CBL Options History — April 2011

In April 2011, CBL traded between $16.94 and $18.81. ATM implied volatility averaged 28.7%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 6.8% (HV 20d: 21.9%). 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 7 of 20 days. Put/call ratio averaged 5.01.

Notable Days

  • 2011-04-29: Highest Volume — 789 contracts
  • 2011-04-14: Largest IV spike — 55.4% change
  • 2011-04-25: Highest IV Rank — 23.6%
  • 2011-04-01: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.70$16.94$18.81$17.13$18.57
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV28.7%17.1%34.4%34.4%17.1%
Expected Move8.9%4.9%9.9%9.9%4.9%
HV 20d21.9%19.6%26.3%25.8%20.9%
HV 60d25.2%24.2%25.8%25.8%24.4%
IV Rank11.8%0.0%23.6%16.8%0.0%
IV Percentile8.5%0.0%25.4%21.0%0.0%
Term Structure-0.6%-4.9%6.7%-3.1%6.7%
VWIV32.2%26.9%35.4%34.3%26.9%
Skew 25d8.9%1.3%16.2%1.4%2.0%
Skew 10d15.8%2.2%76.2%3.0%2.2%
Call IV 25d23.3%15.1%31.7%31.7%15.1%
Put IV 25d32.2%17.1%38.6%33.1%17.1%
Bid-Ask Spread %44.0211.20101.9724.9842.85
Gamma HHI0.510.390.690.450.64
Net GEX106.3K53.4K255.6K92.7K54.1K
Net DEX-2.0M-2.7M-1.3M-1.9M-2.5M
Net VEX-8.9K-9.9K-8.1K-9.3K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.010.0028.622.5717.35
Total Volume160.20789125789
Total OI4,340.353,7644,8974,1544,897

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$17.13$17.5034.4%9.9%25.8%16.8%34.3%1.4%-3.1%92.7K-1.9M-9.3K2.5724.98N/AN/A35903,1241,030
2011-04-04$17.40$17.5031.5%9.6%26.3%11.3%33.4%14.5%-1.4%102.2K-2.0M-9.4K0.0220.59N/AN/A5013,1571,102
2011-04-05$17.36$17.5028.5%9.3%25.4%5.6%32.3%14.7%0.8%105.6K-1.9M-9.3K1.0520.32N/AN/A1011063,1521,103
2011-04-06$17.51$17.5026.9%9.5%24.8%2.5%33.1%14.9%-1.1%116.0K-2.0M-9.5K0.0032.49N/AN/A4903,1931,156
2011-04-07$17.72$17.5024.5%9.5%22.2%0.0%33.1%14.9%-1.0%125.9K-2.3M-9.6K0.2027.20N/AN/A106213,2171,156
2011-04-08$17.45$17.5027.5%9.3%22.8%5.6%35.4%1.3%-3.1%139.5K-2.2M-9.5K0.0035.46N/AN/A1003,3211,177
2011-04-11$17.16$17.5030.4%9.4%23.3%11.0%0.0%3.8%-0.2%131.3K-1.7M-9.0K15.0040.49N/AN/A1153,3251,177
2011-04-12$16.94$17.5026.9%8.9%23.4%4.4%0.0%9.7%1.9%109.1K-1.3M-8.3K0.0053.21N/AN/A003,3251,177
2011-04-13$17.12$17.5020.4%9.5%21.8%0.0%0.0%9.3%-1.1%136.5K-1.3M-8.1K0.0090.12N/AN/A1603,3001,157
2011-04-14$17.48$17.5031.8%9.1%20.6%19.7%32.1%12.1%-2.3%255.6K-1.9M-8.1K9.5047.15N/AN/A2193,3161,157
2011-04-15$17.74$17.5033.2%9.5%21.1%22.2%33.2%16.2%-1.1%213.5K-2.7M-8.3K0.0024.93N/AN/A6103,3181,145
2011-04-18$17.53$17.5030.3%8.7%21.2%17.2%30.3%5.0%1.0%65.1K-1.7M-8.1K0.3872.62N/AN/A52202,7571,007
2011-04-19$17.65$17.5032.4%9.3%19.8%20.8%32.4%5.9%-1.3%71.0K-1.9M-8.3K2.2063.31N/AN/A601322,7971,020
2011-04-20$17.70$17.5029.7%8.5%19.7%16.1%29.7%5.0%1.0%69.3K-1.9M-8.5K4.6331.53N/AN/A351622,8571,072
2011-04-21$17.79$17.5030.9%8.9%19.6%18.1%0.0%8.1%0.0%66.9K-1.9M-9.0K1.2211.20N/AN/A37452,8921,171
2011-04-25$17.95$17.5034.0%9.7%19.8%23.6%0.0%9.9%-2.9%69.7K-2.0M-8.7K6.0615.21N/AN/A16972,8981,211
2011-04-26$18.38$17.5032.5%9.3%19.7%20.9%32.4%15.7%-4.9%87.5K-2.5M-8.8K28.6295.37N/AN/A267442,8961,279
2011-04-27$18.63$17.5027.2%7.8%19.9%11.7%0.0%10.2%3.8%53.4K-2.4M-9.8K0.00101.97N/AN/A0302,9141,957
2011-04-28$18.81$17.5024.9%7.1%20.0%7.7%26.9%2.7%-3.9%62.1K-2.7M-9.9K1.4629.50N/AN/A1121642,9141,983
2011-04-29$18.57$17.5017.1%4.9%20.9%0.0%0.0%2.0%6.7%54.1K-2.5M-9.4K17.3542.85N/AN/A437462,9141,983