CBL Options History — May 2013

In May 2013, CBL traded between $22.99 and $26.58. ATM implied volatility averaged 19.2%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 4.4% (HV 20d: 23.6%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 9.82.

Notable Days

  • 2013-05-30: Highest Volume — 584 contracts
  • 2013-05-15: Largest IV spike — 58.2% change
  • 2013-05-30: Highest IV Rank — 77.2%
  • 2013-05-30: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.18$22.99$26.58$23.57$22.99
Max Pain$23.07$22.50$25.00$22.50$25.00
ATM IV19.2%13.0%29.8%16.5%29.3%
Expected Move5.4%3.7%8.6%4.7%8.4%
HV 20d23.6%21.0%29.3%21.0%29.3%
HV 60d18.3%15.8%21.3%15.8%21.3%
IV Rank36.1%12.2%77.2%25.5%75.1%
IV Percentile41.8%6.0%94.8%23.8%93.7%
Term Structure0.8%-6.2%8.3%0.2%-5.6%
VWIV20.1%14.5%29.3%18.4%29.3%
Skew 25d0.2%-6.2%7.6%-1.2%7.6%
Skew 10d-0.4%-11.3%24.4%0.0%1.3%
Call IV 25d17.6%13.2%23.9%13.2%19.2%
Put IV 25d17.8%12.0%28.1%12.0%26.8%
Bid-Ask Spread %22.5310.7275.9221.8936.46
Gamma HHI0.860.450.940.860.45
Net GEX177.8K19.6K334.8K142.7K19.6K
Net DEX-2.6M-4.2M101.7K-1.2M101.7K
Net VEX-6.4K-8.0K-4.4K-6.7K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.820.00144.000.000.09
Total Volume126.77305842859
Total OI2,712.5452,1573,1612,6632,873

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$23.57$22.5016.5%4.7%21.0%25.5%0.0%-1.2%0.2%142.7K-1.2M-6.7K0.0021.89N/AN/A2802,095568
2013-05-02$23.86$22.5019.4%5.6%21.3%36.8%0.0%-6.2%-3.3%185.1K-1.4M-7.1K0.0422.42N/AN/A20292,081568
2013-05-03$24.05$22.5013.0%3.7%21.5%12.2%0.0%0.6%4.7%231.5K-1.5M-7.0K0.0018.60N/AN/A002,283559
2013-05-06$25.13$22.5018.4%5.4%24.5%32.9%18.4%-1.4%2.0%333.2K-3.1M-7.9K0.0919.23N/AN/A116102,283559
2013-05-07$25.14$22.5019.2%5.2%23.8%36.0%18.2%-1.4%1.3%334.8K-3.1M-7.9K12.5414.47N/AN/A243012,267559
2013-05-08$25.42$22.5018.9%5.2%23.9%35.1%15.6%-0.7%1.6%241.4K-3.3M-7.8K5.5013.14N/AN/A10552,267849
2013-05-09$25.23$22.5017.8%5.1%24.2%30.7%14.5%-1.0%2.3%247.8K-3.0M-8.0K0.0011.73N/AN/A4902,262899
2013-05-10$25.51$22.5015.9%5.0%24.2%23.5%0.0%-0.4%2.1%271.1K-3.6M-7.1K0.0015.07N/AN/A002,232899
2013-05-13$25.72$22.5019.3%5.2%22.1%36.6%0.0%0.6%1.2%209.4K-4.0M-6.5K0.0017.45N/AN/A102,232899
2013-05-14$25.61$22.5016.1%5.3%22.3%24.2%0.0%1.1%0.9%212.8K-4.0M-6.5K0.0075.92N/AN/A20002,233899
2013-05-15$26.27$22.5025.5%4.4%21.3%60.5%0.0%4.1%8.3%144.9K-4.2M-5.4K0.1926.10N/AN/A54102,078899
2013-05-16$26.15$22.5016.4%4.7%21.7%25.2%17.3%3.8%5.5%140.8K-4.0M-5.6K0.2620.18N/AN/A2362,020909
2013-05-17$26.43$22.5019.0%5.4%21.4%35.2%18.9%3.6%1.1%126.6K-4.2M-5.3K0.0216.97N/AN/A425102,030910
2013-05-20$26.48$22.5017.6%5.1%21.2%30.1%0.0%2.0%-0.7%122.8K-3.2M-5.0K0.0022.39N/AN/A081,612545
2013-05-21$26.58$22.5013.8%4.0%21.2%15.2%0.0%-3.4%1.5%105.8K-3.3M-4.4K0.0010.72N/AN/A0101,612553
2013-05-22$26.05$22.5017.5%5.0%23.0%29.4%20.2%4.1%4.9%140.8K-2.9M-5.5K0.8520.48N/AN/A54461,612563
2013-05-23$25.74$22.5018.3%5.3%23.7%32.7%18.4%-0.2%0.4%166.2K-2.6M-6.0K144.0016.90N/AN/A11441,659609
2013-05-24$25.20$25.0018.8%5.4%25.3%34.7%21.4%-2.6%-0.3%155.9K-2.0M-6.8K5.5018.75N/AN/A4221,659743
2013-05-28$24.95$25.0020.5%5.9%25.6%41.3%20.6%-4.2%-1.0%153.2K-1.7M-6.6K0.4317.05N/AN/A46201,660765
2013-05-29$24.16$25.0021.0%6.0%28.3%43.0%21.0%-4.4%-2.4%127.7K-924.7K-6.0K1.2633.53N/AN/A1141441,663765
2013-05-30$23.63$25.0029.8%8.6%28.1%77.2%28.0%4.2%-6.2%98.1K-672.3K-5.9K5.9526.15N/AN/A845001,709735
2013-05-31$22.99$25.0029.3%8.4%29.3%75.1%29.3%7.6%-5.6%19.6K101.7K-6.1K0.0936.46N/AN/A5451,7441,129