CBL Options History — August 2012

In August 2012, CBL traded between $19.93 and $21.38. ATM implied volatility averaged 20.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.3% (HV 20d: 16.9%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-08-17: Highest Volume — 3,129 contracts
  • 2012-08-20: Largest IV spike — 67.9% change
  • 2012-08-08: Highest IV Rank — 20.9%
  • 2012-08-03: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.80$19.93$21.38$19.97$21.37
Max Pain$17.83$17.50$20.00$20.00$17.50
ATM IV20.2%13.4%25.8%20.3%19.3%
Expected Move5.8%3.8%7.0%5.8%5.5%
HV 20d16.9%13.5%18.9%17.2%13.5%
HV 60d22.6%19.4%26.2%25.8%19.4%
IV Rank11.2%0.0%20.9%9.2%10.9%
IV Percentile10.7%0.0%23.0%7.5%10.3%
Term Structure4.4%-0.0%11.4%2.1%6.3%
VWIV22.6%19.1%31.7%20.3%31.7%
Skew 25d9.5%-0.9%84.4%84.4%-0.9%
Skew 10d18.3%-3.0%132.3%132.3%-3.0%
Call IV 25d16.3%12.1%23.7%23.7%15.4%
Put IV 25d25.8%13.9%108.1%108.1%14.6%
Bid-Ask Spread %54.0412.9697.1479.2097.14
Gamma HHI0.870.700.980.980.74
Net GEX396.6K71.8K999.6K759.9K86.8K
Net DEX-5.8M-10.6M-2.7M-5.4M-3.1M
Net VEX-8.2K-13.6K-5.0K-13.6K-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.330.000.00
Total Volume175.39103,1293510
Total OI4,774.7392,6576,3816,1822,927

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$19.97$20.0020.3%5.8%17.2%9.2%20.3%84.4%2.1%759.9K-5.4M-13.6K0.0079.20N/AN/A3505,444738
2012-08-02$19.93$20.0022.9%6.6%16.7%12.9%0.0%-0.2%0.5%704.6K-5.1M-13.4K0.0073.02N/AN/A2005,451738
2012-08-03$20.42$20.0024.4%7.0%18.9%15.1%24.5%4.0%-0.0%630.0K-7.2M-12.5K1.5618.28N/AN/A36565,461738
2012-08-06$20.51$17.5023.0%6.5%18.9%13.1%22.2%6.4%4.4%684.0K-7.7M-11.3K1.0813.70N/AN/A12135,485794
2012-08-07$20.37$17.5024.7%6.6%17.6%15.5%22.9%5.3%3.1%725.5K-7.1M-11.7K0.0077.84N/AN/A5205,490807
2012-08-08$20.28$17.5025.8%6.6%17.6%20.9%19.1%4.2%3.3%740.0K-6.7M-11.7K0.0012.96N/AN/A205,495807
2012-08-09$20.25$17.5023.9%6.5%17.2%17.6%0.0%3.5%3.8%798.0K-7.0M-11.2K0.0013.39N/AN/A005,496807
2012-08-10$20.33$17.5019.2%6.4%17.1%10.0%22.2%3.2%4.1%999.6K-7.2M-10.6K0.5012.97N/AN/A1055,496807
2012-08-13$20.57$17.5018.7%6.1%17.5%9.0%20.7%34.9%6.0%692.8K-9.1M-8.0K2.3314.15N/AN/A15355,506812
2012-08-14$20.54$17.5017.8%6.6%17.5%7.3%0.0%6.5%3.7%654.6K-9.2M-7.7K0.0014.76N/AN/A005,496846
2012-08-15$20.68$17.5023.7%6.6%17.4%18.4%20.5%8.3%4.1%473.2K-9.6M-7.1K0.0092.90N/AN/A3005,496846
2012-08-16$21.08$17.5023.8%6.8%16.7%18.5%23.5%11.8%3.4%218.0K-10.3M-6.2K0.3156.53N/AN/A32105,503846
2012-08-17$21.29$17.5013.4%3.8%16.2%0.0%23.0%8.6%11.4%120.2K-10.6M-5.7K0.0033.79N/AN/A3,12635,525856
2012-08-20$20.89$17.5022.5%6.4%18.4%16.8%22.4%5.5%2.4%109.8K-2.7M-5.9K0.0644.04N/AN/A219131,910747
2012-08-21$21.20$17.5022.1%6.3%17.8%16.1%22.1%6.6%3.5%97.2K-3.0M-5.6K0.0060.26N/AN/A6401,932760
2012-08-22$21.07$17.5020.7%5.9%17.6%13.5%0.0%6.7%8.3%108.3K-2.9M-6.0K0.8659.83N/AN/A14121,988760
2012-08-23$21.13$17.5022.5%6.4%16.9%16.7%22.4%8.4%4.2%102.5K-3.0M-5.9K0.0573.57N/AN/A1911,992772
2012-08-24$21.29$17.5014.6%4.2%15.8%2.3%21.3%5.7%4.5%94.5K-3.1M-5.8K1.7776.56N/AN/A40711,992772
2012-08-27$21.38$17.5016.0%4.6%15.7%4.7%0.0%6.8%5.4%86.3K-3.1M-5.7K0.0096.33N/AN/A002,015843
2012-08-28$21.33$17.5013.9%4.0%15.8%1.0%0.0%-0.0%6.6%71.8K-3.3M-5.0K0.0043.43N/AN/A1002,015843
2012-08-29$21.33$17.5014.9%4.3%15.6%2.8%31.7%-0.1%5.9%89.2K-3.1M-5.7K0.9582.44N/AN/A20192,025843
2012-08-30$21.29$17.5016.4%4.7%15.6%5.6%0.0%-0.8%4.7%75.3K-3.3M-5.2K0.0095.74N/AN/A0302,035862
2012-08-31$21.37$17.5019.3%5.5%13.5%10.9%0.0%-0.9%6.3%86.8K-3.1M-5.8K0.0097.14N/AN/A1002,035892