CBL Options History — March 2011

In March 2011, CBL traded between $16.84 and $18.14. ATM implied volatility averaged 32.2%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 4.7% (HV 20d: 27.4%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.12.

Notable Days

  • 2011-03-25: Highest Volume — 1,730 contracts
  • 2011-03-17: Largest IV drop — 13.6% change
  • 2011-03-16: Highest IV Rank — 28.8%
  • 2011-03-16: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.39$16.84$18.14$17.33$17.42
Max Pain$17.17$15.00$17.50$15.00$17.50
ATM IV32.2%28.0%40.7%32.1%29.0%
Expected Move9.4%8.2%11.7%9.2%8.3%
HV 20d27.4%24.7%30.6%26.9%25.1%
HV 60d26.9%26.3%27.6%26.6%26.5%
IV Rank13.1%5.6%28.8%14.8%6.5%
IV Percentile10.5%1.2%41.3%7.1%2.4%
Term Structure2.1%-2.7%6.8%-1.7%5.0%
VWIV32.5%28.5%40.2%31.6%28.5%
Skew 25d18.2%-3.4%84.7%0.4%82.4%
Skew 10d28.5%-4.5%127.6%1.1%127.6%
Call IV 25d28.1%21.0%34.1%28.7%27.6%
Put IV 25d46.2%27.7%113.7%29.1%110.1%
Bid-Ask Spread %41.9516.6385.0842.5917.97
Gamma HHI0.670.390.960.740.47
Net GEX173.3K59.8K783.2K145.2K101.9K
Net DEX-2.6M-4.4M-1.6M-3.1M-2.0M
Net VEX-8.2K-9.4K-6.7K-8.2K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.006.020.561.13
Total Volume278.56561,7307098
Total OI5,067.2613,1456,0605,6034,129

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$17.33$15.0032.1%9.2%26.9%14.8%31.6%0.4%-1.7%145.2K-3.1M-8.2K0.5642.59N/AN/A45254,1531,450
2011-03-02$17.11$15.0031.6%9.1%27.0%13.8%31.5%-2.6%0.3%139.0K-2.7M-8.0K4.3126.94N/AN/A492114,1761,475
2011-03-03$17.39$15.0030.3%8.7%27.7%11.4%31.0%60.0%2.7%143.5K-3.0M-8.0K0.4266.23N/AN/A48204,1981,597
2011-03-04$17.38$17.5028.0%9.1%27.4%7.0%0.0%9.4%1.9%157.5K-3.0M-7.9K0.0029.23N/AN/A604,2331,568
2011-03-07$17.54$17.5031.5%9.4%27.6%13.6%32.8%13.9%1.2%161.5K-3.3M-7.8K0.5619.32N/AN/A50284,2271,568
2011-03-08$17.84$17.5029.6%9.1%24.7%7.7%31.9%14.1%2.6%173.5K-3.9M-7.8K0.8836.75N/AN/A26234,2631,586
2011-03-09$18.14$17.5030.6%9.8%25.1%9.5%0.0%9.5%1.3%168.8K-4.4M-7.3K0.0046.35N/AN/A8704,2871,597
2011-03-10$17.54$17.5034.2%9.8%27.7%16.4%34.2%11.1%0.0%179.7K-3.4M-7.8K0.0035.93N/AN/A0454,3341,597
2011-03-11$17.64$17.5034.6%9.9%27.7%17.2%0.0%14.1%1.6%210.4K-3.5M-7.8K1.0069.17N/AN/A20204,3341,642
2011-03-14$17.45$17.5035.3%10.1%26.4%18.6%0.0%12.6%0.4%202.9K-3.1M-7.3K0.0929.66N/AN/A6464,3431,662
2011-03-15$17.28$17.5036.7%10.5%26.5%21.2%36.7%11.8%-0.1%222.5K-2.8M-7.3K1.8485.08N/AN/A25464,3551,662
2011-03-16$16.84$17.5040.7%11.7%27.6%28.8%40.2%6.2%-2.7%166.9K-2.2M-6.7K0.0730.72N/AN/A827614,3751,660
2011-03-17$17.34$17.5035.1%10.1%29.7%18.3%0.0%11.6%1.7%448.2K-2.5M-7.1K3.6051.82N/AN/A5184,3561,704
2011-03-18$17.43$17.5033.9%9.7%29.5%15.8%33.8%0.4%0.8%783.2K-2.8M-7.0K0.0578.07N/AN/A1,544824,3581,686
2011-03-21$17.64$17.5031.9%9.1%29.9%12.0%31.9%1.0%4.8%62.3K-1.8M-8.1K0.0866.79N/AN/A382302,525620
2011-03-22$17.27$17.5031.6%9.0%30.6%11.4%32.8%-3.4%3.2%68.9K-1.7M-8.4K6.0254.54N/AN/A492952,757650
2011-03-23$17.19$17.5031.2%9.0%28.3%10.8%31.3%-1.9%3.5%59.8K-1.6M-9.3K0.0255.29N/AN/A4312,800928
2011-03-24$17.32$17.5030.2%8.7%27.9%8.9%30.2%-1.5%4.6%66.0K-1.6M-9.2K1.3343.71N/AN/A15202,843928
2011-03-25$17.38$17.5030.6%8.8%27.7%9.6%30.6%-0.1%2.8%69.8K-1.8M-9.3K0.0218.19N/AN/A1,693372,857948
2011-03-28$17.06$17.5030.9%8.9%27.7%10.1%30.9%-0.3%4.2%73.2K-1.8M-9.4K0.1521.13N/AN/A233352,921970
2011-03-29$17.22$17.5031.6%9.1%26.0%11.5%0.0%83.9%3.2%86.7K-1.8M-9.4K0.0022.70N/AN/A2203,1091,004
2011-03-30$17.30$17.5028.5%8.2%25.7%5.6%28.5%84.7%6.8%95.5K-1.9M-9.4K2.4816.63N/AN/A21523,1081,004
2011-03-31$17.42$17.5029.0%8.3%25.1%6.5%0.0%82.4%5.0%101.9K-2.0M-9.4K1.1317.97N/AN/A46523,1251,004