CBL Options History — August 2013

In August 2013, CBL traded between $19.20 and $22.20. ATM implied volatility averaged 26.1%, placing in the 62.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 4.4% (HV 20d: 21.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2013-08-05: Highest Volume — 1,248 contracts
  • 2013-08-12: Largest IV spike — 94.1% change
  • 2013-08-14: Highest IV Rank — 90.0%
  • 2013-08-20: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.61$19.20$22.20$22.20$19.20
Max Pain$21.36$20.00$22.50$22.50$20.00
ATM IV26.1%15.9%33.2%27.3%29.1%
Expected Move7.3%6.1%8.4%7.8%8.3%
HV 20d21.7%15.8%26.6%20.0%25.1%
HV 60d24.5%23.4%26.1%24.2%24.2%
IV Rank62.7%23.5%90.0%67.2%74.2%
IV Percentile79.3%19.8%98.8%92.1%91.3%
Term Structure0.3%-4.2%2.6%-4.2%-0.7%
VWIV25.8%20.6%29.4%22.1%29.2%
Skew 25d0.4%-9.5%6.8%0.4%-5.7%
Skew 10d0.8%-14.5%9.6%1.0%-5.2%
Call IV 25d23.5%19.5%31.2%23.9%27.9%
Put IV 25d24.0%18.9%27.2%24.3%22.2%
Bid-Ask Spread %28.0710.6979.4233.8210.69
Gamma HHI0.500.340.680.680.48
Net GEX73.4K39.5K100.2K80.8K76.4K
Net DEX-310.2K-595.7K58.5K-494.9K-130.4K
Net VEX-5.6K-7.9K-3.6K-5.3K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.001.500.000.18
Total Volume12101,248178
Total OI3,647.0452,3354,3432,3354,343

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$22.20$22.5027.3%7.8%20.0%67.2%0.0%0.4%-4.2%80.8K-494.9K-5.3K0.0033.82N/AN/A102,118217
2013-08-02$21.81$22.5022.1%6.3%20.9%47.3%22.1%-2.5%-0.7%65.4K-277.8K-4.4K1.3229.71N/AN/A22292,118217
2013-08-05$21.75$22.5019.6%6.4%20.4%37.6%0.0%6.1%1.5%64.1K-267.1K-4.3K0.0263.56N/AN/A1,218302,129231
2013-08-06$21.46$22.5024.1%6.5%20.6%54.9%22.6%4.4%1.6%93.8K-569.9K-7.8K1.5021.79N/AN/A16243,314261
2013-08-07$21.46$22.5017.7%6.2%19.6%30.2%0.0%5.5%2.3%88.9K-495.5K-7.7K0.0015.89N/AN/A003,325284
2013-08-08$21.41$22.5020.3%6.4%16.5%40.4%23.1%3.9%0.8%87.1K-484.9K-7.6K0.0022.22N/AN/A103,325284
2013-08-09$21.64$22.5015.9%6.4%17.2%23.5%26.7%6.8%1.3%100.2K-595.7K-7.9K0.0018.29N/AN/A503,326284
2013-08-12$21.46$22.5030.9%6.4%16.8%81.4%0.0%4.9%1.6%87.2K-457.5K-7.4K0.0019.07N/AN/A003,322284
2013-08-13$21.45$22.5029.4%6.1%15.9%75.7%0.0%6.0%2.6%79.5K-381.5K-7.0K0.0079.42N/AN/A8003,322284
2013-08-14$21.41$22.5033.2%6.2%15.8%90.0%0.0%4.4%2.4%77.6K-382.2K-6.6K0.0020.09N/AN/A003,362284
2013-08-15$20.61$22.5026.7%7.7%18.7%65.2%21.9%2.4%-0.1%54.1K-145.8K-5.3K0.0029.07N/AN/A15203,307273
2013-08-16$19.87$22.5025.9%7.4%21.0%62.1%25.9%-5.8%0.9%39.5K18.0K-4.5K0.1117.94N/AN/A174193,395273
2013-08-19$19.29$20.0027.8%8.0%21.4%69.2%27.9%-6.8%-0.7%39.7K58.5K-3.6K0.0478.19N/AN/A19173,480286
2013-08-20$19.69$20.0029.3%8.4%24.1%75.3%29.4%-9.5%-1.3%59.6K-183.1K-4.7K0.0016.18N/AN/A21313,647293
2013-08-21$20.00$20.0029.3%8.4%25.6%75.3%28.9%-4.8%-1.0%79.0K-485.7K-5.8K0.2123.30N/AN/A4393,761294
2013-08-22$20.20$20.0025.3%7.3%26.4%59.8%0.0%3.1%1.6%82.0K-465.8K-5.5K0.0012.60N/AN/A003,750295
2013-08-23$20.17$20.0026.4%7.6%26.2%63.9%26.4%3.3%0.4%79.1K-429.8K-5.2K0.0014.78N/AN/A403,750295
2013-08-26$19.76$20.0026.8%7.7%26.6%65.5%24.8%0.8%1.2%73.2K-295.4K-4.9K0.0049.64N/AN/A0343,751295
2013-08-27$19.60$20.0028.1%8.1%26.6%70.5%27.6%-1.0%-0.6%67.1K-146.5K-4.4K0.1011.80N/AN/A100103,751329
2013-08-28$19.45$20.0029.3%8.4%25.9%75.2%29.4%-4.1%-1.6%66.3K-91.4K-4.1K0.1416.77N/AN/A79113,805339
2013-08-29$19.47$20.0029.0%8.3%25.3%74.1%20.6%-2.2%-1.1%73.5K-120.1K-4.3K0.1112.67N/AN/A100113,882350
2013-08-30$19.20$20.0029.1%8.3%25.1%74.2%29.2%-5.7%-0.7%76.4K-130.4K-4.5K0.1810.69N/AN/A66123,982361