CBL Options History — July 2013

In July 2013, CBL traded between $21.65 and $23.98. ATM implied volatility averaged 23.6%, placing in the 53.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 1.5% (HV 20d: 22.1%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 4.84.

Notable Days

  • 2013-07-05: Highest Volume — 505 contracts
  • 2013-07-10: Largest IV spike — 39.7% change
  • 2013-07-10: Highest IV Rank — 74.6%
  • 2013-07-31: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.02$21.65$23.98$21.65$22.77
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV23.6%17.4%29.2%18.8%29.1%
Expected Move6.9%5.0%8.3%5.4%8.3%
HV 20d22.1%14.8%28.4%28.4%17.6%
HV 60d25.5%23.7%26.2%26.2%23.7%
IV Rank53.1%29.0%74.6%34.7%74.2%
IV Percentile70.0%32.1%94.0%43.3%94.0%
Term Structure0.6%-5.2%15.6%3.1%-4.7%
VWIV24.5%17.1%29.4%26.3%29.4%
Skew 25d6.9%-6.1%16.5%-1.4%6.1%
Skew 10d7.8%-7.9%30.5%-5.9%8.3%
Call IV 25d18.4%14.1%25.2%20.6%22.1%
Put IV 25d25.3%18.4%31.9%19.2%28.3%
Bid-Ask Spread %52.5419.09139.8176.3644.10
Gamma HHI0.640.450.860.470.76
Net GEX74.9K14.0K136.4K30.0K113.3K
Net DEX-887.4K-1.4M-120.1K-120.1K-936.8K
Net VEX-6.2K-7.8K-3.1K-3.1K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.840.0072.400.000.17
Total Volume99.22725051235
Total OI1,958.3181,2862,4031,2862,342

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$21.65$22.5018.8%5.4%28.4%34.7%0.0%-1.4%3.1%30.0K-120.1K-3.1K0.0076.36N/AN/A1201,088198
2013-07-02$21.89$22.5017.4%5.0%27.8%29.0%0.0%6.4%13.4%33.7K-161.9K-3.2K0.5057.56N/AN/A20101,100198
2013-07-03$22.00$22.5017.4%5.0%27.3%29.3%0.0%7.8%15.6%36.0K-188.9K-3.2K0.0040.10N/AN/A501,115201
2013-07-05$21.83$22.5020.9%7.3%26.4%42.8%0.0%4.8%-1.3%33.7K-158.0K-3.1K0.0082.58N/AN/A50501,120201
2013-07-08$22.09$22.5021.8%7.9%25.8%46.2%0.0%10.7%-2.8%59.5K-499.5K-5.6K0.0019.09N/AN/A301,561201
2013-07-09$22.27$22.5020.9%7.5%26.0%42.6%26.3%9.7%-1.8%63.4K-515.1K-5.4K0.0022.67N/AN/A1001,564201
2013-07-10$22.62$22.5029.2%7.5%26.1%74.6%0.0%2.3%-1.4%70.7K-698.8K-6.0K72.4033.56N/AN/A53621,574201
2013-07-11$23.21$22.5026.7%7.6%26.7%64.9%0.0%9.7%-0.1%29.7K-855.3K-6.7K17.0031.15N/AN/A5851,579474
2013-07-12$23.06$22.5026.9%7.7%25.8%65.8%0.0%7.8%-2.0%14.0K-662.6K-6.6K10.0031.61N/AN/A5501,584553
2013-07-15$23.24$22.5026.6%7.6%25.9%64.7%0.0%9.5%-1.6%17.4K-863.4K-6.6K0.0030.66N/AN/A27011,589603
2013-07-16$23.50$22.5026.8%7.7%25.5%65.3%0.0%16.5%-1.0%63.7K-1.2M-7.3K0.0042.06N/AN/A2001,772604
2013-07-17$23.53$22.5027.0%7.7%25.1%66.2%0.0%11.1%-2.3%73.0K-1.2M-7.4K0.0035.76N/AN/A3201,792604
2013-07-18$23.79$22.5020.9%6.0%22.3%42.6%0.0%1.9%-3.2%96.6K-1.3M-7.5K0.0071.23N/AN/A501,794604
2013-07-19$23.84$22.5024.3%7.0%18.7%55.9%26.7%1.9%-3.1%101.6K-1.4M-7.6K0.0090.11N/AN/A201,799604
2013-07-22$23.98$22.5020.4%5.8%15.8%40.6%0.0%12.1%8.6%108.3K-1.3M-7.3K0.0046.15N/AN/A021,684194
2013-07-23$23.90$22.5023.2%6.7%15.6%51.5%0.0%-6.1%-3.9%109.4K-1.4M-7.4K0.00106.20N/AN/A3901,684196
2013-07-24$23.59$22.5022.3%6.4%17.1%48.0%22.9%8.4%1.0%109.3K-1.1M-6.7K0.1022.08N/AN/A6161,723196
2013-07-25$23.46$22.5024.6%7.0%16.1%56.8%0.0%1.6%-5.2%105.3K-1.1M-6.9K0.00139.81N/AN/A10001,730202
2013-07-26$23.53$22.5025.0%7.2%16.1%58.6%17.1%8.8%-1.3%110.5K-1.2M-7.4K0.0038.91N/AN/A50301,808202
2013-07-29$23.43$22.5022.0%6.3%14.8%47.0%0.0%10.9%7.2%136.4K-1.4M-7.8K0.0073.17N/AN/A502,120202
2013-07-30$23.32$22.5027.2%7.8%15.0%66.8%0.0%10.5%-0.3%132.0K-1.3M-7.7K1.5021.02N/AN/A10152,120202
2013-07-31$22.77$22.5029.1%8.3%17.6%74.2%29.4%6.1%-4.7%113.3K-936.8K-6.7K0.1744.10N/AN/A3052,130212