CBL Options History — March 2013

In March 2013, CBL traded between $22.69 and $23.79. ATM implied volatility averaged 15.7%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.6% (HV 20d: 14.1%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.45.

Notable Days

  • 2013-03-14: Highest Volume — 727 contracts
  • 2013-03-08: Largest IV drop — 41.4% change
  • 2013-03-19: Highest IV Rank — 36.3%
  • 2013-03-19: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.10$22.69$23.79$22.81$23.60
Max Pain$21.25$20.00$22.50$22.50$22.50
ATM IV15.7%9.9%19.3%14.2%14.5%
Expected Move4.9%4.0%5.5%4.1%4.2%
HV 20d14.1%8.2%16.5%16.5%8.2%
HV 60d15.3%14.6%15.8%15.8%14.6%
IV Rank22.8%0.2%36.3%16.9%18.1%
IV Percentile19.1%0.4%40.1%8.3%10.7%
Term Structure3.3%-0.4%8.9%2.9%8.9%
VWIV17.1%12.5%19.3%18.6%13.0%
Skew 25d5.3%0.4%27.3%27.3%6.7%
Skew 10d11.4%1.0%89.3%89.3%8.8%
Call IV 25d13.5%10.3%17.2%17.2%11.0%
Put IV 25d18.8%15.5%44.6%44.6%17.7%
Bid-Ask Spread %16.6612.4026.1118.3914.82
Gamma HHI0.600.450.850.850.48
Net GEX58.8K-65.4K211.9K211.9K-26.9K
Net DEX-1.8M-3.2M-678.6K-2.1M-749.9K
Net VEX-7.6K-10.6K-5.3K-5.4K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.006.330.000.00
Total Volume184.8072701
Total OI3,235.92,6244,1002,6242,959

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$22.81$22.5014.2%4.1%16.5%16.9%0.0%27.3%2.9%211.9K-2.1M-5.4K0.0018.39N/AN/A001,664960
2013-03-04$22.80$20.0016.0%4.9%15.9%23.6%0.0%2.6%1.7%206.9K-2.0M-5.3K0.0012.89N/AN/A1001,664960
2013-03-05$22.83$20.0017.9%5.3%15.9%31.0%18.6%2.2%0.9%187.5K-2.1M-5.4K3.9815.74N/AN/A1265021,674960
2013-03-06$22.84$20.0018.7%5.4%15.9%34.3%19.0%2.9%0.3%82.9K-1.9M-6.1K0.0013.11N/AN/A2001,7971,431
2013-03-07$22.69$20.0016.9%5.3%15.5%27.2%0.0%0.4%-0.4%99.9K-1.7M-6.2K0.0014.22N/AN/A15801,8141,431
2013-03-08$22.84$20.009.9%5.0%15.6%0.2%0.0%2.0%1.7%108.7K-2.4M-5.7K1.7513.14N/AN/A16281,8931,429
2013-03-11$22.84$20.0011.2%5.1%15.5%5.2%17.9%1.8%1.1%100.1K-2.5M-5.5K0.0012.72N/AN/A3601,8941,443
2013-03-12$22.71$20.0012.4%4.8%15.6%10.0%16.9%1.2%2.1%132.2K-2.2M-5.7K0.0014.07N/AN/A601,9171,443
2013-03-13$22.72$20.0015.8%4.9%15.5%23.1%0.0%1.2%1.6%116.4K-2.0M-5.5K0.1315.89N/AN/A151201,9171,443
2013-03-14$22.90$20.0017.8%5.1%15.0%30.7%17.8%2.7%2.0%81.6K-2.6M-5.9K0.0013.68N/AN/A72701,9491,463
2013-03-15$23.05$20.0016.2%4.6%15.1%24.5%16.2%2.9%3.3%117.5K-3.2M-7.7K6.3316.36N/AN/A795002,6371,463
2013-03-18$23.14$22.5019.0%5.4%15.1%35.2%19.0%4.3%0.8%27.9K-1.4M-9.1K6.2913.73N/AN/A794971,833943
2013-03-19$23.13$22.5019.3%5.5%14.9%36.3%19.3%4.4%2.1%-36.1K-1.0M-10.4K0.0012.40N/AN/A01931,8961,395
2013-03-20$23.32$22.5016.4%4.7%14.9%25.3%0.0%13.4%5.9%-65.2K-1.1M-10.6K0.0224.32N/AN/A22851,8961,587
2013-03-21$23.39$22.5019.1%5.5%13.7%35.7%19.1%6.2%1.9%-44.6K-1.3M-10.3K0.4816.33N/AN/A23111,9421,585
2013-03-22$23.49$22.5015.1%4.3%13.5%20.2%15.9%3.6%6.7%-65.4K-1.4M-10.1K5.3724.36N/AN/A301611,9471,585
2013-03-25$23.60$22.5014.5%4.2%11.3%18.0%12.5%4.9%8.0%-20.8K-1.7M-9.6K0.0024.08N/AN/A1801,9531,532
2013-03-26$23.79$22.5016.0%4.6%10.9%23.8%13.0%9.5%7.8%2.8K-1.8M-9.5K0.3326.11N/AN/A30101,9381,532
2013-03-27$23.52$22.5014.0%4.0%8.3%16.0%0.0%5.4%7.1%-40.2K-678.6K-8.8K0.0016.93N/AN/A3101,4071,542
2013-03-28$23.60$22.5014.5%4.2%8.2%18.1%0.0%6.7%8.9%-26.9K-749.9K-8.6K0.0014.82N/AN/A011,4171,542