CBL Options History — September 2013

In September 2013, CBL traded between $19.00 and $20.43. ATM implied volatility averaged 25.4%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 1.9% (HV 20d: 23.5%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2013-09-16: Highest Volume — 356 contracts
  • 2013-09-30: Largest IV drop — 41.0% change
  • 2013-09-04: Highest IV Rank — 75.0%
  • 2013-09-04: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.44$19.00$20.43$19.17$19.10
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV25.4%15.9%29.3%29.2%15.9%
Expected Move7.5%4.5%8.4%8.4%4.5%
HV 20d23.5%19.4%26.5%25.1%22.3%
HV 60d23.1%22.1%23.9%23.8%22.9%
IV Rank60.1%23.2%75.0%74.7%23.2%
IV Percentile73.6%16.3%92.1%92.1%16.3%
Term Structure0.8%-3.5%13.8%-0.8%13.8%
VWIV26.6%23.9%28.9%27.0%27.2%
Skew 25d-0.0%-8.9%15.6%-5.7%0.1%
Skew 10d2.4%-7.2%25.6%-3.8%0.6%
Call IV 25d24.8%17.1%28.8%28.8%17.1%
Put IV 25d24.8%17.3%36.1%23.1%17.3%
Bid-Ask Spread %55.9412.91119.0921.1138.13
Gamma HHI0.640.540.840.540.65
Net GEX126.5K68.6K351.5K77.9K96.4K
Net DEX-427.1K-1.6M4.1K-59.2K-395.1K
Net VEX-4.7K-7.0K-3.7K-3.9K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.005.000.000.00
Total Volume78.433565726
Total OI4,290.253,2395,0514,4143,469

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$19.17$20.0029.2%8.4%25.1%74.7%0.0%-5.7%-0.8%77.9K-59.2K-3.9K0.0021.11N/AN/A5704,048366
2013-09-04$19.37$20.0029.3%8.4%25.6%75.0%0.0%-2.6%-3.5%96.3K-246.8K-4.6K0.0067.13N/AN/A5404,105366
2013-09-05$19.17$20.0027.0%7.7%25.6%66.1%0.0%-5.7%0.2%90.5K-111.0K-4.1K1.5018.11N/AN/A8124,159366
2013-09-06$19.18$20.0023.7%8.0%25.7%53.4%27.0%7.2%0.5%94.2K-159.3K-4.3K0.0035.43N/AN/A11004,167378
2013-09-09$19.44$20.0028.0%8.1%25.9%70.2%28.3%7.1%-0.9%113.8K-252.4K-4.3K0.0023.25N/AN/A304,271378
2013-09-10$19.11$20.0023.5%7.8%26.3%52.7%27.7%-4.6%-1.4%103.6K-97.1K-4.0K5.00100.88N/AN/A7354,274378
2013-09-11$19.16$20.0022.8%7.9%26.4%50.0%0.0%4.9%-1.4%98.9K4.1K-3.7K0.5054.03N/AN/A424,279407
2013-09-12$19.20$20.0027.7%7.9%26.5%68.8%27.3%4.4%-1.0%100.0K-12.7K-3.7K0.0018.70N/AN/A1404,283373
2013-09-13$19.31$20.0028.3%8.1%23.7%71.2%28.9%4.9%-1.2%114.6K-122.8K-4.0K0.3076.91N/AN/A47144,295373
2013-09-16$19.79$20.0027.4%7.8%22.2%67.7%27.4%-3.7%-1.2%156.3K-455.0K-4.3K0.0796.68N/AN/A334224,333387
2013-09-17$19.75$20.0025.2%7.2%19.4%59.2%25.2%-1.7%1.0%204.0K-686.2K-5.7K0.0099.85N/AN/A504,652399
2013-09-18$20.34$20.0023.9%6.9%20.7%54.3%23.9%15.6%5.7%243.7K-1.6M-7.0K0.0060.86N/AN/A28104,651399
2013-09-19$20.43$20.0025.0%7.2%20.1%58.6%0.0%4.5%1.6%186.7K-1.5M-6.2K0.0090.18N/AN/A11804,541372
2013-09-20$19.91$20.0024.4%7.0%21.9%56.3%24.4%0.7%2.2%351.5K-677.6K-5.6K0.10104.54N/AN/A6264,466372
2013-09-23$19.61$20.0024.3%7.0%22.5%55.6%24.2%3.6%3.1%91.3K-537.0K-4.9K0.91119.09N/AN/A11102,978261
2013-09-24$19.29$20.0026.8%7.7%22.1%65.5%27.0%-7.0%-1.3%76.6K-367.5K-4.4K0.0115.67N/AN/A7912,980271
2013-09-25$19.00$20.0027.2%7.8%22.5%67.1%26.7%-8.9%-1.0%68.6K-269.1K-4.4K0.0841.76N/AN/A9073,041271
2013-09-26$19.16$20.0022.1%6.3%22.7%47.3%0.0%-7.0%1.6%80.4K-374.7K-4.6K0.0023.65N/AN/A1503,084273
2013-09-27$19.22$20.0026.9%7.7%22.7%65.8%27.2%-6.9%0.2%85.3K-535.7K-5.0K0.0012.91N/AN/A13403,096243
2013-09-30$19.10$20.0015.9%4.5%22.3%23.2%0.0%0.1%13.8%96.4K-395.1K-4.7K0.0038.13N/AN/A2603,226243