CBL Options History — March 2012

In March 2012, CBL traded between $17.42 and $19.32. ATM implied volatility averaged 22.4%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 1.4% (HV 20d: 23.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 5.18.

Notable Days

  • 2012-03-14: Highest Volume — 1,357 contracts
  • 2012-03-14: Largest IV spike — 83.2% change
  • 2012-03-14: Highest IV Rank — 20.1%
  • 2012-03-07: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.36$17.42$19.32$17.86$18.92
Max Pain$17.27$15.00$17.50$15.00$17.50
ATM IV22.4%13.8%28.7%25.2%15.8%
Expected Move6.8%4.0%8.5%7.2%4.5%
HV 20d23.8%19.2%27.6%27.6%21.2%
HV 60d24.3%22.7%25.6%25.3%22.7%
IV Rank11.3%0.0%20.1%15.0%2.8%
IV Percentile11.1%0.0%23.8%13.5%2.0%
Term Structure4.3%-1.0%12.3%2.1%8.2%
VWIV26.2%17.9%28.9%24.7%17.9%
Skew 25d8.6%0.6%48.6%48.6%11.7%
Skew 10d11.0%0.8%124.9%124.9%7.6%
Call IV 25d19.2%12.0%24.2%23.6%15.6%
Put IV 25d27.8%15.5%72.2%72.2%27.2%
Bid-Ask Spread %88.4428.31119.5075.3892.62
Gamma HHI0.770.510.870.750.87
Net GEX134.0K72.8K286.1K163.4K96.5K
Net DEX-3.6M-5.9M-1.7M-4.8M-2.0M
Net VEX-10.4K-11.3K-8.7K-10.6K-11.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.180.00100.000.100.00
Total Volume135.409101,3575312
Total OI5,004.9553,3206,6806,1383,495

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$17.86$15.0025.2%7.2%27.6%15.0%0.0%48.6%2.1%163.4K-4.8M-10.6K0.1075.38N/AN/A4854,4001,738
2012-03-02$17.81$15.0024.8%7.1%25.1%14.3%24.7%0.6%2.5%170.3K-4.7M-10.4K0.0083.25N/AN/A2604,3881,743
2012-03-05$18.04$17.5024.0%8.2%24.4%13.2%28.6%4.7%0.5%169.3K-5.1M-9.9K0.0080.07N/AN/A2604,4061,743
2012-03-06$17.64$17.5028.3%8.1%25.5%19.4%0.0%0.8%3.4%178.2K-4.4M-10.3K100.0085.62N/AN/A22004,4101,743
2012-03-07$17.94$17.5026.9%8.5%26.4%17.4%0.0%4.8%-0.2%167.3K-4.9M-9.9K1.7973.79N/AN/A28504,4101,782
2012-03-08$17.80$17.5024.7%7.7%26.4%14.2%27.0%3.5%4.2%194.2K-4.7M-9.9K0.3786.13N/AN/A27104,4181,782
2012-03-09$17.67$17.5021.7%7.4%25.5%10.0%0.0%3.0%5.5%237.5K-4.5M-9.8K0.0086.50N/AN/A2504,4361,792
2012-03-12$17.42$17.5022.6%7.3%25.9%11.3%0.0%7.5%4.8%286.1K-3.9M-9.3K0.0892.48N/AN/A130104,4311,792
2012-03-13$17.86$17.5015.7%7.8%26.2%1.3%27.1%4.2%1.3%221.1K-5.3M-8.9K0.7087.96N/AN/A50354,4311,802
2012-03-14$18.21$17.5028.7%8.2%25.1%20.1%28.7%8.2%-0.4%99.6K-5.7M-8.7K0.0098.34N/AN/A1,35704,4161,834
2012-03-15$18.40$17.5028.0%8.0%24.9%19.1%0.0%8.2%0.5%82.3K-5.7M-10.4K0.0097.75N/AN/A1604,8401,834
2012-03-16$18.64$17.5027.8%8.0%25.1%18.8%0.0%11.8%0.4%107.5K-5.9M-10.7K0.1699.05N/AN/A194324,8461,834
2012-03-19$18.79$17.5015.6%4.5%24.6%1.1%28.9%12.6%9.5%73.1K-1.8M-10.6K0.1290.18N/AN/A4962,390930
2012-03-20$18.74$17.5026.1%7.5%24.4%16.2%0.0%9.5%2.5%72.8K-1.7M-10.4K0.0093.09N/AN/A1502,412936
2012-03-21$18.67$17.5026.9%7.7%22.3%17.4%0.0%6.5%0.3%73.5K-1.7M-10.7K0.0099.20N/AN/A29002,427936
2012-03-22$18.63$17.5027.5%7.9%22.2%18.3%27.0%7.3%-1.0%83.2K-1.7M-11.2K0.4599.55N/AN/A1152,639936
2012-03-23$18.69$17.5021.3%6.1%19.2%9.4%17.9%2.1%12.3%86.6K-1.8M-11.1K1.67119.50N/AN/A12202,650936
2012-03-26$19.01$17.5015.6%4.5%19.9%1.1%0.0%3.5%12.1%94.5K-2.1M-10.9K0.0088.93N/AN/A20502,642956
2012-03-27$19.32$17.5013.8%4.0%20.0%0.0%0.0%11.1%10.1%102.1K-2.5M-11.3K0.0095.21N/AN/A4702,668956
2012-03-28$18.96$17.5017.0%4.9%21.4%4.5%0.0%8.8%7.5%95.0K-2.0M-11.1K3.3392.68N/AN/A6202,508956
2012-03-29$18.98$17.5015.9%4.6%21.1%3.0%0.0%10.7%8.7%93.6K-1.9M-11.1K0.0028.31N/AN/A1002,509976
2012-03-30$18.92$17.5015.8%4.5%21.2%2.8%0.0%11.7%8.2%96.5K-2.0M-11.0K0.0092.62N/AN/A0122,519976