CBL Options History — December 2012

In December 2012, CBL traded between $20.79 and $22.63. ATM implied volatility averaged 21.3%, placing in the 28.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.9% (HV 20d: 15.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.35.

Notable Days

  • 2012-12-04: Highest Volume — 217 contracts
  • 2012-12-18: Largest IV spike — 61.2% change
  • 2012-12-28: Highest IV Rank — 46.7%
  • 2012-12-28: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.69$20.79$22.63$22.63$21.21
Max Pain$22.00$20.00$22.50$20.00$22.50
ATM IV21.3%12.5%27.6%17.4%25.7%
Expected Move6.2%3.6%7.9%5.0%7.4%
HV 20d15.4%11.1%18.0%17.9%11.9%
HV 60d16.5%15.3%17.7%17.7%15.7%
IV Rank28.6%3.3%46.7%17.6%41.2%
IV Percentile34.0%1.2%65.5%13.9%56.0%
Term Structure2.0%-5.0%10.6%2.2%2.7%
VWIV17.9%11.8%24.5%24.5%11.8%
Skew 25d12.6%-5.8%94.6%68.6%9.2%
Skew 10d18.8%-3.4%145.1%123.9%11.0%
Call IV 25d17.4%11.2%20.2%17.6%14.4%
Put IV 25d30.0%14.1%113.6%86.2%23.6%
Bid-Ask Spread %18.0911.5841.3713.2817.64
Gamma HHI0.800.620.900.860.80
Net GEX88.6K36.0K144.2K137.8K46.0K
Net DEX-1.1M-2.2M-232.7K-2.2M-385.7K
Net VEX-5.5K-6.6K-4.5K-6.5K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0012.500.020.00
Total Volume53.25021714376
Total OI2,519.651,5162,9222,6881,546

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$22.63$20.0017.4%5.0%17.9%17.6%0.0%68.6%2.2%137.8K-2.2M-6.5K0.0213.28N/AN/A14031,838850
2012-12-04$22.59$20.0018.6%5.3%17.7%21.0%0.0%9.7%0.9%139.9K-2.1M-6.6K0.0613.97N/AN/A205121,875853
2012-12-05$22.50$20.0018.1%5.2%17.7%19.3%24.5%1.1%2.0%143.4K-2.0M-6.4K0.8211.58N/AN/A38311,865865
2012-12-06$22.48$20.0019.3%5.5%17.5%22.8%19.3%1.0%1.3%139.1K-1.9M-6.6K0.0012.52N/AN/A0601,893896
2012-12-07$22.45$22.5017.1%5.7%17.2%16.4%0.0%94.6%2.1%137.5K-1.8M-6.6K12.5011.84N/AN/A4501,893955
2012-12-10$22.47$22.5018.4%5.6%17.2%20.2%19.5%0.1%2.9%144.2K-1.9M-6.4K0.0011.97N/AN/A8801,897955
2012-12-11$22.38$22.5018.8%5.7%17.2%21.5%0.0%-0.9%2.5%144.0K-1.8M-6.4K0.0016.97N/AN/A061,932955
2012-12-12$22.04$22.5018.1%5.5%18.0%19.6%0.0%-3.6%2.4%127.4K-1.4M-6.1K2.0017.20N/AN/A5101,932961
2012-12-13$21.76$22.5019.4%5.6%16.0%23.1%0.0%-3.5%2.7%93.5K-988.2K-5.5K0.0035.69N/AN/A9201,932961
2012-12-14$21.46$22.5017.6%5.0%15.8%17.9%0.0%-5.8%3.8%71.5K-803.3K-5.3K0.0041.37N/AN/A101,950961
2012-12-17$21.34$22.5012.5%3.6%15.5%3.3%14.2%13.5%10.6%90.0K-864.6K-5.5K0.2916.58N/AN/A2471,950961
2012-12-18$21.33$22.5020.1%5.8%15.5%25.3%0.0%3.1%3.1%61.8K-750.8K-5.0K0.1428.60N/AN/A2941,951968
2012-12-19$21.22$22.5027.2%7.8%15.3%45.7%0.0%7.5%-1.8%54.7K-709.8K-4.9K0.0014.99N/AN/A001,954968
2012-12-20$21.21$22.5024.8%7.1%15.2%38.7%0.0%4.7%0.8%47.9K-694.0K-4.9K0.0016.20N/AN/A001,909954
2012-12-21$21.13$22.5027.3%7.8%13.2%46.0%11.8%10.2%-5.0%44.6K-648.5K-4.8K3.7118.02N/AN/A17631,909954
2012-12-24$21.06$22.5025.4%7.3%13.0%40.3%0.0%10.4%1.2%38.5K-260.6K-4.5K0.3716.60N/AN/A27101,096420
2012-12-26$20.79$22.5025.7%7.4%12.6%41.2%0.0%9.7%2.1%36.0K-232.7K-4.5K1.6716.68N/AN/A6101,110430
2012-12-27$20.85$22.5026.6%7.6%12.2%43.9%0.0%10.4%2.2%36.6K-247.3K-4.6K0.0315.29N/AN/A3811,108440
2012-12-28$20.83$22.5027.6%7.9%11.1%46.7%0.0%11.3%0.9%36.9K-264.0K-4.6K0.0014.86N/AN/A801,106440
2012-12-31$21.21$22.5025.7%7.4%11.9%41.2%0.0%9.2%2.7%46.0K-385.7K-4.6K0.0017.64N/AN/A7601,106440