CBL Options History — July 2011

In July 2011, CBL traded between $17.64 and $19.21. ATM implied volatility averaged 31.5%, placing in the 39.3% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.4% (HV 20d: 27.2%). 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 5 of 20 days. Put/call ratio averaged 1.75.

Notable Days

  • 2011-07-05: Highest Volume — 626 contracts
  • 2011-07-11: Largest IV spike — 48.6% change
  • 2011-07-12: Highest IV Rank — 65.4%
  • 2011-07-19: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.38$17.64$19.21$18.32$17.76
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV31.5%18.7%45.3%22.1%33.4%
Expected Move9.1%6.3%10.0%6.3%9.6%
HV 20d27.2%23.5%30.9%30.9%27.2%
HV 60d27.6%26.5%28.7%26.8%28.7%
IV Rank39.3%6.9%65.4%13.0%48.7%
IV Percentile37.6%2.4%81.7%5.2%45.2%
Term Structure-1.0%-5.1%12.5%12.5%-0.1%
VWIV25.8%10.0%33.4%26.0%33.4%
Skew 25d8.8%0.8%32.8%2.8%7.2%
Skew 10d20.8%1.8%80.7%8.3%10.2%
Call IV 25d25.6%18.4%29.3%23.0%26.0%
Put IV 25d34.4%25.8%52.5%25.8%33.2%
Bid-Ask Spread %51.1025.4094.8034.0538.75
Gamma HHI0.640.510.760.510.53
Net GEX52.0K22.3K76.6K22.3K34.8K
Net DEX-989.7K-1.8M-316.5K-749.7K-353.9K
Net VEX-9.0K-9.6K-7.8K-8.4K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.008.000.004.15
Total Volume79.0506263242
Total OI3,390.352,9263,5822,9263,549

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$18.32$17.5022.1%6.3%30.9%13.0%0.0%2.8%12.5%22.3K-749.7K-8.4K0.0034.05N/AN/A301,6791,247
2011-07-05$18.49$17.5018.7%9.0%29.8%6.9%0.0%3.3%1.1%24.7K-949.4K-7.8K0.0034.11N/AN/A62601,6821,247
2011-07-06$18.56$17.5022.6%9.4%29.8%16.7%0.0%5.1%-1.6%56.2K-1.3M-9.6K0.0631.26N/AN/A3222,2271,247
2011-07-07$19.21$17.5021.7%7.6%30.9%14.8%26.0%4.6%-2.1%72.4K-1.8M-9.4K0.0094.80N/AN/A11502,2281,248
2011-07-08$19.12$17.5024.5%7.9%30.1%20.8%27.2%2.9%-1.6%76.6K-1.7M-9.3K0.3682.21N/AN/A1452,2891,248
2011-07-11$18.63$17.5036.4%9.1%29.0%46.3%0.0%3.9%-2.8%65.5K-1.5M-9.5K0.0034.95N/AN/A002,2831,253
2011-07-12$18.62$17.5045.3%9.5%29.0%65.4%0.0%6.4%-0.9%62.5K-1.5M-9.5K0.0082.96N/AN/A502,2831,253
2011-07-13$18.51$17.5042.5%9.1%26.2%64.3%0.0%4.0%1.5%59.3K-1.4M-9.3K0.0034.68N/AN/A3802,2831,253
2011-07-14$18.12$17.5030.9%8.8%25.4%37.3%0.0%0.8%-1.2%53.5K-1.0M-8.9K6.6750.85N/AN/A3202,3091,253
2011-07-15$18.39$17.5032.4%9.3%25.1%40.8%32.3%31.5%-4.4%54.0K-1.1M-8.6K0.8343.38N/AN/A12102,3091,273
2011-07-18$18.00$17.5033.1%9.5%25.4%42.5%0.0%12.2%-4.0%45.6K-523.2K-8.3K1.6852.13N/AN/A34572,1081,077
2011-07-19$18.42$17.5034.8%10.0%26.5%46.5%10.0%32.8%-5.1%53.2K-775.1K-8.8K0.4760.39N/AN/A45212,1381,128
2011-07-20$18.28$17.5031.5%9.0%25.7%38.9%0.0%3.1%-0.3%56.5K-847.8K-9.4K0.4225.40N/AN/A1252,1831,149
2011-07-21$18.46$17.5033.4%9.6%25.1%43.3%0.0%5.5%-2.9%59.0K-911.4K-9.5K0.2957.71N/AN/A45132,1851,154
2011-07-22$18.50$17.5033.5%9.6%24.4%43.4%0.0%3.8%-4.5%61.7K-947.7K-9.3K0.0041.58N/AN/A0172,1881,165
2011-07-25$18.40$17.5034.2%9.8%24.2%50.8%0.0%25.2%-3.4%57.1K-829.0K-9.1K8.0062.76N/AN/A3242,1881,182
2011-07-26$18.36$17.5034.4%9.9%23.5%51.4%0.0%10.7%-1.6%55.0K-850.9K-9.3K7.1463.05N/AN/A7502,1911,202
2011-07-27$17.64$17.5033.0%9.5%27.6%47.7%0.0%5.4%0.6%33.1K-316.5K-8.7K0.0654.51N/AN/A4732,1961,252
2011-07-28$17.72$17.5032.4%9.3%27.4%46.2%0.0%5.2%0.2%36.3K-371.4K-8.9K1.2942.39N/AN/A31402,2261,252
2011-07-29$17.76$17.5033.4%9.6%27.2%48.7%33.4%7.2%-0.1%34.8K-353.9K-9.2K4.1538.75N/AN/A471952,2571,292