CBL Options History — September 2012

In September 2012, CBL traded between $21.34 and $22.46. ATM implied volatility averaged 15.9%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.0% (HV 20d: 16.8%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2012-09-04: Highest Volume — 159 contracts
2012-09-06: Largest IV spike — 30.3% change
2012-09-18: Highest IV Rank — 12.2%
2012-09-10: Largest Expected Move — 5.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.98	$21.34	$22.46	$21.79	$21.34
Max Pain	$21.05	$17.50	$22.50	$17.50	$22.50
ATM IV	15.9%	11.4%	19.3%	13.3%	11.6%
Expected Move	4.8%	3.3%	5.9%	3.8%	3.3%
HV 20d	16.8%	14.5%	20.2%	14.8%	20.2%
HV 60d	18.1%	17.4%	18.9%	18.9%	17.5%
IV Rank	6.1%	0.0%	12.2%	0.0%	0.4%
IV Percentile	6.1%	0.0%	14.3%	0.0%	0.4%
Term Structure	6.6%	2.4%	12.2%	10.1%	11.8%
VWIV	17.9%	16.4%	20.3%	17.4%	17.6%
Skew 25d	2.1%	-5.9%	33.1%	7.1%	5.1%
Skew 10d	2.5%	-6.5%	43.5%	2.6%	3.8%
Call IV 25d	16.8%	10.9%	20.3%	11.3%	12.1%
Put IV 25d	18.9%	14.2%	51.5%	18.4%	17.2%
Bid-Ask Spread %	68.71	14.66	101.88	55.42	35.34
Gamma HHI	0.43	0.39	0.56	0.56	0.42
Net GEX	40.4K	26.6K	54.0K	43.8K	51.9K
Net DEX	-3.0M	-3.8M	-942.6K	-3.5M	-942.6K
Net VEX	-5.0K	-5.4K	-4.6K	-4.6K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.00	2.82	0.57	0.00
Total Volume	50.158	0	159	159	115
Total OI	2,750	1,654	3,189	2,927	1,738

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$21.79	$17.50	13.3%	3.8%	14.8%	0.0%	17.4%	7.1%	10.1%	43.8K	-3.5M	-4.6K	0.57	55.42	N/A	N/A	101	58	2,035	892
2012-09-05	$21.73	$17.50	12.6%	3.6%	14.5%	0.0%	0.0%	5.0%	9.1%	48.1K	-3.5M	-5.3K	2.82	89.90	N/A	N/A	11	31	2,102	950
2012-09-06	$22.10	$17.50	16.4%	4.7%	15.0%	6.9%	16.4%	1.8%	2.4%	41.6K	-3.7M	-4.9K	1.05	82.03	N/A	N/A	40	42	2,105	981
2012-09-07	$22.27	$20.00	17.4%	5.6%	14.9%	8.7%	0.0%	-2.6%	5.1%	31.3K	-3.8M	-5.1K	0.00	20.74	N/A	N/A	12	0	2,112	1,021
2012-09-10	$22.01	$20.00	18.2%	5.9%	16.0%	10.2%	0.0%	-5.4%	3.2%	41.6K	-3.6M	-5.2K	1.00	14.66	N/A	N/A	6	6	2,108	1,021
2012-09-11	$21.90	$20.00	13.6%	5.7%	16.0%	1.8%	0.0%	-5.9%	3.4%	36.5K	-3.6M	-5.1K	0.00	88.92	N/A	N/A	6	0	2,103	1,027
2012-09-12	$21.70	$20.00	13.9%	5.7%	16.5%	2.3%	0.0%	0.8%	3.5%	42.7K	-3.4M	-5.2K	0.00	94.34	N/A	N/A	8	0	2,098	1,027
2012-09-13	$21.94	$20.00	18.0%	5.2%	16.7%	9.9%	18.1%	-1.8%	5.6%	34.3K	-3.6M	-5.1K	1.86	101.88	N/A	N/A	7	13	2,102	1,027
2012-09-14	$22.46	$22.50	17.5%	5.0%	17.3%	9.0%	0.0%	-0.9%	6.1%	29.9K	-3.8M	-4.8K	0.60	40.54	N/A	N/A	20	12	2,109	1,040
2012-09-17	$22.25	$22.50	18.7%	5.4%	17.7%	11.1%	0.0%	-0.3%	5.0%	31.8K	-3.7M	-4.8K	0.38	37.20	N/A	N/A	53	20	2,110	1,050
2012-09-18	$22.16	$22.50	19.3%	5.5%	16.0%	12.2%	20.3%	-2.1%	4.3%	31.0K	-3.7M	-4.9K	0.00	59.10	N/A	N/A	3	0	2,118	1,070
2012-09-19	$22.28	$22.50	17.5%	5.0%	15.5%	8.9%	17.5%	-1.6%	6.7%	54.0K	-3.7M	-5.0K	0.20	82.85	N/A	N/A	10	2	2,119	1,070
2012-09-20	$21.99	$22.50	17.8%	5.1%	16.2%	9.4%	17.7%	-2.4%	6.1%	33.9K	-3.5M	-5.0K	0.02	90.81	N/A	N/A	44	1	2,111	1,072
2012-09-21	$22.38	$22.50	17.3%	5.0%	17.1%	8.6%	0.0%	-3.0%	6.8%	26.6K	-3.7M	-4.7K	1.90	88.92	N/A	N/A	21	40	2,081	1,073
2012-09-24	$22.32	$22.50	17.2%	4.9%	17.1%	8.4%	0.0%	33.1%	6.4%	40.8K	-1.3M	-4.7K	0.00	88.04	N/A	N/A	135	0	1,012	642
2012-09-25	$21.82	$22.50	15.1%	4.3%	19.2%	4.6%	17.6%	-0.7%	5.5%	49.5K	-1.3M	-5.4K	0.00	100.58	N/A	N/A	66	0	1,146	642
2012-09-26	$21.58	$22.50	14.8%	4.2%	19.7%	3.9%	0.0%	8.1%	12.2%	48.9K	-954.2K	-5.1K	0.00	98.16	N/A	N/A	0	0	1,026	642
2012-09-27	$21.61	$22.50	11.4%	3.3%	19.7%	0.0%	0.0%	5.8%	12.2%	49.4K	-975.6K	-5.1K	0.00	36.11	N/A	N/A	70	0	1,026	642
2012-09-28	$21.34	$22.50	11.6%	3.3%	20.2%	0.4%	0.0%	5.1%	11.8%	51.9K	-942.6K	-5.3K	0.00	35.34	N/A	N/A	115	0	1,096	642