CBL Options History — June 2012

In June 2012, CBL traded between $16.97 and $19.54. ATM implied volatility averaged 27.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 1.9% (HV 20d: 29.3%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.84.

Notable Days

  • 2012-06-22: Highest Volume — 3,014 contracts
  • 2012-06-11: Largest IV spike — 48.6% change
  • 2012-06-04: Highest IV Rank — 26.9%
  • 2012-06-08: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.18$16.97$19.54$17.10$19.54
Max Pain$16.55$15.00$17.50$17.50$17.50
ATM IV27.5%15.4%32.7%28.4%19.4%
Expected Move8.4%4.4%9.5%8.1%5.6%
HV 20d29.3%23.0%34.5%30.5%25.1%
HV 60d25.5%24.6%26.9%24.8%26.9%
IV Rank19.4%2.3%26.9%20.7%7.9%
IV Percentile25.3%1.2%44.8%24.6%6.0%
Term Structure3.2%0.5%14.5%3.0%7.0%
VWIV28.9%19.3%32.4%28.2%19.3%
Skew 25d14.5%-0.8%94.0%-0.8%94.0%
Skew 10d23.1%-1.3%124.1%-1.3%124.1%
Call IV 25d21.7%14.3%28.9%28.9%19.9%
Put IV 25d36.2%27.2%113.9%28.2%113.9%
Bid-Ask Spread %66.2615.5098.9819.8217.43
Gamma HHI0.660.400.970.640.97
Net GEX86.4K-7.9K355.9K17.4K355.9K
Net DEX-1.3M-4.4M300.1K101.7K-4.4M
Net VEX-9.6K-19.1K-6.1K-6.7K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.0018.942.490.09
Total Volume263.23853,014206134
Total OI4,416.1432,0056,2294,1766,229

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$17.10$17.5028.4%8.1%30.5%20.7%28.2%-0.8%3.0%17.4K101.7K-6.7K2.4919.82N/AN/A591472,9851,191
2012-06-04$16.97$15.0032.7%9.3%30.5%26.9%32.3%12.9%3.5%4.2K300.1K-6.5K0.3528.39N/AN/A66233,0141,328
2012-06-05$17.33$15.0030.3%9.1%31.8%23.4%0.0%13.9%3.9%3.4K-35.2K-6.9K0.6715.50N/AN/A15103,0201,324
2012-06-06$17.55$15.0030.1%8.9%32.3%23.2%0.0%16.3%4.1%5.6K-331.6K-7.0K0.3318.95N/AN/A30103,0271,334
2012-06-07$17.45$15.0027.3%8.5%32.3%19.2%0.0%15.6%4.0%-3.2K-190.0K-6.8K7.3316.83N/AN/A3223,0311,324
2012-06-08$18.00$15.0021.5%9.5%34.2%10.9%0.0%18.8%0.5%3.8K-992.7K-6.9K0.0051.24N/AN/A9003,0341,346
2012-06-11$17.73$15.0032.0%8.9%34.5%25.8%0.0%3.0%2.0%-7.9K-677.0K-6.7K3.6098.98N/AN/A10363,0311,346
2012-06-12$18.10$15.0021.0%9.3%33.5%10.2%0.0%12.9%0.5%13.9K-1.3M-6.1K2.5097.70N/AN/A4103,0411,324
2012-06-13$18.01$15.0021.7%9.3%33.6%11.2%32.4%15.2%1.1%9.0K-1.3M-6.1K1.2795.10N/AN/A40513,0451,334
2012-06-14$18.49$17.5031.9%9.1%34.5%25.7%0.0%13.7%2.5%33.3K-1.6M-6.2K0.0694.46N/AN/A211123,0551,334
2012-06-15$18.63$17.5031.0%8.9%29.3%24.5%31.3%12.8%2.5%44.6K-1.8M-6.8K0.4495.78N/AN/A90403,1851,345
2012-06-18$18.72$17.5030.5%8.7%27.4%23.7%30.7%10.2%1.3%45.5K-944.0K-7.0K0.0681.72N/AN/A727401,479526
2012-06-19$18.45$17.5028.3%8.1%26.9%20.5%28.4%7.1%2.4%78.5K-1.1M-8.4K0.2988.44N/AN/A80232,204563
2012-06-20$18.46$17.5030.1%8.6%26.6%23.2%29.6%8.1%0.5%77.5K-1.1M-8.7K18.9484.86N/AN/A163032,274586
2012-06-21$18.28$17.5030.4%8.7%26.8%23.6%0.0%5.8%1.2%67.0K-846.0K-9.6K0.0093.85N/AN/A4502,283817
2012-06-22$18.53$17.5029.0%8.3%27.0%21.5%0.0%8.8%1.5%77.7K-1.1M-10.2K0.0094.90N/AN/A3,01402,321817
2012-06-25$18.54$17.5029.4%8.4%27.0%22.1%0.0%7.9%1.6%234.6K-2.2M-16.0K0.2592.88N/AN/A415,335817
2012-06-26$18.61$17.5029.4%8.4%26.0%22.2%28.9%10.2%3.5%252.9K-2.3M-16.0K0.0089.33N/AN/A3005,339818
2012-06-27$18.44$17.5027.6%7.9%23.0%19.6%0.0%5.8%5.2%232.4K-2.3M-16.3K0.0094.77N/AN/A4105,331818
2012-06-28$18.76$17.5015.4%4.4%23.5%2.3%28.5%12.9%14.5%269.1K-2.9M-17.3K0.0020.46N/AN/A9105,366818
2012-06-29$19.54$17.5019.4%5.6%25.1%7.9%19.3%94.0%7.0%355.9K-4.4M-19.1K0.0917.43N/AN/A123115,411818