CBL Options History — June 2013

In June 2013, CBL traded between $20.86 and $22.99. ATM implied volatility averaged 28.0%, placing in the 70.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.2% (HV 20d: 26.9%). Max pain ranged from $22.50 to $25.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 9.72.

Notable Days

  • 2013-06-17: Highest Volume — 408 contracts
  • 2013-06-21: Largest IV spike — 33.3% change
  • 2013-06-24: Highest IV Rank — 99.0%
  • 2013-06-24: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.11$20.86$22.99$22.99$21.42
Max Pain$24.00$22.50$25.00$25.00$22.50
ATM IV28.0%19.0%35.5%31.1%19.0%
Expected Move7.7%5.4%10.2%8.9%5.4%
HV 20d26.9%24.3%29.3%29.1%27.9%
HV 60d23.8%21.3%26.1%21.3%26.1%
IV Rank70.2%35.2%99.0%81.9%35.2%
IV Percentile85.3%44.4%99.6%98.0%44.4%
Term Structure-2.1%-6.0%4.9%-6.0%4.9%
VWIV25.1%15.8%31.9%30.9%17.3%
Skew 25d7.1%-4.3%30.4%8.5%-4.3%
Skew 10d8.9%-6.1%47.9%4.3%-6.1%
Call IV 25d21.0%15.8%27.4%20.9%21.3%
Put IV 25d28.2%17.1%56.4%29.4%17.1%
Bid-Ask Spread %75.6523.24109.8879.4961.77
Gamma HHI0.490.310.690.450.48
Net GEX-5.8K-62.8K33.8K19.7K25.1K
Net DEX397.5K-97.0K905.5K130.7K-57.9K
Net VEX-3.6K-5.9K-2.3K-5.9K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.720.0067.000.270.00
Total Volume72.5504082228
Total OI2,436.21,2222,9232,9231,258

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$22.99$25.0031.1%8.9%29.1%81.9%30.9%8.5%-6.0%19.7K130.7K-5.9K0.0079.49N/AN/A0221,7941,129
2013-06-04$22.48$25.0029.4%8.4%24.3%75.5%0.0%2.0%-4.5%-11.6K526.9K-5.1K0.0023.24N/AN/A001,7941,128
2013-06-05$22.12$25.0028.7%8.2%24.5%72.7%28.7%-1.6%-3.1%-33.4K850.9K-4.5K0.2737.93N/AN/A1541,7941,128
2013-06-06$22.56$25.0031.0%8.9%25.4%81.7%31.9%30.4%-4.2%-12.4K578.3K-4.7K62.5028.07N/AN/A42501,7971,125
2013-06-07$22.99$25.0029.5%7.3%26.9%76.0%0.0%6.5%-1.5%33.8K81.6K-4.7K12.5037.12N/AN/A121501,797939
2013-06-10$22.90$25.0032.0%7.2%26.3%85.4%0.0%5.9%-2.2%10.6K220.9K-4.5K2.5093.70N/AN/A4101,8021,049
2013-06-11$22.54$25.0032.5%7.3%26.0%87.5%0.0%3.1%-3.6%-8.5K435.7K-4.2K0.0091.65N/AN/A001,7981,049
2013-06-12$22.15$25.0029.6%7.2%26.3%76.2%25.2%9.2%-2.5%-39.6K808.0K-3.6K0.0086.73N/AN/A2501,7981,049
2013-06-13$22.66$25.0025.1%7.2%25.8%59.0%0.0%9.9%-0.6%-17.5K471.1K-3.9K0.0088.68N/AN/A001,7891,049
2013-06-14$22.67$25.0026.0%7.5%26.0%62.4%0.0%4.0%-2.2%-33.0K424.5K-3.8K0.0093.29N/AN/A001,7891,049
2013-06-17$22.38$25.0026.0%7.5%25.2%62.4%0.0%1.9%-2.8%-62.8K724.5K-3.2K67.0090.55N/AN/A64021,7891,049
2013-06-18$22.72$25.0024.9%7.1%26.3%57.9%24.8%11.6%-0.7%-29.3K306.3K-3.1K0.2787.73N/AN/A3081,792896
2013-06-19$22.05$22.5026.4%7.6%27.1%63.7%26.4%-2.2%-3.4%-27.7K806.9K-2.7K0.81109.88N/AN/A27221,822904
2013-06-20$21.42$22.5024.3%7.0%27.7%55.8%0.0%4.3%-2.0%-6.5K810.6K-2.4K0.0288.86N/AN/A32051,819837
2013-06-21$20.97$22.5032.4%9.3%28.0%87.0%15.8%15.1%-3.1%-13.9K905.5K-2.5K0.00104.47N/AN/A2002,066842
2013-06-24$20.86$22.5035.5%10.2%27.7%99.0%17.3%14.2%-3.2%17.1K56.5K-2.3K0.00101.77N/AN/A3401,016206
2013-06-25$21.08$22.5033.7%9.6%28.6%91.9%0.0%13.2%-2.4%19.0K38.3K-2.5K0.0095.10N/AN/A2101,041206
2013-06-26$21.58$22.5022.8%6.5%29.3%50.0%0.0%4.6%-2.5%25.8K-71.8K-3.0K0.0078.03N/AN/A101,061206
2013-06-27$21.74$22.5020.8%6.0%29.0%42.3%0.0%5.8%3.2%28.7K-97.0K-3.1K0.0034.91N/AN/A3101,062206
2013-06-28$21.42$22.5019.0%5.4%27.9%35.2%0.0%-4.3%4.9%25.1K-57.9K-2.8K0.0061.77N/AN/A2801,060198