CBL Options History — January 2013

In January 2013, CBL traded between $20.90 and $21.90. ATM implied volatility averaged 18.9%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.0% (HV 20d: 16.9%). 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 5 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2013-01-24: Highest Volume — 411 contracts
  • 2013-01-28: Largest IV spike — 75.2% change
  • 2013-01-22: Highest IV Rank — 48.1%
  • 2013-01-14: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.45$20.90$21.90$21.76$21.49
Max Pain$21.90$20.00$22.50$22.50$22.50
ATM IV18.9%9.8%26.2%13.5%19.1%
Expected Move5.9%3.2%7.5%3.9%5.5%
HV 20d16.9%15.0%18.2%15.4%15.0%
HV 60d16.5%15.9%17.1%16.5%16.0%
IV Rank26.2%0.0%48.1%6.3%30.0%
IV Percentile28.2%0.0%61.9%2.8%27.4%
Term Structure1.2%-3.3%14.6%14.6%-3.3%
VWIV21.4%17.3%24.9%17.3%22.8%
Skew 25d4.1%-4.7%12.9%7.7%-4.7%
Skew 10d4.9%-5.1%27.5%0.8%-5.1%
Call IV 25d19.0%9.8%22.8%9.8%22.5%
Put IV 25d23.0%17.4%27.1%17.4%17.8%
Bid-Ask Spread %18.318.1325.988.5120.35
Gamma HHI0.630.500.810.810.56
Net GEX51.7K22.5K93.1K74.7K41.8K
Net DEX-625.1K-1.0M-247.4K-642.6K-578.3K
Net VEX-6.4K-7.4K-5.0K-5.0K-7.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.003.330.270.00
Total Volume99.19041118317
Total OI2,174.2861,6062,6551,6062,438

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$21.76$22.5013.5%3.9%15.4%6.3%17.3%7.7%14.6%74.7K-642.6K-5.0K0.278.51N/AN/A144391,166440
2013-01-03$21.78$22.5014.8%4.3%15.5%10.1%0.0%6.5%11.7%80.1K-763.8K-5.5K0.008.13N/AN/A12801,256475
2013-01-04$21.83$20.009.8%6.6%15.5%0.0%0.0%7.2%-0.5%86.9K-835.5K-5.7K0.0015.26N/AN/A9201,344475
2013-01-07$21.90$20.0016.4%6.5%15.6%18.0%22.7%5.6%-0.4%93.1K-1.0M-6.0K0.0015.59N/AN/A4001,394475
2013-01-08$21.68$20.0013.0%6.4%15.9%8.6%0.0%3.7%-0.1%76.3K-844.0K-5.8K0.2417.55N/AN/A168411,434475
2013-01-09$21.79$20.0013.8%6.4%16.1%10.8%22.4%5.1%-0.6%84.6K-786.5K-5.7K1.8815.57N/AN/A16301,391516
2013-01-10$21.39$20.0023.2%6.7%17.1%36.8%24.9%3.1%-1.0%49.2K-570.8K-5.7K0.5315.02N/AN/A102541,407546
2013-01-11$21.00$22.5024.6%7.1%17.5%40.7%19.8%4.3%-0.4%26.3K-335.5K-5.7K2.0721.16N/AN/A15311,502600
2013-01-14$20.90$22.5026.2%7.5%17.1%45.1%0.0%2.9%-1.4%22.5K-247.4K-5.7K0.0520.47N/AN/A11061,517631
2013-01-15$21.25$22.5025.4%7.3%17.7%42.8%0.0%3.5%-0.7%37.8K-537.4K-6.5K1.1819.74N/AN/A11131,627637
2013-01-16$21.28$22.5021.0%6.0%17.6%30.8%22.4%2.5%-0.1%38.7K-574.3K-6.4K0.9722.70N/AN/A1941891,638637
2013-01-17$21.18$22.5024.1%6.9%17.7%39.3%19.9%2.7%-1.3%37.4K-528.9K-7.3K0.0225.98N/AN/A5411,830825
2013-01-18$21.10$22.5022.8%6.5%17.6%36.7%21.0%1.4%1.0%35.4K-438.7K-7.1K0.0025.64N/AN/A3001,828826
2013-01-22$21.10$22.5024.6%7.1%17.6%48.1%0.0%10.2%-1.3%35.4K-532.9K-6.8K0.0016.58N/AN/A081,481766
2013-01-23$21.30$22.5011.2%3.2%17.9%4.4%0.0%12.9%8.0%40.8K-619.3K-6.8K0.0015.21N/AN/A001,481774
2013-01-24$21.28$22.5017.1%4.9%17.9%23.6%0.0%4.2%-2.3%42.3K-613.4K-6.7K0.7922.67N/AN/A2291821,481774
2013-01-25$21.33$22.5012.4%3.5%17.1%8.2%0.0%11.6%7.3%31.0K-431.9K-7.2K0.0020.49N/AN/A0151,430934
2013-01-28$21.72$22.5021.6%6.2%18.2%38.4%0.0%-2.5%-2.1%47.7K-696.9K-7.2K0.0016.45N/AN/A1601,430949
2013-01-29$21.79$22.5021.0%6.0%18.1%36.2%0.0%-1.4%-1.6%54.9K-775.6K-7.1K0.3617.12N/AN/A70251,446949
2013-01-30$21.69$22.5020.8%6.0%17.3%35.5%20.8%-1.1%-0.6%48.6K-730.8K-7.4K3.3324.36N/AN/A3101,466969
2013-01-31$21.49$22.5019.1%5.5%15.0%30.0%22.8%-4.7%-3.3%41.8K-578.3K-7.2K0.0020.35N/AN/A1701,469969