CBL Options History — October 2012

In October 2012, CBL traded between $21.10 and $22.37. ATM implied volatility averaged 20.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 3.8% (HV 20d: 17.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.97.

Notable Days

  • 2012-10-01: Highest Volume — 42 contracts
  • 2012-10-04: Largest IV spike — 70.5% change
  • 2012-10-26: Highest IV Rank — 34.7%
  • 2012-10-08: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.68$21.10$22.37$21.10$22.37
Max Pain$20.83$20.00$22.50$22.50$22.50
ATM IV20.9%11.3%26.7%15.8%26.2%
Expected Move6.4%3.2%7.7%4.5%7.5%
HV 20d17.1%13.9%20.6%20.6%15.4%
HV 60d17.1%16.4%17.7%17.7%16.6%
IV Rank21.1%0.0%34.7%7.9%33.5%
IV Percentile26.0%0.0%46.4%7.9%46.0%
Term Structure1.1%-3.4%11.6%11.1%-2.7%
VWIV21.5%14.1%26.2%14.1%26.2%
Skew 25d1.9%-4.3%6.4%2.8%1.4%
Skew 10d3.4%-5.1%22.3%2.3%2.2%
Call IV 25d21.3%12.5%25.8%15.1%25.8%
Put IV 25d23.2%17.9%29.6%17.9%27.1%
Bid-Ask Spread %59.1118.13100.0599.0395.06
Gamma HHI0.540.430.650.430.65
Net GEX74.3K57.1K95.8K57.1K93.3K
Net DEX-1.1M-1.5M-816.2K-816.2K-1.5M
Net VEX-4.8K-5.4K-4.1K-5.3K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.970.0013.0013.000.00
Total Volume13.7140424211
Total OI1,892.5711,8491,9361,8491,888

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$21.10$22.5015.8%4.5%20.6%7.9%14.1%2.8%11.1%57.1K-816.2K-5.3K13.0099.03N/AN/A3391,207642
2012-10-02$21.18$22.5017.3%5.0%19.2%10.5%16.4%4.5%10.2%57.6K-836.6K-5.4K1.0034.68N/AN/A441,207681
2012-10-03$21.29$22.5011.3%3.2%19.4%0.0%0.0%6.3%11.6%60.7K-938.4K-5.4K0.0035.41N/AN/A401,210678
2012-10-04$21.18$22.5019.3%5.5%18.2%17.1%18.7%5.4%6.8%58.6K-909.2K-5.4K0.0035.10N/AN/A301,210678
2012-10-05$21.44$20.0016.2%6.3%18.6%10.4%0.0%4.0%-0.5%65.6K-988.8K-5.2K0.0040.97N/AN/A3201,213678
2012-10-08$21.24$20.0016.7%7.7%18.4%11.4%0.0%4.7%-1.1%60.3K-863.7K-5.0K0.0026.94N/AN/A001,211678
2012-10-09$21.31$20.0016.0%6.3%18.5%9.9%0.0%5.1%0.4%63.3K-925.9K-5.1K0.0027.58N/AN/A001,211678
2012-10-10$21.23$20.0021.1%7.6%18.3%20.8%0.0%2.8%0.1%61.7K-853.8K-5.1K0.0081.74N/AN/A0101,211678
2012-10-11$21.44$20.0024.3%7.0%18.2%27.8%0.0%3.7%-2.6%64.3K-937.3K-5.1K0.0028.47N/AN/A1001,211688
2012-10-12$21.39$20.0021.3%6.1%15.7%21.2%22.0%5.6%0.4%65.1K-927.2K-5.0K0.0027.11N/AN/A3701,211688
2012-10-15$21.76$20.0019.4%5.6%16.9%17.5%23.2%6.4%-1.2%74.1K-1.1M-4.7K0.7781.18N/AN/A13101,232688
2012-10-16$22.10$20.0023.0%6.6%17.9%26.2%0.0%4.6%-0.7%91.5K-1.4M-4.6K0.0083.91N/AN/A1001,245683
2012-10-17$21.97$20.0023.0%6.6%17.9%26.2%0.0%-3.2%-1.2%84.0K-1.2M-4.7K0.6798.00N/AN/A321,245683
2012-10-18$22.19$20.0023.2%6.6%17.6%26.6%0.0%-3.4%-0.4%94.1K-1.4M-4.5K1.2099.12N/AN/A561,241684
2012-10-19$22.18$20.0022.9%6.6%16.4%26.0%22.9%-3.0%0.1%95.8K-1.4M-4.5K0.44100.05N/AN/A1671,246690
2012-10-22$22.07$20.0022.8%6.5%16.5%25.9%0.0%-1.4%-0.7%88.5K-1.3M-4.3K6.5098.16N/AN/A4261,201652
2012-10-23$21.93$20.0022.9%6.6%14.5%26.1%0.0%-4.3%0.3%82.2K-1.2M-4.6K0.0018.13N/AN/A301,205656
2012-10-24$22.11$20.0025.7%7.4%14.1%32.4%25.7%0.3%-2.8%82.7K-1.3M-4.6K10.0052.24N/AN/A2201,208656
2012-10-25$22.07$22.5024.8%7.1%14.1%30.3%24.8%-0.9%-1.0%82.1K-1.3M-4.5K0.0038.88N/AN/A401,208676
2012-10-26$21.83$22.5026.7%7.7%13.9%34.7%0.0%-1.8%-3.4%77.8K-1.2M-4.5K0.0039.49N/AN/A001,212676
2012-10-31$22.37$22.5026.2%7.5%15.4%33.5%26.2%1.4%-2.7%93.3K-1.5M-4.1K0.0095.06N/AN/A1101,212676