CBL Options History — August 2011

In August 2011, CBL traded between $12.53 and $17.65. ATM implied volatility averaged 51.4%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 33.9% (HV 20d: 85.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 16.27.

Notable Days

  • 2011-08-10: Highest Volume — 1,403 contracts
  • 2011-08-05: Largest IV spike — 66.2% change
  • 2011-08-05: Highest IV Rank — 100.0%
  • 2011-08-08: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.07$12.53$17.65$17.65$14.71
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV51.4%32.7%84.1%41.1%47.2%
Expected Move14.1%9.4%18.9%11.8%13.5%
HV 20d85.2%26.9%106.0%26.9%103.4%
HV 60d55.3%28.7%64.8%28.7%64.7%
IV Rank59.6%45.2%100.0%69.1%46.7%
IV Percentile90.4%42.1%100.0%74.2%90.5%
Term Structure-2.2%-16.7%5.1%-8.5%-0.1%
VWIV46.8%32.8%61.8%41.2%47.2%
Skew 25d10.0%-2.7%28.9%3.2%8.3%
Skew 10d17.0%-7.1%36.8%3.1%14.5%
Call IV 25d41.0%29.8%57.2%33.4%36.4%
Put IV 25d51.0%29.4%64.5%36.6%44.6%
Bid-Ask Spread %46.9819.8680.9349.0374.33
Gamma HHI0.360.280.650.460.33
Net GEX-5.0K-116.3K21.1K21.1K10.0K
Net DEX1.1M-114.4K3.4M-114.4K296.6K
Net VEX-11.1K-15.0K-4.2K-9.3K-12.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.270.00186.67186.675.00
Total Volume332.652121,40356312
Total OI5,705.7393,7646,8803,7645,951

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$17.65$17.5041.1%11.8%26.9%69.1%41.2%3.2%-8.5%21.1K-114.4K-9.3K186.6749.03N/AN/A35602,2771,487
2011-08-02$16.48$17.5048.9%14.0%35.5%89.4%48.4%8.2%-12.8%-23.4K1.1M-8.6K13.3419.86N/AN/A851,1342,2771,934
2011-08-03$16.72$17.5033.2%9.5%36.1%48.2%32.8%-2.7%-3.2%-116.3K2.4M-9.2K133.1743.00N/AN/A67992,2902,915
2011-08-04$15.47$17.5032.7%9.4%41.3%46.9%40.9%-0.4%-6.4%-55.8K3.4M-6.5K0.2263.51N/AN/A88192,2673,080
2011-08-05$14.83$17.5054.3%13.6%42.7%100.0%47.5%18.2%-5.3%-17.1K2.3M-5.6K1.2855.64N/AN/A1551982,3282,261
2011-08-08$12.53$17.5084.1%18.9%69.9%100.0%61.8%6.3%-16.7%-8.0K2.3M-4.2K0.7736.76N/AN/A1381062,4252,370
2011-08-09$14.58$17.5063.5%15.2%92.6%70.3%0.0%28.9%-4.5%-11.6K2.3M-6.1K7.5464.16N/AN/A1017622,5462,435
2011-08-10$14.38$17.5071.1%15.8%92.6%81.2%52.1%5.2%-4.0%-12.3K2.0M-6.8K0.2662.85N/AN/A1,1112922,5712,435
2011-08-11$15.66$17.5052.2%15.0%98.8%53.9%50.2%10.6%-2.1%-10.8K914.4K-13.4K0.0553.65N/AN/A476263,5362,689
2011-08-12$15.50$17.5048.1%13.8%98.4%48.0%45.6%2.3%2.3%-1.3K859.6K-14.0K0.2745.43N/AN/A37103,7962,715
2011-08-15$15.96$17.5048.6%13.9%99.2%48.8%44.6%5.4%0.3%-10.4K629.1K-14.3K0.7243.64N/AN/A3642633,8102,720
2011-08-16$15.77$17.5048.6%13.9%98.6%48.7%44.6%-0.7%1.1%16.5K908.2K-15.0K0.0020.67N/AN/A2503,9442,936
2011-08-17$16.02$17.5046.1%13.2%99.0%45.2%38.1%9.8%2.8%13.3K871.3K-14.9K0.5237.98N/AN/A97503,9442,936
2011-08-18$15.07$17.5050.9%14.6%100.6%52.0%44.7%8.8%-0.9%17.6K1.3M-13.8K0.7580.93N/AN/A32243,9492,901
2011-08-19$14.29$17.5054.8%15.7%101.6%57.7%52.8%17.6%0.2%10.6K1.5M-12.8K9.6040.51N/AN/A5483,9462,916
2011-08-22$14.06$17.5055.9%16.0%101.6%59.3%56.0%15.5%-3.7%9.0K355.8K-12.4K0.0057.73N/AN/A13103,7111,954
2011-08-23$14.63$17.5050.8%14.6%103.3%51.9%47.4%23.3%1.2%10.5K304.5K-12.5K0.4224.54N/AN/A50213,7561,954
2011-08-24$14.49$17.5051.9%14.9%102.7%53.5%0.0%19.6%-0.3%10.4K285.3K-12.7K12.1327.69N/AN/A8973,7761,963
2011-08-25$13.94$17.5053.3%15.3%103.1%55.5%54.7%4.4%-0.1%7.8K493.5K-12.4K0.0045.87N/AN/A3903,7842,060
2011-08-26$14.12$17.5047.9%13.7%103.3%47.8%36.5%14.8%5.1%7.8K519.8K-12.3K0.1224.61N/AN/A132163,8162,060
2011-08-29$14.93$17.5048.9%14.0%106.0%49.3%48.6%20.5%1.4%9.2K263.3K-13.0K0.5766.50N/AN/A49283,8402,074
2011-08-30$14.76$17.5047.5%13.6%103.6%47.2%47.6%2.6%3.7%9.0K319.6K-12.8K0.9341.76N/AN/A28263,8232,074
2011-08-31$14.71$17.5047.2%13.5%103.4%46.7%47.2%8.3%-0.1%10.0K296.6K-12.7K5.0074.33N/AN/A2103,8512,100