CBL Options History — December 2011

In December 2011, CBL traded between $13.99 and $16.11. ATM implied volatility averaged 38.7%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 4.7% (HV 20d: 43.4%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.52.

Notable Days

  • 2011-12-12: Highest Volume — 995 contracts
  • 2011-12-12: Largest IV spike — 30.7% change
  • 2011-12-12: Highest IV Rank — 39.8%
  • 2011-12-27: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.27$13.99$16.11$13.99$15.70
Max Pain$13.69$12.50$15.00$15.00$15.00
ATM IV38.7%32.4%42.4%36.9%40.7%
Expected Move11.2%10.0%11.9%10.6%11.7%
HV 20d43.4%28.9%51.7%49.7%28.9%
HV 60d52.9%48.0%55.1%55.0%48.1%
IV Rank34.5%25.4%39.8%31.9%37.3%
IV Percentile57.2%38.9%64.7%56.7%59.5%
Term Structure5.3%-1.3%9.4%-1.3%3.8%
VWIV41.8%30.1%68.7%30.1%41.6%
Skew 25d11.6%-7.9%19.0%0.3%15.0%
Skew 10d15.5%-10.2%44.7%15.3%15.9%
Call IV 25d29.4%19.8%42.4%42.4%24.5%
Put IV 25d40.9%30.3%47.8%42.7%39.5%
Bid-Ask Spread %68.8314.2194.2080.7914.21
Gamma HHI0.670.450.890.770.45
Net GEX99.1K57.5K181.4K66.0K70.9K
Net DEX-1.6M-2.3M-344.1K-344.1K-2.1M
Net VEX-10.0K-11.0K-8.7K-8.7K-10.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.0010.008.180.00
Total Volume165.5248995873
Total OI5,105.813,7416,0025,6124,450

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$13.99$15.0036.9%10.6%49.7%31.9%0.0%0.3%-1.3%66.0K-344.1K-8.7K0.0080.79N/AN/A084,0271,585
2011-12-02$14.43$15.0041.0%11.8%51.1%37.8%30.1%-7.9%0.8%80.0K-799.9K-9.4K8.1872.19N/AN/A11904,0271,593
2011-12-05$14.73$12.5039.3%11.5%51.6%35.4%39.9%17.1%5.1%100.2K-1.1M-9.4K0.1944.64N/AN/A64124,0381,585
2011-12-06$14.86$12.5039.5%11.6%51.7%35.7%0.0%19.0%4.6%110.7K-1.3M-9.5K0.0029.44N/AN/A3104,0911,597
2011-12-07$15.11$12.5040.0%11.5%51.5%36.3%0.0%8.4%5.2%119.6K-1.6M-9.5K0.0023.24N/AN/A10004,1131,597
2011-12-08$14.91$12.5037.1%11.3%46.7%32.1%47.7%15.3%5.5%129.6K-1.3M-9.3K10.0088.47N/AN/A5504,1131,597
2011-12-09$15.29$12.5032.4%10.9%47.3%25.4%0.0%15.7%8.2%146.4K-1.9M-9.3K1.1275.56N/AN/A57644,1101,634
2011-12-12$15.09$12.5042.4%11.5%47.0%39.8%45.4%15.9%6.7%148.5K-1.6M-9.1K0.0215.52N/AN/A972234,1421,637
2011-12-13$14.79$12.5040.2%11.2%46.1%36.6%39.2%15.1%6.2%143.2K-1.2M-9.5K0.0590.66N/AN/A584314,2531,660
2011-12-14$14.78$12.5041.6%11.8%45.7%38.7%0.0%11.3%5.1%124.0K-1.0M-9.8K2.5090.53N/AN/A20504,3361,666
2011-12-15$15.05$12.5040.5%11.6%45.7%37.0%46.3%14.1%5.5%181.4K-1.4M-9.9K0.0883.98N/AN/A6354,3281,666
2011-12-16$15.40$12.5041.3%11.8%44.7%38.2%41.6%13.5%4.5%106.2K-2.1M-9.7K0.3193.35N/AN/A228704,3151,671
2011-12-19$15.27$12.5036.5%10.5%44.9%31.4%36.7%-4.5%6.5%57.5K-1.6M-9.7K0.2090.98N/AN/A204402,879862
2011-12-20$15.91$15.0035.1%10.1%41.9%29.3%68.7%10.6%7.8%69.2K-2.1M-10.4K0.2291.94N/AN/A164363,074902
2011-12-21$15.84$15.0037.3%10.7%42.2%32.4%37.3%7.5%5.6%71.9K-2.1M-10.8K0.2891.64N/AN/A36103,212918
2011-12-22$16.05$15.0034.7%10.0%36.6%28.7%34.9%12.1%8.8%76.4K-2.3M-10.9K3.5694.20N/AN/A321143,237928
2011-12-23$16.11$15.0035.6%10.2%35.8%30.1%33.3%16.0%9.4%75.5K-2.3M-11.0K0.8381.38N/AN/A24203,2691,038
2011-12-27$15.86$15.0041.5%11.9%35.4%38.6%41.6%16.3%3.8%69.5K-2.1M-10.8K1.9685.90N/AN/A28553,2651,053
2011-12-28$15.56$15.0040.8%11.7%36.6%37.4%0.0%16.0%3.8%65.4K-2.0M-10.9K0.9190.83N/AN/A23213,2491,108
2011-12-29$15.84$15.0038.6%11.1%30.0%34.3%0.0%16.0%6.7%69.2K-2.2M-11.0K0.0016.03N/AN/A5803,2691,128
2011-12-30$15.70$15.0040.7%11.7%28.9%37.3%0.0%15.0%3.8%70.9K-2.1M-10.8K0.0014.21N/AN/A7303,3221,128