CBL Options History — July 2012

In July 2012, CBL traded between $18.74 and $20.25. ATM implied volatility averaged 24.8%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 3.1% (HV 20d: 21.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.95.

Notable Days

  • 2012-07-09: Highest Volume — 763 contracts
  • 2012-07-12: Largest IV spike — 30.1% change
  • 2012-07-25: Highest IV Rank — 25.9%
  • 2012-07-25: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.55$18.74$20.25$19.85$19.73
Max Pain$19.64$17.50$20.00$17.50$20.00
ATM IV24.8%17.4%32.0%20.9%19.1%
Expected Move7.5%5.5%9.2%6.0%5.5%
HV 20d21.7%16.6%24.7%24.7%16.6%
HV 60d25.8%25.1%27.0%27.0%25.7%
IV Rank15.6%5.0%25.9%10.1%7.5%
IV Percentile18.3%4.0%44.8%7.1%5.6%
Term Structure0.3%-3.7%8.6%5.6%5.8%
VWIV25.1%19.1%31.4%21.0%19.1%
Skew 25d12.8%-4.3%99.7%87.2%99.7%
Skew 10d26.2%-6.4%136.8%128.6%136.8%
Call IV 25d24.8%18.5%30.1%22.4%20.4%
Put IV 25d37.6%19.2%120.0%109.6%120.0%
Bid-Ask Spread %71.8814.23100.7614.2317.04
Gamma HHI0.970.960.990.970.99
Net GEX404.0K308.3K718.7K380.8K718.7K
Net DEX-4.3M-6.4M-2.3M-5.3M-4.1M
Net VEX-16.0K-19.6K-12.4K-19.6K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.0021.500.100.05
Total Volume80.81076322169
Total OI6,215.4296,0226,5106,3476,063

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$19.85$17.5020.9%6.0%24.7%10.1%21.0%87.2%5.6%380.8K-5.3M-19.6K0.1014.23N/AN/A2025,518829
2012-07-03$19.89$17.5021.1%6.0%24.3%10.3%31.4%2.5%5.4%392.1K-5.4M-19.3K0.0015.34N/AN/A2305,538831
2012-07-05$20.11$17.5019.2%5.5%24.3%7.7%19.2%-4.3%8.6%386.6K-6.0M-19.0K1.87100.76N/AN/A46865,548831
2012-07-06$20.14$20.0017.4%7.7%23.9%5.0%0.0%12.5%0.1%393.9K-6.0M-19.2K0.0035.25N/AN/A0125,591913
2012-07-09$20.25$20.0020.5%8.0%22.2%9.5%27.9%13.3%-0.9%390.7K-6.4M-18.6K0.0121.41N/AN/A753105,591919
2012-07-10$19.87$20.0021.4%8.1%22.7%10.8%0.0%8.9%-1.2%343.7K-4.9M-17.3K0.3496.45N/AN/A29105,093929
2012-07-11$19.76$20.0022.4%8.2%22.3%12.2%0.0%7.5%-1.5%365.6K-4.8M-17.7K0.0096.70N/AN/A805,339934
2012-07-12$19.58$20.0029.1%8.3%22.6%21.8%0.0%7.3%-1.6%352.8K-4.5M-17.3K0.0096.45N/AN/A02505,339934
2012-07-13$19.52$20.0028.1%8.1%21.1%20.3%28.1%6.4%-0.8%364.4K-4.2M-16.9K0.0695.99N/AN/A3525,339884
2012-07-16$19.54$20.0029.1%8.3%21.1%21.7%0.0%-1.6%-0.9%372.7K-4.4M-16.5K0.0098.25N/AN/A005,364886
2012-07-17$19.57$20.0028.5%8.2%21.0%20.8%0.0%6.7%-1.3%385.5K-4.4M-16.3K0.1095.74N/AN/A4855,364886
2012-07-18$19.49$20.0028.1%8.1%20.3%20.3%0.0%5.9%-1.8%389.3K-4.0M-15.6K0.0095.33N/AN/A1005,360891
2012-07-19$19.17$20.0027.4%7.8%21.4%19.3%0.0%4.5%-1.7%367.7K-3.2M-14.7K0.0097.13N/AN/A0105,370890
2012-07-20$19.04$20.0026.8%7.7%21.2%18.4%0.0%3.6%-2.0%365.2K-3.0M-14.3K21.5098.61N/AN/A2435,370900
2012-07-23$19.11$20.0025.1%7.2%20.8%16.0%0.0%6.8%0.9%394.8K-2.9M-13.7K0.4580.07N/AN/A1155,314722
2012-07-24$18.91$20.0027.2%7.8%21.2%19.0%0.0%1.4%-3.7%347.1K-2.5M-13.2K0.0099.70N/AN/A0105,321727
2012-07-25$18.74$20.0032.0%9.2%21.5%25.9%0.0%2.6%0.6%308.3K-2.3M-12.4K0.0098.98N/AN/A005,321722
2012-07-26$19.10$20.0028.0%8.0%22.1%20.2%29.4%-3.8%-3.0%398.2K-3.0M-13.3K0.0030.16N/AN/A3605,321722
2012-07-27$19.51$20.0025.3%7.3%22.5%16.3%25.4%-1.3%-1.2%498.2K-3.8M-14.0K1.0030.86N/AN/A555,337722
2012-07-30$19.69$20.0024.5%7.0%17.6%15.2%24.5%2.3%0.6%567.9K-4.3M-13.7K3.7394.95N/AN/A11415,332719
2012-07-31$19.73$20.0019.1%5.5%16.6%7.5%19.1%99.7%5.8%718.7K-4.1M-13.2K0.0517.04N/AN/A16185,333730