CBL Options History — May 2011

In May 2011, CBL traded between $17.97 and $19.24. ATM implied volatility averaged 22.2%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.3% (HV 20d: 22.5%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 4.45.

Notable Days

  • 2011-05-10: Highest Volume — 708 contracts
  • 2011-05-05: Largest IV spike — 62.4% change
  • 2011-05-23: Highest IV Rank — 24.1%
  • 2011-05-23: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.57$17.97$19.24$18.41$19.24
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV22.2%14.8%30.0%22.6%21.0%
Expected Move6.3%4.2%8.6%6.5%6.0%
HV 20d22.5%18.6%26.4%20.0%26.3%
HV 60d24.0%23.1%24.5%24.4%24.0%
IV Rank10.2%0.0%24.1%9.0%9.8%
IV Percentile3.5%0.0%15.1%0.8%4.0%
Term Structure5.6%-3.3%15.4%-3.3%-0.6%
VWIV21.7%16.6%30.7%18.4%20.5%
Skew 25d4.9%-6.6%12.6%-2.4%-4.6%
Skew 10d14.9%-7.1%103.5%10.6%-4.7%
Call IV 25d19.1%13.1%27.2%19.1%23.2%
Put IV 25d24.0%15.1%32.5%16.7%18.6%
Bid-Ask Spread %45.4919.3995.6795.6776.56
Gamma HHI0.490.460.650.460.65
Net GEX-2.5K-92.4K102.4K9.8K102.4K
Net DEX-2.1M-3.1M-713.9K-2.0M-2.9M
Net VEX-10.5K-11.4K-8.0K-10.9K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.450.0042.000.001.00
Total Volume114.71407084044
Total OI6,108.815,6146,5055,6146,180

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$18.41$17.5022.6%6.5%20.0%9.0%18.4%-2.4%-3.3%9.8K-2.0M-10.9K0.0095.67N/AN/A04042,9452,669
2011-05-03$18.30$17.5016.8%4.8%19.8%0.0%0.0%2.1%4.7%-39.1K-1.7M-10.4K0.0075.95N/AN/A1002,9452,869
2011-05-04$18.18$17.5018.2%5.2%20.0%2.4%0.0%-1.5%6.8%-30.4K-1.4M-11.1K0.0030.15N/AN/A0102,9512,869
2011-05-05$18.25$17.5029.6%8.5%19.9%21.0%30.7%8.7%-1.5%-17.8K-1.5M-11.3K1.2519.39N/AN/A24302,9512,879
2011-05-06$18.29$17.5026.8%6.9%19.5%16.3%0.0%9.3%5.1%-21.9K-1.6M-10.7K0.0023.84N/AN/A002,9532,863
2011-05-09$18.45$17.5023.5%7.0%18.6%11.0%23.7%11.2%4.8%-7.5K-2.1M-10.0K1.1827.01N/AN/A34402,9532,863
2011-05-10$19.22$17.5018.6%5.0%21.6%3.0%26.6%12.6%15.4%49.7K-3.1M-9.0K0.3391.37N/AN/A5331752,9712,891
2011-05-11$18.84$17.5020.8%5.7%22.5%6.7%19.5%2.8%4.7%28.2K-2.7M-11.2K0.0135.74N/AN/A14913,2552,950
2011-05-12$18.98$17.5020.0%5.7%22.4%5.3%0.0%5.7%3.5%38.7K-2.9M-10.9K0.0033.04N/AN/A2203,3102,951
2011-05-13$18.79$17.5024.9%7.1%22.3%13.2%0.0%2.5%2.5%27.7K-2.7M-11.1K0.4235.29N/AN/A64273,2922,951
2011-05-16$18.53$17.5024.4%7.0%22.7%12.5%16.6%5.2%8.1%7.7K-2.4M-10.6K6.9638.62N/AN/A251743,3062,972
2011-05-17$18.67$17.5022.8%6.5%22.1%9.8%0.0%9.8%11.1%-24.5K-2.3M-10.8K0.0054.07N/AN/A0513,3263,144
2011-05-18$18.80$17.5014.8%4.2%22.1%0.0%20.1%11.6%14.0%8.0K-2.5M-11.2K0.8051.18N/AN/A50403,3263,178
2011-05-19$18.89$17.5020.0%5.7%22.1%8.3%0.0%-6.6%5.4%25.0K-2.7M-10.1K0.0034.00N/AN/A1003,3273,168
2011-05-20$18.32$17.5022.4%6.4%25.2%12.0%21.6%9.6%11.3%-16.9K-2.0M-10.9K4.5328.04N/AN/A19863,3373,168
2011-05-23$18.06$17.5030.0%8.6%25.6%24.1%18.1%8.3%-1.3%-45.2K-897.9K-11.4K42.0050.34N/AN/A1423,0482,996
2011-05-24$17.97$17.5026.0%7.5%24.1%17.7%21.6%6.4%3.2%-73.4K-713.9K-11.0K7.5821.22N/AN/A191443,0493,033
2011-05-25$18.11$17.5021.4%6.1%23.7%10.4%24.8%6.4%11.2%-92.4K-818.6K-10.3K9.2738.95N/AN/A151393,0513,039
2011-05-26$18.63$17.5022.2%6.4%25.7%11.7%20.5%12.1%11.5%-9.5K-1.7M-10.4K0.3037.85N/AN/A40123,0503,117
2011-05-27$19.03$17.5020.5%5.9%26.4%9.0%20.5%-6.3%0.7%28.9K-2.6M-8.8K0.0756.94N/AN/A1413,0843,105
2011-05-31$19.24$17.5021.0%6.0%26.3%9.8%0.0%-4.6%-0.6%102.4K-2.9M-8.0K1.0076.56N/AN/A223,0753,105