CBL Options History — October 2011

In October 2011, CBL traded between $10.91 and $15.62. ATM implied volatility averaged 50.9%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 10.7% (HV 20d: 61.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2011-10-10: Highest Volume — 808 contracts
  • 2011-10-13: Largest IV spike — 24.8% change
  • 2011-10-03: Highest IV Rank — 76.2%
  • 2011-10-03: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.31$10.91$15.62$10.91$15.38
Max Pain$10.48$10.00$12.50$12.50$10.00
ATM IV50.9%45.7%67.7%67.7%52.9%
Expected Move15.1%13.1%19.4%19.4%15.2%
HV 20d61.6%48.3%68.6%48.3%56.2%
HV 60d73.1%68.1%75.7%68.1%73.6%
IV Rank52.1%44.5%76.2%76.2%55.0%
IV Percentile86.3%77.4%99.2%99.2%90.1%
Term Structure0.2%-3.4%7.9%3.1%-3.4%
VWIV54.6%36.6%75.6%59.0%36.6%
Skew 25d16.6%3.5%31.1%3.5%13.1%
Skew 10d22.0%8.3%53.7%18.3%13.7%
Call IV 25d44.0%32.1%62.2%62.2%35.7%
Put IV 25d60.6%46.8%77.9%65.8%48.9%
Bid-Ask Spread %57.5216.9291.2035.3856.01
Gamma HHI0.630.450.760.490.70
Net GEX33.4K8.3K54.1K8.3K52.6K
Net DEX-552.6K-2.2M688.4K688.4K-2.0M
Net VEX-10.4K-13.1K-6.6K-6.6K-12.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.002.600.000.65
Total Volume104178088633
Total OI5,094.0954,4005,3914,4005,347

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$10.91$12.5067.7%19.4%48.3%76.2%0.0%3.5%3.1%8.3K688.4K-6.6K0.0035.38N/AN/A8602,9331,467
2011-10-04$11.57$12.5051.6%14.8%54.3%53.0%59.0%21.3%3.0%9.6K582.4K-7.4K0.7125.10N/AN/A98702,9461,467
2011-10-05$11.70$12.5049.8%14.3%52.2%50.5%0.0%22.9%6.0%12.6K536.6K-7.7K2.6085.96N/AN/A20523,0201,487
2011-10-06$12.27$12.5052.2%15.0%55.6%54.0%48.9%10.6%7.9%14.3K365.9K-8.6K0.5924.64N/AN/A76453,0351,570
2011-10-07$11.50$10.0046.9%16.6%58.7%46.3%56.6%25.7%-2.0%11.7K548.5K-7.5K0.0057.49N/AN/A3103,0771,570
2011-10-10$12.29$10.0048.8%17.5%64.0%49.0%75.6%13.4%-1.7%16.1K313.1K-8.7K0.0451.03N/AN/A778303,0831,570
2011-10-11$12.05$10.0051.4%16.5%64.1%52.8%57.9%14.6%2.0%24.8K155.5K-9.4K0.0052.72N/AN/A4203,7121,565
2011-10-12$12.55$10.0046.6%16.2%66.2%45.9%60.6%28.8%-0.3%29.8K-48.8K-10.0K0.0827.14N/AN/A6653,7261,565
2011-10-13$12.56$10.0058.1%16.7%65.0%62.5%63.5%31.1%-2.5%30.1K32.9K-9.5K1.3339.15N/AN/A15203,7321,570
2011-10-14$13.12$10.0057.5%16.5%67.0%61.5%55.7%11.6%-0.6%35.2K-271.9K-10.4K0.0083.85N/AN/A10903,7421,590
2011-10-17$13.12$10.0055.3%15.9%66.3%58.5%46.4%10.7%1.6%35.4K-402.9K-10.6K0.0082.69N/AN/A2603,7371,590
2011-10-18$13.79$10.0045.7%13.1%68.6%44.5%51.9%14.5%0.2%39.5K-878.8K-11.4K0.0083.66N/AN/A6003,7551,590
2011-10-19$13.81$10.0046.8%13.4%64.1%46.2%59.2%14.8%-0.7%41.0K-914.0K-11.4K0.0075.71N/AN/A3503,7991,590
2011-10-20$13.88$10.0048.3%13.9%63.6%48.4%60.8%16.4%-0.3%40.9K-945.5K-11.6K1.4327.94N/AN/A7103,7971,590
2011-10-21$14.51$10.0050.0%14.3%64.9%50.8%51.0%20.4%-3.1%49.1K-1.3M-12.2K0.1869.06N/AN/A57103,7911,600
2011-10-24$14.71$10.0048.4%13.9%64.9%48.4%48.4%18.8%-0.6%49.0K-1.4M-12.3K0.2116.92N/AN/A57123,6461,530
2011-10-25$14.25$10.0046.6%13.3%66.3%45.8%47.6%10.8%-0.2%47.1K-1.2M-11.8K2.5888.38N/AN/A33853,6821,541
2011-10-26$14.45$10.0046.1%13.2%60.5%45.2%0.0%16.1%1.5%47.2K-1.2M-12.2K0.2088.41N/AN/A50103,6911,611
2011-10-27$15.53$10.0048.5%13.9%64.5%48.7%48.5%14.4%-3.0%51.9K-2.1M-13.1K0.1391.20N/AN/A84113,7011,621
2011-10-28$15.62$10.0049.5%14.2%58.8%50.1%0.0%14.6%-2.3%54.1K-2.2M-13.0K0.1145.43N/AN/A5563,7171,623
2011-10-31$15.38$10.0052.9%15.2%56.2%55.0%36.6%13.1%-3.4%52.6K-2.0M-12.8K0.6556.01N/AN/A20133,7221,625