CBL Options History — December 2013

In December 2013, CBL traded between $17.57 and $18.25. ATM implied volatility averaged 31.5%, placing in the 70.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 10.7% (HV 20d: 20.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-12-18: Highest Volume — 147 contracts
  • 2013-12-09: Largest IV spike — 30.8% change
  • 2013-12-04: Highest IV Rank — 91.4%
  • 2013-12-04: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.92$17.57$18.25$17.81$17.96
Max Pain$19.05$17.50$20.00$20.00$17.50
ATM IV31.5%24.1%37.9%35.9%27.7%
Expected Move9.2%6.9%10.9%10.3%7.9%
HV 20d20.8%17.9%23.5%23.5%19.6%
HV 60d23.2%22.5%24.0%23.9%22.5%
IV Rank70.4%46.3%91.4%84.9%58.1%
IV Percentile84.9%47.2%99.2%98.8%68.3%
Term Structure0.3%-3.4%9.4%-3.4%3.5%
VWIV31.2%28.6%33.2%31.9%28.6%
Skew 25d14.4%-3.2%66.8%10.7%7.2%
Skew 10d27.9%-2.4%122.6%15.9%11.8%
Call IV 25d28.8%20.3%35.6%26.2%22.5%
Put IV 25d43.1%28.9%96.0%37.0%29.7%
Bid-Ask Spread %101.0049.16126.4081.2949.16
Gamma HHI0.340.310.370.340.35
Net GEX54.7K40.5K86.0K67.7K47.4K
Net DEX-178.7K-595.1K196.5K-97.9K-534.5K
Net VEX-8.2K-9.8K-7.5K-8.7K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.003.500.090.08
Total Volume55.429014736143
Total OI8,119.9524,7249,6849,1884,994

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$17.81$20.0035.9%10.3%23.5%84.9%0.0%10.7%-3.4%67.7K-97.9K-8.7K0.0981.29N/AN/A3338,405783
2013-12-03$17.72$20.0031.9%9.2%23.5%71.9%31.9%0.3%2.5%59.9K11.5K-8.2K1.11123.23N/AN/A9108,435786
2013-12-04$17.80$20.0037.9%10.9%23.5%91.4%0.0%25.6%-2.6%60.3K29.0K-8.4K0.16126.40N/AN/A4578,444796
2013-12-05$17.83$20.0033.7%9.7%19.8%77.9%33.2%22.0%-0.2%54.6K84.7K-7.8K1.21117.75N/AN/A14178,489800
2013-12-06$18.23$20.0026.3%9.6%20.6%53.7%0.0%-0.4%-1.4%64.2K-106.9K-8.7K0.1295.44N/AN/A91118,499810
2013-12-09$18.25$20.0034.4%9.8%20.4%80.1%0.0%1.7%-3.2%86.0K-396.7K-9.8K0.0099.37N/AN/A108,546821
2013-12-10$18.18$20.0030.8%9.2%20.4%68.2%30.0%-3.2%1.1%79.9K-344.1K-9.2K0.6497.77N/AN/A78508,547821
2013-12-11$17.83$20.0031.6%9.4%21.1%70.7%0.0%-3.0%-2.3%56.7K-14.1K-8.4K0.0096.73N/AN/A008,611859
2013-12-12$17.57$20.0033.6%9.6%19.8%77.3%0.0%0.6%-0.1%47.3K125.3K-7.9K0.00109.57N/AN/A028,611859
2013-12-13$17.74$20.0032.9%9.4%18.0%75.0%32.9%2.4%-0.5%43.0K169.3K-7.7K0.9198.97N/AN/A33308,611859
2013-12-16$17.60$20.0033.1%9.5%17.9%75.8%0.0%24.1%-0.6%44.2K176.7K-7.5K0.00100.09N/AN/A5908,636889
2013-12-17$17.76$20.0034.1%9.8%18.4%78.9%0.0%24.2%-1.8%40.9K196.5K-7.6K0.11107.48N/AN/A92108,695889
2013-12-18$18.11$20.0033.3%9.6%20.0%76.6%0.0%66.8%-1.3%55.0K-87.2K-8.5K0.07100.57N/AN/A137108,787897
2013-12-19$17.73$17.5031.1%8.9%21.1%69.1%31.1%7.6%0.3%40.5K86.3K-7.6K2.00101.10N/AN/A128,666897
2013-12-20$18.07$17.5030.7%8.8%22.3%67.9%30.6%51.2%0.8%43.0K-198.1K-7.7K1.00107.87N/AN/A228,666772
2013-12-23$18.16$17.5031.9%9.1%22.3%71.8%0.0%7.7%-1.0%56.3K-595.1K-8.2K0.03120.75N/AN/A10234,186538
2013-12-24$18.17$17.5031.1%8.9%21.2%69.1%0.0%5.9%0.2%56.2K-580.5K-8.0K0.0095.77N/AN/A2104,288539
2013-12-26$17.92$17.5028.6%8.2%21.7%61.1%28.6%7.9%2.9%53.0K-562.3K-7.8K1.3895.79N/AN/A45624,309539
2013-12-27$17.92$17.5026.1%7.5%20.9%52.9%0.0%6.1%4.9%46.0K-524.1K-8.1K0.5097.25N/AN/A20104,354601
2013-12-30$18.06$17.5024.1%6.9%20.1%46.3%0.0%35.9%9.4%46.3K-590.2K-8.2K3.5098.74N/AN/A274,374611
2013-12-31$17.96$17.5027.7%7.9%19.6%58.1%0.0%7.2%3.5%47.4K-534.5K-7.9K0.0849.16N/AN/A133104,376618