CBL Options History — October 2013

In October 2013, CBL traded between $18.78 and $20.46. ATM implied volatility averaged 30.1%, placing in the 78.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.3% (HV 20d: 24.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.32.

Notable Days

  • 2013-10-29: Highest Volume — 1,323 contracts
  • 2013-10-07: Largest IV spike — 53.6% change
  • 2013-10-30: Highest IV Rank — 100.0%
  • 2013-10-30: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.70$18.78$20.46$19.56$19.81
Max Pain$19.35$17.50$20.00$20.00$20.00
ATM IV30.1%22.8%36.2%26.9%31.9%
Expected Move8.7%7.7%10.4%7.7%9.2%
HV 20d24.8%23.6%26.5%23.8%24.0%
HV 60d24.0%22.3%25.4%23.4%24.7%
IV Rank78.1%49.9%100.0%65.6%83.8%
IV Percentile90.0%52.4%100.0%82.1%94.8%
Term Structure-0.8%-4.3%2.5%2.0%-0.2%
VWIV31.1%26.9%36.2%26.9%32.0%
Skew 25d3.1%-9.1%10.2%-2.5%0.4%
Skew 10d5.3%-8.5%17.0%-2.6%0.6%
Call IV 25d26.7%19.6%37.4%25.8%32.4%
Put IV 25d29.7%22.7%40.3%23.4%32.8%
Bid-Ask Spread %46.559.65140.1515.46140.15
Gamma HHI0.600.360.880.610.48
Net GEX198.1K85.5K1.0M119.6K153.8K
Net DEX-1.3M-3.1M-294.0K-866.8K-1.6M
Net VEX-7.8K-13.7K-4.4K-5.7K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.004.290.020.13
Total Volume28101,323418360
Total OI4,468.9133,4906,1843,4906,184

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$19.56$20.0026.9%7.7%23.8%65.6%26.9%-2.5%2.0%119.6K-866.8K-5.7K0.0215.46N/AN/A408103,247243
2013-10-02$19.51$20.0027.3%7.8%23.6%67.4%0.0%-2.5%1.6%136.3K-885.7K-5.7K0.0013.92N/AN/A003,433253
2013-10-03$19.17$20.0032.3%9.3%24.2%86.8%0.0%-9.1%-3.8%114.2K-737.9K-5.5K0.009.65N/AN/A603,433253
2013-10-04$19.06$20.0022.8%8.4%24.3%50.0%0.0%5.7%-0.5%126.8K-591.5K-5.0K0.0019.45N/AN/A403,433253
2013-10-07$19.18$20.0035.0%8.6%23.9%97.1%30.2%6.8%-0.4%115.1K-678.1K-4.9K0.0719.30N/AN/A390273,429253
2013-10-08$18.85$20.0028.9%8.0%23.9%73.4%28.6%5.4%1.4%139.0K-649.2K-5.1K0.0059.84N/AN/A1403,721275
2013-10-09$18.78$20.0022.8%8.7%23.9%49.9%0.0%5.9%-1.0%93.4K-294.0K-4.4K0.0315.68N/AN/A4013,732275
2013-10-10$19.38$20.0030.5%8.8%26.5%79.9%0.0%6.6%-0.8%174.9K-802.5K-5.4K0.0021.57N/AN/A57723,720275
2013-10-11$19.49$20.0029.6%8.5%26.5%76.3%0.0%10.2%0.1%184.7K-1.2M-6.8K0.1822.97N/AN/A2854,209276
2013-10-14$19.59$20.0029.5%8.5%25.0%76.0%0.0%8.7%0.2%230.2K-1.1M-6.5K0.00105.21N/AN/A3504,202275
2013-10-15$19.46$20.0030.7%8.8%25.1%80.6%32.5%6.1%-0.3%234.2K-835.1K-6.1K0.3524.72N/AN/A54194,225275
2013-10-16$19.95$17.5029.9%8.6%24.4%77.5%29.9%1.6%-1.8%351.3K-1.7M-6.7K0.0115.50N/AN/A15424,267287
2013-10-17$20.45$17.5027.7%7.9%26.0%69.0%27.7%6.3%2.5%310.0K-3.1M-7.4K0.0015.90N/AN/A56104,288285
2013-10-18$20.10$17.5029.4%8.4%25.1%75.5%0.0%-6.0%-2.3%1.0M-2.8M-7.9K0.0248.57N/AN/A1,010174,727285
2013-10-21$19.68$17.5030.8%8.8%25.6%81.0%30.8%-1.5%-0.0%85.5K-869.9K-6.8K0.0918.62N/AN/A956873,470258
2013-10-22$20.05$17.5030.4%8.7%25.6%79.2%30.4%2.0%-0.2%129.9K-1.4M-10.1K0.7885.17N/AN/A32254,355343
2013-10-23$20.05$17.5030.5%8.7%24.9%79.6%30.5%2.7%-0.6%129.1K-1.3M-9.9K0.1915.30N/AN/A78154,383368
2013-10-24$20.28$20.0029.8%8.6%25.0%77.2%0.0%4.6%0.0%138.8K-1.5M-10.8K0.00107.83N/AN/A2804,444383
2013-10-25$20.46$20.0031.9%9.2%25.1%85.3%31.9%9.3%-3.9%146.3K-1.6M-10.7K0.3337.03N/AN/A73244,457383
2013-10-28$20.18$20.0033.3%9.5%25.6%90.3%33.3%4.4%-3.7%134.3K-1.4M-10.2K4.2992.81N/AN/A7304,473406
2013-10-29$20.04$20.0034.5%9.9%24.5%95.1%34.5%2.7%-2.9%128.3K-1.5M-10.9K0.0250.39N/AN/A1,298254,479436
2013-10-30$20.05$20.0036.2%10.4%24.5%100.0%36.2%2.9%-4.3%165.0K-1.8M-13.7K0.49115.55N/AN/A41205,673461
2013-10-31$19.81$20.0031.9%9.2%24.0%83.8%32.0%0.4%-0.2%153.8K-1.6M-13.2K0.13140.15N/AN/A320405,703481