CBL Options History — June 2011

In June 2011, CBL traded between $16.73 and $18.64. ATM implied volatility averaged 28.1%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 3.3% (HV 20d: 31.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2011-06-08: Highest Volume — 717 contracts
  • 2011-06-06: Largest IV spike — 34.3% change
  • 2011-06-15: Highest IV Rank — 29.9%
  • 2011-06-15: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.78$16.73$18.64$18.64$18.13
Max Pain$17.84$17.50$20.00$17.50$17.50
ATM IV28.1%17.8%31.7%25.7%24.3%
Expected Move8.1%5.1%9.1%7.4%7.0%
HV 20d31.4%26.3%35.0%28.8%30.7%
HV 60d25.7%24.2%27.0%24.9%26.8%
IV Rank23.0%4.7%29.9%17.3%16.8%
IV Percentile17.1%1.2%29.4%8.7%7.9%
Term Structure1.3%-17.5%10.5%-17.5%10.5%
VWIV30.8%27.9%38.4%29.4%31.2%
Skew 25d9.0%-13.9%41.3%-0.5%5.7%
Skew 10d18.6%-6.3%81.7%10.5%13.8%
Call IV 25d24.4%17.8%31.2%17.8%21.9%
Put IV 25d33.3%17.2%71.6%17.3%27.6%
Bid-Ask Spread %69.7527.25100.6371.1989.06
Gamma HHI0.590.360.870.460.52
Net GEX-99.3K-328.6K23.6K-1.9K23.6K
Net DEX-57.1K-1.9M2.3M-1.9M-708.4K
Net VEX-8.2K-10.2K-6.7K-10.2K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.007.900.400.00
Total Volume140.68207177106
Total OI4,663.6362,2286,3526,1822,978

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$18.64$17.5025.7%7.4%28.8%17.3%29.4%-0.5%-17.5%-1.9K-1.9M-10.2K0.4071.19N/AN/A523,0763,106
2011-06-02$18.30$17.5017.8%5.1%29.6%4.7%34.3%-13.9%9.2%-39.5K-1.2M-10.1K0.0148.98N/AN/A25223,0713,107
2011-06-03$18.26$20.0022.7%8.1%29.5%12.4%0.0%31.3%1.4%-139.2K-1.3M-8.5K0.1396.49N/AN/A813,0453,106
2011-06-06$17.85$20.0030.4%8.0%30.6%24.7%0.0%7.1%2.1%-119.2K-577.4K-9.2K1.0596.05N/AN/A37393,0453,106
2011-06-07$17.92$20.0026.2%8.0%30.4%18.9%27.9%7.7%1.1%-146.6K-719.8K-8.8K7.9080.91N/AN/A211663,0593,128
2011-06-08$17.58$17.5026.4%8.0%26.6%19.3%28.1%4.3%2.2%-202.1K134.1K-9.4K0.0756.61N/AN/A667503,0743,278
2011-06-09$17.29$17.5029.8%8.5%26.3%26.5%0.0%1.9%-0.6%-240.7K712.9K-9.0K2.7475.25N/AN/A942582,7423,328
2011-06-10$16.73$17.5023.8%6.8%27.8%15.9%0.0%3.2%2.8%-85.9K2.3M-6.8K0.3727.25N/AN/A43162,7363,209
2011-06-13$16.91$17.5030.1%8.6%28.4%27.1%30.0%6.4%1.7%-148.2K2.1M-6.8K2.2427.82N/AN/A21472,6763,212
2011-06-14$17.59$17.5029.5%8.4%32.3%25.9%29.5%3.3%1.2%-328.6K188.3K-7.8K0.0056.54N/AN/A2202,6443,249
2011-06-15$17.12$17.5031.7%9.1%33.2%29.9%31.8%-0.3%-0.2%-238.9K1.7M-7.1K1.7282.25N/AN/A29502,6373,249
2011-06-16$17.43$17.5029.6%8.5%33.9%26.1%0.0%1.8%1.4%-291.0K708.4K-7.7K5.0095.18N/AN/A10502,6003,299
2011-06-17$17.82$17.5031.4%9.0%35.0%29.4%31.4%4.5%-0.1%-272.5K-845.3K-7.2K0.0094.69N/AN/A12402,6053,249
2011-06-20$18.00$17.5028.6%8.2%33.7%24.5%0.0%6.6%2.3%-843-107.0K-6.7K0.4530.82N/AN/A144651,1771,051
2011-06-21$18.36$17.5030.2%8.7%34.1%27.3%30.0%9.7%-1.1%5.6K-278.7K-7.0K0.6032.20N/AN/A77461,2491,071
2011-06-22$18.04$17.5028.0%8.0%34.7%23.4%28.7%7.0%1.8%4.0K-274.9K-7.5K0.0095.57N/AN/A16001,3101,117
2011-06-23$17.79$17.5031.0%8.9%34.9%28.7%31.4%4.4%0.5%4.2K-102.9K-8.0K1.7593.20N/AN/A641121,4621,117
2011-06-24$17.61$17.5030.9%8.9%33.2%28.4%38.4%1.7%1.1%4.1K-96.1K-8.2K0.2966.65N/AN/A104301,5261,212
2011-06-27$17.92$17.5030.0%8.6%32.9%26.8%29.9%38.1%3.3%3.4K-187.4K-8.6K0.2383.28N/AN/A3581,5971,242
2011-06-28$17.80$17.5031.1%8.9%32.5%28.9%31.2%41.3%1.4%6.6K-258.7K-8.6K0.00100.63N/AN/A13001,6301,247
2011-06-29$17.98$17.5028.5%8.2%31.1%24.2%0.0%26.0%4.1%19.1K-483.4K-8.7K0.0034.00N/AN/A001,7311,247
2011-06-30$18.13$17.5024.3%7.0%30.7%16.8%0.0%5.7%10.5%23.6K-708.4K-8.6K0.0089.06N/AN/A10601,7311,247