CBL Options History — November 2011

In November 2011, CBL traded between $12.62 and $15.27. ATM implied volatility averaged 49.3%, placing in the 49.8% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 1.4% (HV 20d: 50.7%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2011-11-22: Highest Volume — 344 contracts
  • 2011-11-09: Largest IV spike — 23.0% change
  • 2011-11-25: Highest IV Rank — 59.0%
  • 2011-11-25: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.13$12.62$15.27$14.71$14.29
Max Pain$14.52$10.00$15.00$10.00$15.00
ATM IV49.3%40.8%55.7%54.5%41.7%
Expected Move14.2%12.0%16.0%15.6%12.0%
HV 20d50.7%42.8%58.7%58.0%51.4%
HV 60d55.5%53.2%65.3%65.3%55.3%
IV Rank49.8%37.6%59.0%57.3%38.8%
IV Percentile81.8%64.3%92.5%91.3%64.3%
Term Structure1.3%-1.5%5.1%-1.5%-0.2%
VWIV51.6%44.3%60.5%51.6%44.7%
Skew 25d9.9%-6.0%23.8%-1.2%8.1%
Skew 10d16.6%-9.8%63.3%8.2%31.3%
Call IV 25d43.1%27.8%58.8%46.6%41.5%
Put IV 25d53.0%41.0%57.8%45.4%49.5%
Bid-Ask Spread %54.4514.7597.3597.3573.75
Gamma HHI0.700.570.780.730.76
Net GEX53.7K22.8K81.8K49.1K64.8K
Net DEX-770.6K-1.9M406.5K-1.5M-595.6K
Net VEX-10.4K-12.9K-7.5K-12.4K-9.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.0010.000.640.19
Total Volume120.6679344261196
Total OI5,787.6195,3706,2165,3735,497

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$14.71$10.0054.5%15.6%58.0%57.3%51.6%-1.2%-1.5%49.1K-1.5M-12.4K0.6497.35N/AN/A1591023,7371,636
2011-11-02$15.27$12.5050.9%14.6%58.7%52.1%50.9%9.9%0.5%57.7K-1.9M-12.9K0.0286.54N/AN/A24763,8641,720
2011-11-03$15.06$12.5046.7%13.4%58.0%46.0%46.7%0.8%1.2%60.8K-1.8M-12.7K5.8041.95N/AN/A5293,9801,723
2011-11-04$14.92$15.0047.3%13.5%51.5%47.0%58.0%12.0%1.5%60.3K-1.5M-12.5K1.3767.30N/AN/A30413,9811,738
2011-11-07$14.88$15.0048.4%13.8%47.7%48.4%57.9%13.8%1.6%60.4K-1.5M-12.1K10.0061.17N/AN/A111103,9861,773
2011-11-08$15.21$15.0040.8%12.7%46.5%37.6%44.3%23.8%5.1%65.4K-1.8M-12.2K0.0059.00N/AN/A32003,9901,843
2011-11-09$14.32$15.0050.2%14.0%51.7%51.1%48.3%20.8%0.1%68.5K-1.2M-11.9K4.4038.43N/AN/A251104,3001,843
2011-11-10$14.26$15.0049.3%14.1%51.8%49.8%58.5%20.6%-0.2%69.2K-984.3K-11.5K8.0040.52N/AN/A184,2951,877
2011-11-11$14.62$15.0046.4%13.3%50.4%45.6%55.4%21.5%3.2%80.3K-1.3M-11.7K0.0381.78N/AN/A3114,2961,881
2011-11-14$14.17$15.0047.5%13.6%52.1%47.2%53.0%17.9%1.9%70.9K-836.1K-10.9K1.7127.61N/AN/A14244,3221,882
2011-11-15$14.42$15.0047.5%13.6%49.5%47.2%47.3%8.0%3.1%81.8K-991.1K-11.0K0.4838.31N/AN/A21104,3121,889
2011-11-16$14.21$15.0047.3%13.6%49.8%46.9%0.0%17.1%2.7%63.9K-757.6K-10.6K0.0014.75N/AN/A1604,3221,894
2011-11-17$13.81$15.0049.1%14.1%50.9%49.5%0.0%10.8%2.7%43.6K-387.8K-9.8K2.5027.73N/AN/A10254,3061,894
2011-11-18$13.95$15.0045.4%13.0%48.3%44.2%45.5%13.4%3.4%45.7K-458.4K-9.9K0.0151.34N/AN/A18624,3111,894
2011-11-21$13.28$15.0054.2%15.5%50.7%56.8%51.0%6.2%-1.0%33.8K72.2K-8.6K0.3827.92N/AN/A42163,7521,618
2011-11-22$13.38$15.0052.8%15.1%49.9%54.7%51.5%5.6%2.2%37.5K28.4K-8.7K0.1616.98N/AN/A296483,7941,618
2011-11-23$12.76$15.0053.6%15.4%51.8%56.0%54.4%-5.0%2.1%26.9K331.6K-7.7K0.6041.51N/AN/A67403,8971,588
2011-11-25$12.62$15.0055.7%16.0%42.8%59.0%60.5%-6.0%-1.1%22.8K406.5K-7.5K0.0082.57N/AN/A5803,8301,600
2011-11-28$13.15$15.0053.3%15.3%46.3%55.5%53.6%2.9%0.1%29.5K208.6K-7.8K0.1389.01N/AN/A77103,8441,600
2011-11-29$13.39$15.0052.8%15.1%47.1%54.9%46.6%6.7%0.8%34.1K120.3K-7.9K0.2778.02N/AN/A110303,8231,590
2011-11-30$14.29$15.0041.7%12.0%51.4%38.8%44.7%8.1%-0.2%64.8K-595.6K-9.1K0.1973.75N/AN/A165313,8971,600