5%	27.1%	10.5%	29.8%	12.2%	4.4%	194.1K	-6.4M	-9.2K	0.61	84.27	N/A	N/A	88	54	5,109	1,501
2011-02-14	$18.26	$15.00	31.5%	9.0%	27.1%	13.5%	31.5%	1.4%	2.2%	205.5K	-6.1M	-9.3K	0.02	30.06	N/A	N/A	66	1	5,106	1,553
2011-02-15	$18.08	$15.00	32.3%	9.3%	27.4%	15.1%	32.3%	9.1%	1.4%	256.8K	-5.7M	-9.7K	4.00	13.95	N/A	N/A	5	20	5,144	1,554
2011-02-16	$18.24	$15.00	29.8%	8.5%	26.1%	10.5%	30.5%	14.3%	2.9%	192.9K	-6.2M	-9.2K	14.50	18.41	N/A	N/A	2	29	5,145	1,574
2011-02-17	$18.42	$15.00	29.7%	8.5%	25.1%	10.3%	29.7%	16.2%	4.0%	189.8K	-6.4M	-8.7K	0.91	19.05	N/A	N/A	67	61	5,144	1,570
2011-02-18	$18.50	$15.00	30.8%	8.8%	25.1%	12.4%	31.0%	3.1%	2.3%	159.0K	-6.6M	-9.0K	0.04	35.01	N/A	N/A	49	2	5,182	1,631
2011-02-22	$18.36	$15.00	32.2%	9.2%	25.5%	15.0%	31.6%	12.7%	1.3%	145.6K	-4.4M	-8.9K	0.11	21.15	N/A	N/A	125	14	4,076	1,425
2011-02-23	$17.75	$15.00	34.5%	9.9%	28.8%	19.1%	44.5%	6.2%	-0.6%	138.9K	-3.7M	-9.0K	0.00	22.43	N/A	N/A	30	0	4,088	1,419
2011-02-24	$17.44	$15.00	32.7%	9.4%	29.6%	15.9%	33.4%	0.4%	1.1%	138.3K	-3.2M	-8.7K	0.66	32.57	N/A	N/A	110	73	4,108	1,419
2011-02-25	$17.57	$15.00	31.9%	9.2%	28.6%	14.5%	32.3%	-9.1%	1.1%	143.2K	-3.4M	-8.8K	0.00	28.98	N/A	N/A	15	0	4,141	1,450
2011-02-28	$17.85	$15.00	30.7%	8.8%	24.8%	12.1%	0.0%	25.8%	4.1%	155.0K	-3.8M	-8.3K	0.00	22.10	N/A	N/A	12	0	4,141	1,450