CBL Options History — May 2012

In May 2012, CBL traded between $16.77 and $19.02. ATM implied volatility averaged 25.8%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.5% (HV 20d: 24.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2012-05-18: Highest Volume — 508 contracts
  • 2012-05-14: Largest IV spike — 48.1% change
  • 2012-05-18: Highest IV Rank — 26.7%
  • 2012-05-18: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.13$16.77$19.02$19.00$17.46
Max Pain$17.84$17.50$20.00$20.00$17.50
ATM IV25.8%17.6%32.6%18.4%29.0%
Expected Move7.5%5.0%9.3%5.3%8.3%
HV 20d24.2%19.2%29.9%23.5%29.9%
HV 60d23.1%21.0%25.0%22.8%24.7%
IV Rank17.0%5.4%26.7%6.6%21.7%
IV Percentile21.7%4.0%44.0%5.2%27.4%
Term Structure2.2%-0.5%5.9%1.3%0.3%
VWIV27.9%15.2%35.0%15.2%30.2%
Skew 25d3.3%-3.7%10.2%7.8%4.5%
Skew 10d11.6%-4.6%88.6%7.9%8.7%
Call IV 25d24.0%17.2%30.1%21.8%25.8%
Put IV 25d27.3%17.6%39.1%29.6%30.4%
Bid-Ask Spread %36.8712.81101.4318.4321.84
Gamma HHI0.710.400.870.840.66
Net GEX64.1K-15.9K125.1K108.4K26.8K
Net DEX-906.2K-1.9M640.0K-1.9M-376.1K
Net VEX-7.9K-9.3K-6.0K-9.3K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.0012.500.100.00
Total Volume64.773150813969
Total OI4,020.0913,8974,1603,9004,160

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$19.00$20.0018.4%5.3%23.5%6.6%15.2%7.8%1.3%108.4K-1.9M-9.3K0.1018.43N/AN/A126132,6021,298
2012-05-02$19.02$20.0020.0%5.7%23.5%8.8%0.0%4.0%5.9%106.0K-1.8M-8.9K0.0026.29N/AN/A4002,5971,300
2012-05-03$18.93$20.0017.6%5.0%22.6%5.4%0.0%-0.6%4.9%108.7K-1.7M-8.8K0.0026.57N/AN/A202,6071,300
2012-05-04$18.83$17.5022.3%6.4%22.4%12.0%0.0%-3.7%4.2%101.8K-1.6M-8.2K3.1896.21N/AN/A11352,6051,300
2012-05-07$18.87$17.5020.7%6.8%21.5%9.8%0.0%-2.5%2.9%104.9K-1.6M-8.3K0.0058.95N/AN/A402,6161,335
2012-05-08$18.77$17.5022.6%6.8%19.8%12.4%0.0%4.5%2.0%95.6K-1.5M-8.6K0.0047.64N/AN/A302,6201,335
2012-05-09$18.74$17.5025.4%8.9%19.2%16.5%31.1%5.7%-0.5%93.1K-1.5M-8.6K0.5968.33N/AN/A17102,6231,335
2012-05-10$18.95$17.5019.1%5.5%19.3%7.6%0.0%-3.1%5.6%125.1K-1.7M-7.9K0.1051.49N/AN/A3032,6381,345
2012-05-11$18.97$17.5019.0%5.5%19.3%7.4%0.0%4.7%4.5%117.5K-1.7M-8.3K0.0076.42N/AN/A0102,6681,347
2012-05-14$18.34$17.5028.2%8.1%21.8%20.4%0.0%7.2%0.5%71.5K-1.1M-8.0K0.04101.43N/AN/A2812,6681,357
2012-05-15$18.27$17.5028.5%8.2%21.8%20.8%0.0%-0.2%1.9%68.5K-973.9K-7.8K0.0032.18N/AN/A102,6961,357
2012-05-16$18.01$17.5030.0%8.6%20.4%23.0%30.3%-0.8%0.2%39.6K-755.4K-7.7K12.5026.61N/AN/A4502,6971,357
2012-05-17$17.18$17.5030.9%8.9%26.2%24.3%30.1%10.2%-0.2%-15.9K255.0K-6.5K1.7021.25N/AN/A20342,6971,333
2012-05-18$16.77$17.5032.6%9.3%25.4%26.7%35.0%9.0%2.2%1.8K640.0K-6.0K1.5321.57N/AN/A2013072,6921,367
2012-05-21$17.24$17.5030.0%8.6%27.6%23.1%30.0%-0.3%-0.3%21.6K-9.5K-7.0K0.0612.81N/AN/A160102,7301,183
2012-05-22$17.51$17.5028.0%8.0%27.5%20.2%28.0%2.2%2.7%35.9K-293.4K-7.5K0.4415.90N/AN/A70312,8431,193
2012-05-23$17.66$17.5029.0%8.3%27.5%21.6%0.0%5.7%1.8%42.8K-464.6K-7.7K0.0015.04N/AN/A8002,8661,193
2012-05-24$17.56$17.5028.4%8.1%27.5%20.8%0.0%2.5%2.7%38.7K-447.7K-8.0K0.0018.01N/AN/A2102,9461,193
2012-05-25$17.54$17.5029.1%8.3%27.5%21.7%21.4%2.6%2.0%39.0K-433.0K-7.9K0.0017.96N/AN/A1002,9611,193
2012-05-29$17.93$17.5030.7%8.8%28.9%24.0%0.0%7.7%0.6%57.1K-846.5K-7.9K0.0017.32N/AN/A602,9511,191
2012-05-30$17.35$17.5027.2%7.8%29.7%19.1%27.2%4.7%2.3%21.7K-219.6K-7.1K0.0018.93N/AN/A1802,9561,191
2012-05-31$17.46$17.5029.0%8.3%29.9%21.7%30.2%4.5%0.3%26.8K-376.1K-7.5K0.0021.84N/AN/A6902,9691,191