CBL Options History — April 2013

In April 2013, CBL traded between $23.04 and $24.35. ATM implied volatility averaged 19.8%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.6% (HV 20d: 15.2%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 6.52.

Notable Days

  • 2013-04-02: Highest Volume — 537 contracts
  • 2013-04-05: Largest IV spike — 57.1% change
  • 2013-04-18: Highest IV Rank — 64.4%
  • 2013-04-18: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.72$23.04$24.35$23.63$24.14
Max Pain$23.75$22.50$25.00$22.50$22.50
ATM IV19.8%10.9%26.5%11.3%14.4%
Expected Move5.9%3.1%7.6%3.2%4.1%
HV 20d15.2%8.2%19.5%8.2%19.2%
HV 60d14.6%13.6%15.5%13.7%14.9%
IV Rank38.5%3.9%64.4%5.7%17.6%
IV Percentile43.9%0.8%77.8%1.6%10.7%
Term Structure0.3%-4.0%10.2%8.3%8.7%
VWIV21.4%11.0%27.2%11.0%23.9%
Skew 25d2.7%-6.2%10.3%1.5%5.7%
Skew 10d3.9%-10.3%29.1%-0.3%-1.3%
Call IV 25d19.2%11.2%24.7%11.8%11.2%
Put IV 25d21.9%12.0%27.8%13.3%16.9%
Bid-Ask Spread %29.3918.2248.9019.5318.22
Gamma HHI0.670.470.960.470.96
Net GEX89.3K-89.0K226.3K3.3K226.3K
Net DEX-1.3M-1.8M-700.2K-979.6K-1.6M
Net VEX-8.1K-9.7K-7.1K-7.5K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.520.00106.400.400.17
Total Volume76.6360537728
Total OI3,148.3182,5863,6082,9602,643

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$23.63$22.5011.3%3.2%8.2%5.7%11.0%1.5%8.3%3.3K-979.6K-7.5K0.4019.53N/AN/A521,4171,543
2013-04-02$23.57$22.5016.7%4.8%8.3%26.3%19.6%6.9%0.9%-29.6K-722.7K-8.2K106.4019.05N/AN/A55321,4221,543
2013-04-03$23.41$22.5010.9%3.1%8.8%3.9%0.0%-1.3%10.2%-32.7K-799.3K-7.6K0.0020.56N/AN/A1201,4221,573
2013-04-04$23.55$22.5012.4%3.5%9.0%9.7%0.0%0.2%4.7%-10.4K-910.8K-7.7K0.0024.23N/AN/A24501,4341,573
2013-04-05$23.65$25.0019.4%6.7%8.5%36.9%22.4%1.2%-0.0%-3.1K-905.9K-9.1K0.0022.52N/AN/A35501,6791,573
2013-04-08$24.35$25.0015.5%6.0%12.8%21.9%21.0%3.9%-1.9%118.6K-1.8M-9.7K0.2321.46N/AN/A120272,0151,573
2013-04-09$24.01$25.0016.5%6.1%14.1%25.6%0.0%3.9%-1.3%132.1K-1.7M-9.3K0.0018.39N/AN/A1002,0121,556
2013-04-10$24.01$25.0015.4%6.2%13.8%21.5%0.0%2.9%-1.7%134.7K-1.7M-9.2K0.0021.07N/AN/A102,0221,556
2013-04-11$24.05$25.0022.1%6.3%13.8%47.3%0.0%1.1%-1.3%141.3K-1.8M-9.1K0.0029.10N/AN/A502,0211,556
2013-04-12$23.93$25.0021.9%6.3%14.0%46.7%21.6%0.9%-1.2%124.4K-1.6M-9.1K0.0027.42N/AN/A2602,0261,556
2013-04-15$23.37$25.0024.3%7.0%16.6%55.8%23.1%2.4%-0.0%17.2K-1.1M-8.3K8.6728.48N/AN/A3262,0261,556
2013-04-16$23.54$25.0022.9%6.6%16.7%50.5%0.0%1.4%1.3%83.7K-1.2M-8.2K0.0030.16N/AN/A002,0261,582
2013-04-17$23.04$25.0025.2%7.2%18.5%59.4%0.0%5.9%-3.4%-89.0K-700.2K-7.5K0.0038.83N/AN/A0142,0261,582
2013-04-18$23.13$25.0026.5%7.6%18.3%64.4%0.0%7.9%-4.0%-3.3K-871.9K-7.6K0.0038.05N/AN/A0102,0161,554
2013-04-19$23.52$25.0025.7%7.4%19.3%61.1%25.7%3.7%-2.8%114.1K-1.2M-7.9K0.0023.49N/AN/A5302,0161,554
2013-04-22$23.45$22.5026.1%7.5%19.2%62.8%0.0%10.3%-3.5%144.2K-1.2M-7.5K1.2042.09N/AN/A15182,049537
2013-04-23$23.52$22.5019.9%5.7%19.2%39.0%0.0%7.8%5.5%150.5K-1.2M-7.4K0.0048.90N/AN/A002,056547
2013-04-24$23.80$22.5023.1%6.6%19.5%51.1%27.2%3.1%-2.4%165.4K-1.5M-7.6K0.0037.87N/AN/A4102,056547
2013-04-25$23.92$22.5020.5%5.9%19.0%41.0%0.0%-6.2%-2.6%179.8K-1.6M-7.7K0.1343.43N/AN/A812,052547
2013-04-26$24.02$22.5021.3%6.1%19.1%44.3%18.2%1.0%-2.8%191.2K-1.7M-8.0K0.0034.36N/AN/A1202,060548
2013-04-29$24.19$22.5023.9%6.9%19.2%54.4%23.9%-5.2%-3.3%206.8K-1.8M-7.5K0.2239.45N/AN/A92202,063548
2013-04-30$24.14$22.5014.4%4.1%19.2%17.6%0.0%5.7%8.7%226.3K-1.6M-7.1K0.1718.22N/AN/A2442,075568