CBL Options History — January 2012

In January 2012, CBL traded between $15.63 and $17.54. ATM implied volatility averaged 35.8%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 10.9% (HV 20d: 24.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2012-01-27: Highest Volume — 230 contracts
  • 2012-01-19: Largest IV drop — 25.9% change
  • 2012-01-17: Highest IV Rank — 45.3%
  • 2012-01-17: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.41$15.63$17.54$16.10$17.37
Max Pain$14.38$12.50$15.00$15.00$15.00
ATM IV35.8%30.8%46.2%35.1%35.4%
Expected Move10.8%9.3%13.2%10.1%10.1%
HV 20d24.9%20.3%28.5%28.3%20.9%
HV 60d40.8%35.5%47.4%47.4%35.5%
IV Rank30.3%23.0%45.3%29.3%29.7%
IV Percentile48.2%27.4%70.6%49.6%52.8%
Term Structure0.6%-4.3%14.8%10.2%-3.1%
VWIV37.1%32.9%45.0%36.1%35.4%
Skew 25d10.3%-0.1%15.4%14.8%0.5%
Skew 10d18.0%0.4%29.2%19.1%1.3%
Call IV 25d31.3%20.6%37.6%20.6%31.8%
Put IV 25d41.6%30.6%50.4%35.4%32.3%
Bid-Ask Spread %67.2313.5798.0713.5773.30
Gamma HHI0.500.450.610.460.61
Net GEX97.8K76.7K125.6K76.7K125.6K
Net DEX-3.1M-4.4M-2.2M-2.6M-4.2M
Net VEX-10.1K-10.9K-9.3K-10.9K-10.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.004.110.000.00
Total Volume101.450230876
Total OI4,915.84,5185,3164,5185,316

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$16.10$15.0035.1%10.1%28.3%29.3%0.0%14.8%10.2%76.7K-2.6M-10.9K0.0013.57N/AN/A8703,3901,128
2012-01-04$15.89$15.0032.8%9.4%28.4%26.0%36.1%14.0%14.8%76.7K-2.4M-10.8K1.6776.22N/AN/A691153,4351,128
2012-01-05$16.06$15.0034.6%9.9%28.5%28.6%0.0%12.9%14.1%79.9K-2.6M-10.9K0.0098.07N/AN/A2603,5041,237
2012-01-06$15.95$12.5033.3%12.0%28.3%26.7%0.0%10.8%0.2%83.0K-2.6M-10.8K0.0062.15N/AN/A003,5231,237
2012-01-09$15.83$12.5031.2%11.7%27.9%23.6%40.9%10.4%1.4%84.9K-2.4M-10.4K0.3188.11N/AN/A54173,5231,237
2012-01-10$15.91$12.5030.8%12.0%26.7%23.0%0.0%10.0%-1.6%88.5K-2.5M-10.4K0.0821.22N/AN/A6453,5611,237
2012-01-11$16.00$12.5036.2%12.2%26.1%30.9%0.0%8.6%-1.4%88.5K-2.6M-10.5K0.1787.09N/AN/A58103,6251,237
2012-01-12$15.67$12.5042.6%12.2%26.2%40.1%38.2%11.4%-1.1%88.7K-2.3M-10.4K1.3387.22N/AN/A39523,6831,234
2012-01-13$15.63$15.0044.4%12.7%26.2%42.7%44.3%14.8%-4.3%89.1K-2.2M-10.3K0.7389.23N/AN/A30223,7091,266
2012-01-17$15.79$15.0046.2%13.2%25.8%45.3%0.0%12.8%-2.4%89.2K-2.5M-10.4K0.5086.59N/AN/A30153,7291,286
2012-01-18$16.12$15.0045.2%12.9%25.5%43.8%45.0%15.4%-4.3%86.2K-2.8M-10.1K0.2078.20N/AN/A64133,7491,300
2012-01-19$16.37$15.0033.5%9.6%25.6%27.0%34.6%10.1%-0.5%90.7K-3.1M-10.1K2.6751.22N/AN/A15403,7971,307
2012-01-20$16.73$15.0033.7%9.6%22.6%27.2%32.9%9.7%1.5%104.4K-3.5M-9.3K0.0020.24N/AN/A16303,8121,267
2012-01-23$16.72$15.0033.0%9.5%22.5%26.2%35.6%7.4%-2.0%107.3K-3.3M-9.5K0.5289.19N/AN/A147773,6161,100
2012-01-24$16.80$15.0032.6%9.3%22.2%25.7%34.6%10.1%-0.3%109.5K-3.4M-9.7K0.5172.63N/AN/A123633,7061,167
2012-01-25$17.05$15.0032.3%9.3%22.6%25.3%0.0%12.6%-0.7%117.0K-3.8M-9.4K0.0015.43N/AN/A13103,7671,169
2012-01-26$17.35$15.0033.2%9.5%22.1%26.5%33.2%-0.1%-0.9%122.0K-4.2M-9.5K0.6891.62N/AN/A75513,8541,169
2012-01-27$17.54$15.0034.9%10.0%20.3%29.0%35.4%12.2%-4.0%124.0K-4.4M-9.3K0.6585.77N/AN/A139913,8881,179
2012-01-30$17.23$15.0035.5%10.2%21.5%29.9%35.5%8.3%-2.6%125.0K-4.0M-10.2K4.1157.46N/AN/A271113,9831,261
2012-01-31$17.37$15.0035.4%10.1%20.9%29.7%35.4%0.5%-3.1%125.6K-4.2M-10.0K0.0073.30N/AN/A604,0051,311