CBL Options History — February 2012

In February 2012, CBL traded between $16.99 and $18.58. ATM implied volatility averaged 30.6%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.4% (HV 20d: 24.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.15.

Notable Days

  • 2012-02-17: Highest Volume — 473 contracts
  • 2012-02-09: Largest IV drop — 23.6% change
  • 2012-02-07: Highest IV Rank — 37.2%
  • 2012-02-02: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.92$16.99$18.58$17.65$17.63
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV30.6%23.1%40.6%33.7%26.7%
Expected Move8.5%6.6%10.5%9.6%7.7%
HV 20d24.2%20.0%28.7%20.0%27.8%
HV 60d31.9%25.9%36.0%35.4%25.9%
IV Rank22.8%12.0%37.2%27.2%17.2%
IV Percentile30.4%8.7%60.7%46.0%15.9%
Term Structure1.4%-5.9%6.0%-2.3%1.2%
VWIV29.7%23.2%36.3%33.6%34.1%
Skew 25d12.8%-3.7%61.7%2.0%3.1%
Skew 10d21.8%-5.9%119.6%2.5%5.6%
Call IV 25d23.9%18.8%29.7%29.7%26.4%
Put IV 25d36.7%20.7%89.1%31.7%29.5%
Bid-Ask Spread %65.469.6692.6172.6971.61
Gamma HHI0.690.610.810.630.77
Net GEX153.0K118.4K328.5K128.8K157.1K
Net DEX-5.1M-6.1M-3.4M-4.6M-4.4M
Net VEX-9.7K-11.0K-8.6K-9.7K-10.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.007.007.000.73
Total Volume149.7214734057
Total OI5,853.95,3226,1305,3226,104

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-02-01$17.65$15.0033.7%9.6%20.0%27.2%33.6%2.0%-2.3%128.8K-4.6M-9.7K7.0072.69N/AN/A5354,0111,311
2012-02-02$18.21$15.0036.5%10.5%20.9%31.3%36.3%10.0%-5.9%122.8K-5.3M-8.6K0.1737.30N/AN/A293504,0111,329
2012-02-03$18.58$15.0038.1%9.0%21.4%33.7%28.6%6.5%2.2%120.0K-6.0M-9.2K0.4778.96N/AN/A74354,2881,379
2012-02-06$18.56$15.0033.2%9.3%21.0%26.6%27.5%5.0%0.8%124.8K-6.0M-8.9K0.0074.49N/AN/A2704,3141,412
2012-02-07$18.45$15.0040.6%9.2%20.9%37.2%31.4%3.8%1.8%121.7K-5.9M-9.1K0.0073.86N/AN/A5004,3251,412
2012-02-08$18.47$15.0039.5%9.6%21.0%35.7%33.2%5.0%0.2%122.0K-6.0M-9.2K0.0929.88N/AN/A402354,3491,412
2012-02-09$18.08$15.0030.2%8.7%23.4%22.2%30.1%9.8%2.5%138.3K-5.7M-9.6K0.7472.76N/AN/A50374,4981,425
2012-02-10$18.13$15.0033.0%9.4%21.1%26.2%32.9%11.7%1.2%136.8K-5.4M-9.6K0.009.66N/AN/A7304,3511,437
2012-02-13$18.55$15.0031.7%9.1%21.5%24.4%29.7%8.3%0.8%118.4K-6.1M-8.6K0.0082.88N/AN/A11604,4131,437
2012-02-14$18.02$15.0029.5%8.5%25.3%21.2%29.5%8.9%2.1%154.3K-5.6M-9.2K0.0059.46N/AN/A21204,4681,437
2012-02-15$17.80$15.0031.6%9.1%25.5%24.2%31.6%15.3%0.4%175.0K-5.3M-10.0K0.0039.00N/AN/A2104,6001,437
2012-02-16$17.75$15.0030.7%8.8%25.4%22.9%30.7%6.4%1.7%211.6K-5.3M-9.2K0.2936.53N/AN/A68204,6151,437
2012-02-17$17.54$15.0029.8%8.5%25.1%21.6%34.6%4.3%1.9%328.5K-5.0M-9.7K3.5979.29N/AN/A1033704,6831,447
2012-02-21$17.40$15.0026.0%7.4%25.3%16.1%26.0%0.5%1.1%140.5K-4.0M-10.2K0.4274.74N/AN/A230974,2091,474
2012-02-22$16.99$15.0023.1%6.6%26.9%12.0%23.2%-1.9%6.0%147.7K-3.4M-9.9K6.0067.66N/AN/A321924,3131,524
2012-02-23$17.21$15.0023.4%6.7%26.8%12.4%23.4%-3.7%4.2%150.7K-3.6M-10.6K0.7687.97N/AN/A74564,3061,666
2012-02-24$17.80$15.0024.4%7.0%28.7%13.8%24.4%53.2%2.9%148.7K-4.6M-11.0K0.1880.53N/AN/A55104,3471,706
2012-02-27$17.85$15.0024.2%6.9%28.5%13.6%24.2%45.9%3.8%159.3K-4.7M-10.7K0.0092.61N/AN/A8704,3891,706
2012-02-28$17.72$15.0026.7%7.6%27.8%17.1%0.0%61.7%0.9%153.4K-4.5M-10.7K2.5087.28N/AN/A8204,3901,706
2012-02-29$17.63$15.0026.7%7.7%27.8%17.2%34.1%3.1%1.2%157.1K-4.4M-10.7K0.7371.61N/AN/A33244,3781,726