CBL Options History — February 2013

In February 2013, CBL traded between $21.83 and $22.80. ATM implied volatility averaged 16.6%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.2% (HV 20d: 14.4%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2013-02-06: Highest Volume — 254 contracts
2013-02-06: Largest IV drop — 32.3% change
2013-02-05: Highest IV Rank — 51.3%
2013-02-04: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.24	$21.83	$22.80	$21.83	$22.74
Max Pain	$22.50	$22.50	$22.50	$22.50	$22.50
ATM IV	16.6%	13.8%	25.6%	18.3%	14.8%
Expected Move	4.6%	3.9%	5.8%	5.3%	4.3%
HV 20d	14.4%	12.1%	17.2%	16.1%	17.1%
HV 60d	15.7%	15.0%	16.4%	16.2%	15.8%
IV Rank	23.8%	15.1%	51.3%	27.5%	19.3%
IV Percentile	17.0%	5.2%	64.3%	23.0%	9.1%
Term Structure	2.0%	-0.6%	3.9%	0.7%	2.2%
VWIV	16.3%	13.8%	20.2%	18.6%	14.8%
Skew 25d	23.8%	-1.4%	71.7%	5.4%	0.4%
Skew 10d	36.8%	-2.4%	96.8%	16.4%	3.4%
Call IV 25d	16.2%	14.3%	18.9%	17.8%	17.1%
Put IV 25d	40.0%	14.6%	88.4%	23.2%	17.5%
Bid-Ask Spread %	13.86	8.06	20.26	12.92	15.79
Gamma HHI	0.81	0.63	0.88	0.63	0.84
Net GEX	141.5K	59.9K	192.2K	59.9K	192.2K
Net DEX	-1.3M	-2.0M	-835.4K	-835.4K	-2.0M
Net VEX	-6.4K	-7.4K	-5.4K	-7.1K	-5.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	4.80	0.00	0.00
Total Volume	55.842	2	254	4	11
Total OI	2,622.105	2,455	2,755	2,455	2,614

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
2013-02-01	$21.83	$22.50	18.3%	5.3%	16.1%	27.5%	18.6%	5.4%	0.7%	59.9K	-835.4K	-7.1K	0.00	12.92	N/A	N/A	4	0	1,486	969
2013-02-04	$21.85	$22.50	23.9%	5.8%	16.1%	45.8%	20.2%	4.5%	-0.6%	63.5K	-870.1K	-7.0K	0.18	20.22	N/A	N/A	164	30	1,490	969
2013-02-05	$21.95	$22.50	25.6%	5.4%	16.1%	51.3%	18.0%	5.4%	1.0%	85.0K	-1.0M	-7.4K	0.18	19.41	N/A	N/A	17	3	1,653	999
2013-02-06	$22.26	$22.50	17.3%	4.6%	16.4%	24.4%	16.2%	6.5%	2.7%	120.5K	-1.3M	-6.8K	0.06	19.30	N/A	N/A	239	15	1,657	999
2013-02-07	$22.24	$22.50	16.7%	4.8%	16.3%	22.3%	16.7%	-0.9%	2.1%	125.0K	-1.3M	-7.2K	0.00	9.61	N/A	N/A	24	0	1,698	1,014
2013-02-08	$22.16	$22.50	16.5%	4.7%	14.7%	21.7%	16.4%	-1.4%	2.6%	122.7K	-1.2M	-7.0K	2.00	10.35	N/A	N/A	5	10	1,701	1,014
2013-02-11	$22.27	$22.50	17.3%	4.9%	12.7%	25.0%	0.0%	-0.7%	1.4%	129.6K	-1.3M	-6.9K	0.00	8.06	N/A	N/A	55	0	1,701	1,020
2013-02-12	$22.42	$22.50	14.0%	4.0%	12.4%	16.1%	14.0%	46.1%	3.9%	189.8K	-1.5M	-6.5K	0.11	9.01	N/A	N/A	111	12	1,728	1,020
2013-02-13	$22.17	$22.50	15.0%	4.3%	12.4%	20.0%	0.0%	-0.5%	3.0%	153.4K	-1.2M	-6.5K	0.00	10.18	N/A	N/A	2	0	1,725	1,030
2013-02-14	$22.18	$22.50	15.3%	4.4%	12.4%	20.9%	0.0%	-0.5%	2.3%	150.7K	-1.1M	-6.4K	0.00	11.61	N/A	N/A	0	20	1,688	1,025
2013-02-15	$22.30	$22.50	13.9%	4.0%	12.2%	15.6%	0.0%	52.4%	3.8%	187.5K	-1.3M	-6.1K	0.00	12.35	N/A	N/A	9	0	1,688	1,025
2013-02-19	$22.49	$22.50	13.8%	3.9%	12.1%	15.1%	13.8%	50.6%	2.9%	172.2K	-1.5M	-5.8K	2.27	11.20	N/A	N/A	11	25	1,584	926
2013-02-20	$22.41	$22.50	15.6%	4.5%	12.3%	22.1%	0.0%	54.2%	1.8%	155.8K	-1.4M	-6.0K	4.80	15.27	N/A	N/A	5	24	1,594	929
2013-02-21	$22.10	$22.50	15.4%	4.4%	13.5%	21.5%	15.5%	64.4%	1.3%	141.7K	-1.1M	-5.9K	0.10	14.13	N/A	N/A	50	5	1,599	945
2013-02-22	$22.29	$22.50	15.2%	4.4%	13.6%	20.7%	15.2%	61.5%	1.4%	158.7K	-1.3M	-6.0K	0.00	14.51	N/A	N/A	14	0	1,624	950
2013-02-25	$21.91	$22.50	16.0%	4.6%	15.3%	23.7%	17.3%	0.4%	1.0%	128.3K	-934.2K	-5.8K	0.00	20.26	N/A	N/A	0	6	1,630	950
2013-02-26	$22.21	$22.50	15.1%	4.3%	14.7%	20.3%	0.0%	71.7%	2.7%	167.6K	-1.2M	-5.7K	0.83	16.17	N/A	N/A	12	10	1,630	947
2013-02-27	$22.80	$22.50	14.9%	4.3%	17.2%	19.4%	14.9%	31.9%	2.2%	183.8K	-2.0M	-5.4K	0.02	12.95	N/A	N/A	165	3	1,642	957
2013-02-28	$22.74	$22.50	14.8%	4.3%	17.1%	19.3%	14.8%	0.4%	2.2%	192.2K	-2.0M	-5.6K	0.00	15.79	N/A	N/A	11	0	1,654	960