CBL Options History — September 2011

In September 2011, CBL traded between $11.36 and $14.35. ATM implied volatility averaged 53.3%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 2.1% (HV 20d: 55.4%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2011-09-19: Highest Volume — 262 contracts
  • 2011-09-08: Largest IV spike — 68.7% change
  • 2011-09-13: Highest IV Rank — 66.0%
  • 2011-09-14: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.14$11.36$14.35$14.35$11.36
Max Pain$12.98$12.50$17.50$17.50$12.50
ATM IV53.3%29.5%60.6%45.0%56.7%
Expected Move15.8%12.9%17.6%12.9%16.2%
HV 20d55.4%40.9%100.8%100.2%49.4%
HV 60d65.8%64.7%67.8%64.7%67.8%
IV Rank55.6%21.2%66.0%43.5%60.4%
IV Percentile91.6%20.2%98.8%85.7%96.0%
Term Structure0.1%-4.8%5.8%1.6%2.8%
VWIV55.0%47.4%61.7%47.4%58.9%
Skew 25d9.6%-10.4%26.1%-1.8%-10.4%
Skew 10d22.6%2.9%79.3%2.9%19.2%
Call IV 25d44.2%36.7%51.8%40.7%51.8%
Put IV 25d53.7%38.8%66.6%38.8%41.4%
Bid-Ask Spread %54.4020.0491.3844.4886.73
Gamma HHI0.420.330.520.360.47
Net GEX11.6K5.6K17.5K9.0K9.4K
Net DEX549.1K-42.2K947.9K435.5K599.2K
Net VEX-9.9K-12.2K-7.4K-12.2K-7.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.005.000.670.00
Total Volume61.23872622531
Total OI5,150.2863,8376,0845,9634,369

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$14.35$17.5045.0%12.9%100.2%43.5%0.0%-1.8%1.6%9.0K435.5K-12.2K0.6744.48N/AN/A15103,8532,110
2011-09-02$13.62$17.5050.5%14.5%100.8%51.5%47.4%-2.1%3.2%7.6K762.8K-11.1K2.5082.47N/AN/A4103,8682,110
2011-09-06$13.49$12.5059.0%16.9%80.1%63.8%0.0%14.4%-2.6%7.0K803.8K-10.8K0.2580.28N/AN/A2053,8722,110
2011-09-07$14.00$12.5029.5%13.6%59.8%21.2%48.0%21.4%0.8%9.2K677.1K-11.3K0.1020.04N/AN/A1013,8822,111
2011-09-08$13.70$12.5049.8%17.1%60.1%50.4%60.1%17.9%-3.6%8.0K762.8K-10.9K0.0031.57N/AN/A1203,8872,112
2011-09-09$13.23$12.5056.8%17.2%51.3%60.5%50.7%11.6%-4.6%5.6K943.4K-10.1K0.0022.20N/AN/A703,8892,112
2011-09-12$13.38$12.5058.0%17.6%51.8%62.3%61.7%16.9%-4.8%12.9K947.9K-9.9K0.0030.42N/AN/A1503,8932,112
2011-09-13$13.42$12.5060.6%16.6%50.1%66.0%51.4%3.0%-2.1%6.9K931.5K-10.1K0.5934.71N/AN/A39233,8932,112
2011-09-14$13.42$12.5052.7%17.6%50.2%54.7%0.0%10.1%-3.8%10.2K929.2K-9.9K0.0035.49N/AN/A8803,9272,121
2011-09-15$13.84$12.5047.1%13.5%51.4%46.6%0.0%9.8%3.5%14.9K733.5K-10.4K0.5047.09N/AN/A80403,9742,062
2011-09-16$14.01$12.5045.4%13.0%47.7%44.1%53.8%12.5%5.8%17.5K701.9K-10.8K1.6739.58N/AN/A36604,0222,062
2011-09-19$13.60$12.5055.7%16.0%45.1%59.1%52.6%7.5%2.0%15.8K-40.4K-10.2K0.4191.18N/AN/A186762,5551,282
2011-09-20$13.46$12.5055.9%16.0%44.9%59.3%56.6%10.7%0.4%16.8K-42.2K-10.7K0.4591.38N/AN/A111502,7061,358
2011-09-21$12.62$12.5055.8%16.0%47.2%59.1%55.8%10.6%-0.6%14.3K266.3K-9.2K1.0767.02N/AN/A15162,7961,408
2011-09-22$12.42$12.5059.1%17.0%47.3%64.0%59.1%24.3%-2.3%12.7K378.4K-8.7K0.0278.99N/AN/A9322,8111,412
2011-09-23$12.68$12.5057.7%16.5%46.8%61.9%57.6%26.1%-0.2%13.5K339.0K-9.2K0.0032.41N/AN/A5002,8081,412
2011-09-26$12.64$12.5056.3%16.2%46.4%59.9%56.3%11.5%1.2%13.9K327.7K-9.2K0.0090.76N/AN/A1702,8421,412
2011-09-27$12.77$12.5054.4%15.6%40.9%57.1%54.4%9.9%3.6%14.1K226.2K-9.3K0.1324.71N/AN/A75102,8291,412
2011-09-28$11.94$12.5058.9%16.9%46.0%63.5%58.9%-2.0%-0.5%12.9K381.2K-8.4K0.3786.84N/AN/A27102,8941,422
2011-09-29$12.05$12.5055.0%15.8%46.5%58.0%0.0%-1.0%2.2%11.8K465.4K-8.3K5.0024.14N/AN/A7352,9021,432
2011-09-30$11.36$12.5056.7%16.2%49.4%60.4%0.0%-10.4%2.8%9.4K599.2K-7.4K0.0086.73N/AN/A3102,9021,467