CBL Options History — April 2012

In April 2012, CBL traded between $17.87 and $19.09. ATM implied volatility averaged 26.3%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 4.9% (HV 20d: 21.4%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.96.

Notable Days

  • 2012-04-30: Highest Volume — 150 contracts
  • 2012-04-04: Largest IV spike — 67.4% change
  • 2012-04-30: Highest IV Rank — 27.4%
  • 2012-04-30: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.55$17.87$19.09$19.09$18.63
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV26.3%14.0%33.1%14.0%33.1%
Expected Move7.8%4.0%9.5%4.0%9.5%
HV 20d21.4%18.8%24.1%21.0%22.6%
HV 60d23.4%22.6%24.1%22.7%22.8%
IV Rank17.7%0.3%27.4%0.3%27.4%
IV Percentile24.4%0.4%47.2%0.4%47.2%
Term Structure1.7%-3.7%10.4%10.3%-2.6%
VWIV30.4%28.4%32.3%30.2%28.4%
Skew 25d7.7%-7.4%18.6%14.2%11.1%
Skew 10d19.8%-1.9%83.4%9.1%76.9%
Call IV 25d21.9%13.7%30.6%13.7%21.2%
Put IV 25d29.6%19.9%39.9%27.9%32.3%
Bid-Ask Spread %64.4912.54100.1014.8330.45
Gamma HHI0.810.710.880.870.80
Net GEX80.6K58.6K100.8K96.7K87.4K
Net DEX-1.5M-2.1M-888.7K-2.0M-1.5M
Net VEX-10.2K-11.1K-9.4K-11.1K-9.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.0011.500.005.00
Total Volume31.5501505150
Total OI3,648.93,5073,7503,5073,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$19.09$17.5014.0%4.0%21.0%0.3%0.0%14.2%10.3%96.7K-2.0M-11.1K0.0014.83N/AN/A502,519988
2012-04-03$19.09$17.5015.3%4.4%18.8%2.1%0.0%13.0%9.1%100.8K-2.1M-10.7K0.0088.00N/AN/A002,524988
2012-04-04$18.74$17.5025.7%7.4%19.7%16.8%0.0%8.5%4.8%93.5K-1.8M-10.7K0.0016.18N/AN/A1202,519988
2012-04-05$18.57$17.5023.6%6.8%19.8%14.0%0.0%8.5%10.4%83.3K-1.6M-10.7K4.3812.54N/AN/A16702,531988
2012-04-09$18.27$17.5022.4%8.6%20.6%12.3%30.2%8.8%0.2%71.4K-1.2M-10.4K0.0098.53N/AN/A0212,5291,058
2012-04-10$17.87$17.5022.2%9.0%21.6%11.9%31.4%4.9%-1.8%58.6K-888.7K-10.1K0.0088.15N/AN/A0862,5291,079
2012-04-11$18.15$17.5024.6%8.5%20.5%15.3%29.7%7.1%2.3%60.4K-1.1M-10.5K11.50100.10N/AN/A4462,5291,113
2012-04-12$18.33$17.5030.8%8.8%19.6%24.2%0.0%4.4%0.2%68.1K-1.2M-10.5K0.0094.43N/AN/A902,5331,148
2012-04-13$18.44$17.5030.5%8.7%19.3%23.7%0.0%5.1%2.2%71.6K-1.4M-10.8K0.0095.47N/AN/A052,5421,148
2012-04-16$18.80$17.5021.3%6.1%20.0%10.6%0.0%4.4%-0.4%87.0K-1.7M-10.3K0.0094.67N/AN/A002,5421,143
2012-04-17$18.81$17.5025.0%7.2%19.8%15.9%0.0%5.1%0.3%89.6K-1.7M-10.3K0.0098.07N/AN/A902,5421,143
2012-04-18$18.33$17.5031.3%9.0%21.8%24.9%32.3%1.6%0.2%71.5K-1.3M-10.2K0.0096.73N/AN/A0312,5511,143
2012-04-19$18.21$17.5031.2%8.9%21.9%24.7%0.0%8.5%-1.2%61.0K-1.0M-9.7K0.0094.67N/AN/A002,5511,169
2012-04-20$18.63$17.5029.4%8.4%23.5%22.1%0.0%9.8%-0.1%85.0K-1.5M-9.8K0.0099.30N/AN/A102,5511,169
2012-04-23$18.34$17.5030.0%8.6%24.1%23.0%30.3%18.6%1.9%70.8K-1.2M-9.8K0.0831.57N/AN/A3732,5521,129
2012-04-24$18.65$17.5029.3%8.4%24.1%22.1%0.0%10.5%2.5%81.1K-1.5M-9.6K2.5032.27N/AN/A4102,5341,132
2012-04-25$18.80$17.5024.0%6.9%23.5%14.5%0.0%-7.4%-3.7%96.6K-1.7M-9.6K0.0136.31N/AN/A6912,5301,142
2012-04-26$18.72$17.5029.6%8.5%22.6%22.5%0.0%7.6%1.1%92.6K-1.6M-9.6K0.0035.30N/AN/A3602,5651,143
2012-04-27$18.63$17.5032.1%9.2%22.6%25.9%0.0%9.8%-1.1%85.8K-1.5M-9.7K5.0032.33N/AN/A152,6011,143
2012-04-30$18.63$17.5033.1%9.5%22.6%27.4%28.4%11.1%-2.6%87.4K-1.5M-9.4K0.0030.45N/AN/A01502,6021,148