CBL Options History — November 2012

In November 2012, CBL traded between $21.41 and $22.81. ATM implied volatility averaged 23.1%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.9% (HV 20d: 17.2%). 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 16 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2012-11-12: Highest Volume — 250 contracts
  • 2012-11-07: Largest IV drop — 26.4% change
  • 2012-11-06: Highest IV Rank — 55.0%
  • 2012-11-02: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.14$21.41$22.81$22.68$22.51
Max Pain$20.24$20.00$22.50$22.50$20.00
ATM IV23.1%18.2%35.8%26.9%19.3%
Expected Move6.1%5.2%8.2%7.7%5.5%
HV 20d17.2%15.4%19.7%15.8%17.9%
HV 60d17.1%16.5%17.9%16.8%17.7%
IV Rank26.7%15.5%55.0%35.1%19.1%
IV Percentile34.9%16.7%82.1%48.8%21.4%
Term Structure1.2%-5.0%3.9%-3.2%0.9%
VWIV20.6%13.6%28.7%28.7%19.3%
Skew 25d2.1%-4.8%28.8%28.8%1.1%
Skew 10d5.2%-5.4%49.7%49.7%1.7%
Call IV 25d19.2%15.5%26.5%22.5%18.1%
Put IV 25d21.3%14.2%51.3%51.3%19.2%
Bid-Ask Spread %18.2410.1542.6717.0811.36
Gamma HHI0.680.490.820.680.79
Net GEX99.1K49.7K167.4K94.7K127.1K
Net DEX-1.3M-2.0M-617.8K-1.7M-2.0M
Net VEX-4.6K-6.6K-3.6K-3.9K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.009.000.000.91
Total Volume90.333125032105
Total OI2,186.0951,8132,5831,8982,583

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$22.68$22.5026.9%7.7%15.8%35.1%0.0%28.8%-3.2%94.7K-1.7M-3.9K0.0017.08N/AN/A3201,222676
2012-11-02$22.58$22.5028.7%8.2%16.1%39.0%28.7%4.1%-5.0%92.7K-1.7M-4.2K0.3814.92N/AN/A133501,254676
2012-11-05$22.76$20.0029.9%6.7%15.9%41.9%23.3%10.7%2.4%103.5K-1.8M-4.2K2.1032.28N/AN/A29611,306726
2012-11-06$22.81$20.0035.8%7.3%15.5%55.0%26.9%1.1%2.1%92.5K-1.8M-4.5K0.1842.67N/AN/A125231,333766
2012-11-07$22.63$20.0026.3%6.5%15.4%33.7%22.7%10.3%2.7%120.4K-1.8M-4.6K2.2420.74N/AN/A21471,457789
2012-11-08$22.43$20.0024.6%6.3%16.0%30.0%0.0%1.6%3.7%129.4K-1.6M-4.5K0.0026.40N/AN/A401,448805
2012-11-09$22.40$20.0023.4%6.3%15.9%27.1%0.0%2.1%3.8%137.6K-1.5M-4.4K1.8026.88N/AN/A10181,444805
2012-11-12$22.28$20.0023.9%6.1%15.9%28.4%18.5%0.6%2.9%155.4K-1.4M-4.2K0.0124.86N/AN/A24731,454823
2012-11-13$22.32$20.0024.1%6.0%15.8%28.7%20.8%1.6%3.4%167.4K-1.4M-4.4K0.0011.73N/AN/A011,440826
2012-11-14$21.74$20.0026.2%6.0%17.7%33.5%21.0%-3.8%3.9%95.1K-828.8K-4.1K0.7529.57N/AN/A20151,440827
2012-11-15$21.41$20.0021.1%6.1%17.5%22.1%25.9%4.1%2.9%66.6K-617.8K-4.1K9.0013.54N/AN/A4361,445828
2012-11-16$21.61$20.0020.5%5.9%17.9%20.6%20.6%3.8%2.4%83.0K-720.7K-3.9K1.8015.26N/AN/A591,445829
2012-11-19$21.68$20.0019.0%5.4%17.5%17.2%19.2%-4.1%-0.3%49.7K-804.1K-3.6K0.1411.92N/AN/A4261,056757
2012-11-20$21.50$20.0018.8%5.4%17.7%16.9%18.3%-4.8%0.7%52.0K-738.1K-3.7K0.0011.46N/AN/A12301,098763
2012-11-21$21.58$20.0018.4%5.3%17.7%15.9%13.6%-3.6%0.6%57.1K-842.7K-4.0K0.3315.33N/AN/A95311,171763
2012-11-23$22.01$20.0018.2%5.2%19.0%15.5%18.2%-2.3%1.1%64.7K-1.0M-4.4K0.0810.70N/AN/A125101,216788
2012-11-26$22.10$20.0020.3%5.8%18.9%20.2%16.4%-2.2%0.6%79.8K-1.2M-4.7K0.0112.88N/AN/A21321,341798
2012-11-27$21.76$20.0020.5%5.9%19.7%20.7%20.6%-2.9%-0.2%82.7K-1.3M-5.8K0.0012.04N/AN/A22801,552800
2012-11-28$21.94$20.0020.4%5.8%19.5%20.4%16.8%-2.8%-0.1%110.3K-1.6M-6.6K0.0011.32N/AN/A2001,775800
2012-11-29$22.19$20.0019.3%5.5%17.8%19.1%0.0%0.5%0.7%120.2K-1.8M-6.5K0.0010.15N/AN/A041,783800
2012-11-30$22.51$20.0019.3%5.5%17.9%19.1%19.3%1.1%0.9%127.1K-2.0M-6.5K0.9111.36N/AN/A55501,783800