CBL Options History — November 2013

In November 2013, CBL traded between $18.01 and $19.79. ATM implied volatility averaged 30.8%, placing in the 69.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 7.0% (HV 20d: 23.8%). 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 9 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2013-11-26: Highest Volume — 1,109 contracts
  • 2013-11-06: Largest IV drop — 32.1% change
  • 2013-11-04: Highest IV Rank — 100.0%
  • 2013-11-07: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.65$18.01$19.79$19.79$18.06
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV30.8%23.0%40.5%35.4%34.3%
Expected Move9.4%7.6%16.6%10.1%9.8%
HV 20d23.8%21.4%27.5%23.9%23.3%
HV 60d24.0%23.3%26.0%24.7%23.8%
IV Rank69.4%42.8%100.0%96.8%79.6%
IV Percentile86.5%52.4%100.0%98.8%96.8%
Term Structure-2.9%-58.5%8.9%-1.4%8.9%
VWIV29.9%13.0%41.9%35.4%23.0%
Skew 25d6.1%-8.9%46.6%46.6%19.6%
Skew 10d18.1%-8.9%69.8%66.9%24.9%
Call IV 25d28.6%16.3%39.4%39.4%21.1%
Put IV 25d34.7%22.7%86.1%86.1%40.7%
Bid-Ask Spread %110.0686.98136.40136.40117.46
Gamma HHI0.430.360.510.500.36
Net GEX91.0K56.4K164.0K164.0K100.0K
Net DEX-506.7K-1.7M-11.5K-1.7M-532.0K
Net VEX-9.0K-13.7K-6.9K-13.7K-10.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.002.650.000.19
Total Volume168.95101,1091137
Total OI7,076.856,5019,1736,5019,173

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$19.79$20.0035.4%10.1%23.9%96.8%35.4%46.6%-1.4%164.0K-1.7M-13.7K0.00136.40N/AN/A1105,980521
2013-11-04$19.69$20.0038.7%9.3%23.9%100.0%0.0%-3.5%-2.0%153.1K-1.4M-12.5K0.00118.76N/AN/A2105,991521
2013-11-05$19.44$20.0040.5%9.4%23.5%100.0%37.5%-4.3%-2.2%137.5K-1.1M-11.5K0.00107.69N/AN/A2006,011521
2013-11-06$18.70$20.0027.5%7.6%27.5%57.6%30.0%-2.3%5.8%86.0K-311.0K-8.0K0.12125.05N/AN/A239296,030521
2013-11-07$18.36$20.0029.4%16.6%25.5%63.9%23.7%-8.9%-58.5%71.2K-154.5K-7.7K1.18130.38N/AN/A11136,212548
2013-11-08$18.20$20.0026.1%9.8%25.4%53.1%30.5%9.9%-4.8%64.7K-11.5K-6.9K0.57120.42N/AN/A1486,216559
2013-11-11$18.25$20.0025.4%8.2%25.3%50.6%28.5%-2.3%3.3%60.1K-36.8K-6.9K0.1697.19N/AN/A70116,228551
2013-11-12$18.01$20.0023.0%10.2%25.5%42.8%37.4%-3.9%-6.4%73.0K-162.8K-7.5K0.03105.51N/AN/A13546,256562
2013-11-13$18.41$20.0030.3%9.1%25.1%66.5%31.3%-1.1%0.2%74.8K-262.1K-8.0K0.1987.25N/AN/A2756,381564
2013-11-14$18.85$20.0029.1%8.3%24.9%62.8%28.7%2.4%1.8%91.9K-542.9K-9.0K0.3796.47N/AN/A27106,318568
2013-11-15$18.91$20.0029.9%8.6%24.5%65.3%0.0%2.3%1.0%94.5K-582.0K-9.2K0.00111.26N/AN/A0106,336576
2013-11-18$18.89$20.0029.3%8.4%23.6%63.5%29.8%1.6%-1.2%86.9K-531.6K-8.7K0.3094.98N/AN/A115346,225547
2013-11-19$18.78$20.0027.6%7.9%22.3%58.0%27.4%2.6%2.1%84.6K-499.1K-8.6K0.00103.77N/AN/A32506,332579
2013-11-20$18.61$20.0029.6%8.5%22.4%64.3%41.9%-8.4%-5.1%99.7K-653.0K-9.6K0.00119.91N/AN/A3006,610571
2013-11-21$18.70$20.0032.7%9.4%21.9%74.5%13.0%15.6%-0.9%88.7K-492.2K-8.7K0.12125.04N/AN/A2536,640571
2013-11-22$18.57$20.0030.0%8.6%21.4%65.6%30.0%12.5%2.0%80.6K-435.5K-8.7K0.13103.47N/AN/A1626,665571
2013-11-25$18.21$20.0032.4%9.3%21.8%73.5%0.0%16.6%-1.3%66.6K-224.6K-7.7K2.6586.98N/AN/A401066,680573
2013-11-26$18.11$20.0031.4%9.0%21.8%70.2%23.0%9.4%2.8%56.4K-118.9K-7.7K0.10105.97N/AN/A1,0041056,709679
2013-11-27$18.39$20.0034.3%9.8%22.9%79.7%0.0%17.6%-1.7%85.6K-415.5K-9.8K0.00107.17N/AN/A87207,663778
2013-11-29$18.06$20.0034.3%9.8%23.3%79.6%0.0%19.6%8.9%100.0K-532.0K-10.5K0.19117.46N/AN/A3168,395778